Paper Title
The Announcement Effects of Credit Rating Adjustments on Stock Price Performance in The Thai Real Estate & Construction Sector

Abstract
We examine the impact of corporate bond credit rating announcements on abnormal returns of listed companies in the real estate & construction sector on the Stock Exchange of Thailand. The event study methodology developed by Seiler (2004) is chosen to test the significance of abnormal returns of sampled companies that experience rating events. Results of the study show that credit rating changes do not lead to significant abnormal returns in real estate & construction sectors. This phenomenon prevails both before and after the time of credit rating changes. It appears that in the case of the real estate & construction sector, new information received from the bond market will not be passed to the equity market. This insignificance is not consistent with previous research.We observe some interesting results when we look at patterns of the cumulative abnormal returns during the event window. As soon as credit rating upgrades were announced, our sampled stocks experience negative abnormal returns and these negative abnormal returns worsen throughout the event window. We theorize that this phenomenon occurs because investors sell these stocks to realize profits following the announcement of positive news. On the contrary, positive abnormal returns are observed after the announcement of credit rating downgrades and these positive returns improve throughout the event window. We theorize that investors in the real estate & construction sector of Thailand employ a contrarian investing strategy, by shifting their capital from the bond market that has just received bad news to the stock market. A redistribution of capital from bond market to stock market causes an increase of stock prices. Keywords- Credit rating, Cumulative Abnormal Return, Corporate Bond, Creditworthiness.