Thesis (M.Sc.)--Chulalongkorn University, 2013

This thesis examines the impact of credit rating changes on stock prices during 1996 – 2012 and on corporate bond prices during 2006 – 2012, which rating changes are announced by TRIS rating, Fitch rating (Thailand), Moody’s and S&P. The results suggest that credit rating changes provide new and valuable information to stock and corporate bond market participants. There are significant positive (negative) abnormal returns during rating upgrade (downgrade) announcements for both stock and corporate bond markets. The results report that corporate bond prices significantly react to rating changes stronger and larger than stock prices. Corporate bonds take longer time than stocks in absorbing the rating change news and adjusting its prices after the announcement, which lead to significant abnormal returns for many days after announcement date. Moreover, the results suggest that firm industries and credit rating agencies are factors that influence different abnormal returns during rating change announcements. Financial firms are more influential than non-financial firms; and global rating agencies (Moody’s and S&P) are more influential than local rating agencies (TRIS and Fitch rating).