This study investigates the share price behaviour surrounding rating action announcements by credit rating agencies. The rating actions considered in this study include rating changes, •such as downgrades and upgrades, credit watch announcements, with both negative and positive implications, and rating confirmations, which follow credit watch announcements. Rating agencies obtain all available information about a company, including both public and private information, and make a judgment concerning the appropriate rating level. If this element of judgment is valued by the market, unexpected rating actions are expected to lead to price reactions in the equity market. The results indicate that the judgment of the rater is not valued for bond rating changes. The announcement does not represent new information to the market. However, a significant reaction is found in response to negative watch announcements. This indicates that the judgment of the rater is valued when a rating change is first indicated, rather than when the actual change occurs. No reaction was found for positive watch announcements, which is consistent with the previous literature. Further, rating confirmations following negative watch announcements do not appear to represent new information to the market through the judgment of the rater. These results were generally robust to different methodologies. Several factors were also found to affect the extent of the reaction to bond rating changes. The significance of both the credit watch variable and variable representing a previous rating change by another agency supported the use of these variables to indicate market expectations in the event study. The number of grades, the investment grade variable and the reason variable did have a significant effect in at least one regression. The upgrade results were less reliable, with most of the variables in the direction opposite to the hypothesised direction.