This paper investigates whether the price response to credit rating agency (CRA) announcements on sovereign bonds has diminished since the Global Financial Crisis (GFC). The authors characterize credit rating events more precisely than previous work, controlling agency announcements for the prior credit state - outlook, watch/review, or stable status as well as the level of the credit rating. Emphasizing the transition from one state to another allows them to distinguish between different types of announcement (rating changes, watch and outlook events) and their price effects. The authors employ an event study methodology and gauge market response by standardized cumulative abnormal returns (SCAR) and directional change statistics in daily credit default swap (CDS) spreads. They find that rating announcements provide a rich and varied set of information on how credit rating agencies influence market perceptions of sovereign default risk. CRA announcements continued to have significant effects on CDS spreads after the GFC, but the magnitude of the responses generally fell. Moreover, the authors find that accurate measurement of these effects depends on conditioning for the prior credit state of the sovereign bond.