Rating Actions and Market Efficiency: A Case Study on Italian Banks

This thesis focuses on analyzing the impact of rating actions from the three major agencies on the prices of banks’ stocks traded at the Milan stock exchange. In recent years, especially after the 2008 financial crisis, there have been several changes in the role that rating plays for investors and in the importance that actors in financial markets attribute to it. The purpose of this work is to analyze whether the opinions by rating agencies have informational content for the market or not. The first chapter introduces the efficient markets hypothesis, then the second chapter describes the business practices of rating agencies, and finally the third chapter describes the empirical analysis and the statistical properties of the event study methodology.