PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2015 | nr 3, t. 4 Finanse publiczne i ubezpieczenia | 91--101
Tytuł artykułu

Wpływ ratingów kredytowych państw europejskich na koszt kapitału

Treść / Zawartość
Warianty tytułu
Influence of European States' Credit Ratings on the Cost of Capital
Języki publikacji
PL
Abstrakty
W opracowaniu postawiono pytanie, jak ratingi kredytowe poszczególnych państw wpływają na koszt kapitału? Aby zbadać to zjawisko, dokonano analizy na podstawie długo- i krótkookresowych ratingów kredytowych przyznanych przez agencje ratingowe Standard & Poor's oraz Moody's Investor Services w 35 państwach europejskich. (fragment tekstu)
EN
The purpose of this paper is to analyze the impact of the countries' credit ratings on the cost of capital through review of the subject literature and panel data models for the 35 European countries for the period 2005-2013. (original abstract)
Twórcy
  • Uniwersytet Warszawski
Bibliografia
  • Ashcraft A. B., Santos J. A., Has the CDS Market Lowered the Cost of Corporate Debt?, Federal Reserved Bank of New York Staff Report, New York 2007.
  • Boot A. W., Milbourn A. T. T., Schmeits A., Credit ratings as coordination mechanisms, "Working Paper Washington University", St. Louis 2003.
  • Callen, J. L., Livnat J., Segal D., The Impact of Earnings on the Pricing of Credit Default Swaps, "The Accounting Review" 2007, Vol. 84, No. 5.
  • Chen R., Cheng X., Wu L., Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads,http://risknet.ch/uploads/tx_bxelibrary/Chen-Dynamic-Interactions-LiquidityRisks.pdf
  • Daniels K. N. S., Jensen M., The Effect of Credit Ratings on Credit Default Swap Spreads and Credit Spreads, "Journal of Fixed Income" 2005, December.
  • Das S. R., Hanouna P. E., Implied Recovery, "Journal of Economic Dynamics and Control" 2009, No. 33 (11).
  • Graham J. R., Harvey C. R., The theory and practice of corporate finance: Evidence from the field, "Journal of Financial Economics" 2001, No. 60.
  • Elkhoury M., Credit Rating Agencies and their potential impact on developing countries, "United Nations Conference on Trade and Development. Discussion papers" 2008, No. 186.
  • Ferri G., Liu L. G., Stiglitz J. E., The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis, "Economic Notes" 1999, Vol. 28, No. 3.
  • Hahn T. K., Comercial paper, "Federal Reserve Bank of Richmond Economic Quarterly"1999, No. 79.
  • Jaramillo L., Tejada C. M., Sovereign Credit Ratings and Spreads in Emerging Markets: Does Investment Grade Matter?, "IMF Working Paper" 2011, WP/11/44.
  • Jorion P., Liu Z., Shi C., Information effects of regulation FD: Evidence from rating agencies,"Journal of Financial Economics" 2005, No. 76 (2).
  • Kisgen, D. J., Strahan P. E., Do regulations based on credit ratings affect a firm's cost of capital?,"Review of Financial Studies" 2010, No. 23 (12).
  • Klige, D., Sarig O., The information value of bond ratings, "The Journal of Finance" 2000,No. 55 (6).
  • Millon M. H., Thakor A. V., Moral hazard and information sharing: A model of financial information gathering agencies, "Journal of Finance" 1985, No. 40.
  • Micu M., Remolon, E. M., Wooldridge P. D., The Price Impact of Rating Announcements : Which Announcements Matter?, "BIS Working Paper" 2006, No. 207.
  • Patel J., Evans D., Burnett J., Junk bonds behaviour with daily returns and business cycles, The Journal of Financial Research" 1998, No. 21.
  • Restrepo F., Credit ratings and the cost of debt: the sovereign ceiling channel, https://www2.bc.edu/felipe-restrepogomez, 2013.
  • Schneider P. G., Sögner L., Veza T., The Economic Role of Jumps and Recovery Rates in theMarket for Corporate Default Risk, http://www.uibk.ac.at/ibf/sonstiges/awg/schneidersoegnerveza_27112007.pdf, 2007.
  • Stiglitz J. E., Weiss A., Credit rationing in markets with imperfect information, "American Economic Review" 1981, No. 71.
  • Villouta C., Empirical Study of Liquidity Effects in the Relation between Corporate Credit Spread and Credit Default Swaps, London Business School, London 2006.
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.ekon-element-000171409017

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.