Abstract: This study investigates the short-term impact of credit rating affirmations and upgrades on share prices using an event study methodology. The analysis focuses on Average Abnormal Returns (AAR), Cumulative Average Abnormal Returns (CAAR), and the statistical significance of AAR (t-values) over a 41-day event window (-20 to +20 days). The findings reveal that credit rating upgrades generate stronger and statistically significant abnormal returns, particularly around key days such as Day -10, Day 18, and Day 19, highlighting the market's positive reaction to favourable rating changes. In contrast, credit rating affirmations exhibit relatively smaller and less significant abnormal returns, suggesting limited new information for investors. This differential response underscores the greater informational value of upgrades compared to affirmations. The results provide insights for investors, policymakers, and market participants on how credit rating announcements influence short-term share price movements and market efficiency.

Keyword: Credit Rating, Rating Upgrade, Rating Downgrade, Rating Affirmation.