Credit Rating Change

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What I need: My topic is basically to examine how credit rating changes affects stock prices. What I did so far? I collected some data on credit rating changes of US stocks and I already examined the short term effect on stock prices, this means I examined how the stock price reacts 7 trading days before and 7 trading days after the rating change, basically for rating change upgrade and rating change downgrade. I have some results on that but this is not enough. What I need? I need more analysis. My instructor told me that I have to do more analysis, for instance to examine how liquidity might effect the rating change or how other company characteristics might have some effect. Further more I have to find a way how to make sure that the effect on stock price is due to the rating change and not due to some other external effect. So how else could you help me? Find some more analysis that would make sense to conduct. You have to conduct for sure how company characteristics or liquidity might have an affect, but maybe there are some more interesting analysis that can be made. What I will offer you? I will offer you the dataset with the upgrade and dowgrades. I already uploaded the one with the upgrades. There you will find the information about the companies that had a rating change and especially the data. Its important to know how to work with WRDS database and STATA as the information you require, such as company characteristics and liquidity (bid-ask spread for instance) will be found there. But you need to know how to set up the data to get these information. so Basically the whole work is about methodology and analysis. Is it clear? Please feel free to ask some more question if required.
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