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Identifying the determinants of rating impact on stock markets during crisis periods allows on the one hand, explaining investors’ behavior towards rating agencies, and on the other hand expecting their reaction to a rating announcement. This research reviews factors previously studied and adds three new ones: the announcement anticipation, the double rating and the foreign investors’ presence in firm’ shareholding. We use an event study methodology to determine the short term impact of rating announcements of 207 U.S. firms during the 2008 worldwide financial crisis. Significant reaction is measured by the cumulative abnormal return of the stock price after the rating announcement. Then, we regress the measured cumulative return on several factors related to the rating change and the rated firm.Results show that a bad rating impact on stock markets during crisis period is influenced by the anticipation of the announcement, the downgrade magnitude and firms’ sizes. Good rating announcements are conditioned by the initial rating level, the upgrade magnitude and firms’ sectors. Reaction to assertions only depends on anticipation and institutional presence.

The Determinants of Rating Announcements Impact on Stock Markets during Crisis Periods: The Case of the 2008 Worldwide Financial Crisis