Abstract
The paper examines and analyses the impact of the countries’ credit ratings changes on the cost of credit defaults swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies. It is hypothesized that ratings events convey new information and lead to significant abnormal reactions. The study used the ratings assigned by Standard & Poor's and Moody's for the period from 1 January 2005 to 1 November 2015 and spreads for five-year senior unsecured CDS. To verify the hypothesis it is applied the event study method by using daily data.
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