To begin with, the paper assesses how credit rating changes to 50 banks affect their stock prices in the period during, before, and after the announcement. The period under review is 2009-2019. Data including these announcements of the three major credit rating agencies (Moody’s, S&P, Fitch) need to be collected. Access to historical data is allowed for all of these companies. Several subsamples also need to be included. For instance, contaminated and non-contaminated events, changes within a class, and across a class, if investment grade line is crossed or no, the number of notches gained or losed or whether the event was anticipated or not. It is an event study methodology and there will be 7event windows that need to be examined. The required models are S&P 500 and KBW market models as well as Index model. It is a univariate analysis. I have already done part of the work as I have selected the 50 banks according to their market capitalization and have written a big part of the literature review.
The impact of credit rating changes of US-listed banks on the stock market