Zapowiedzi zmian credit ratingów banków a zmiany cen akcji

• Autorzy: Patrycja Chodnicka-Jaworska

Warianty tytułu

Announcements of Banks' Credit Ratings Changes and Stock Prices Changes

• Języki publikacji: PL

Abstrakty

Celem artykułu jest analiza wpływu oddziaływania informacji na temat zapowiedzi zmian credit ratingów banków na ich ceny akcji. W artykule dokonano przeglądu literaturowego zarówno w zakresie oddziaływania korekty credit ratingów, jak i ich nastawienia na kursy akcji firm oraz instytucji sektora finansowego. Na jego podstawie postawiono hipotezę: Ceny akcji banków reagują w sposób istotny na oczekiwanie obniżki credit ratingu, a nie są wrażliwe na wzrost noty. Do badania wykorzystano dane pozyskane z bazy Thomson Reuter dla lat 2000-2015, dla akcji banków notowanych na giełdzie z 23 krajów europejskich, łącznie 658 banków. Postawioną hipotezę zweryfikowano z wykorzystaniem metody event study. Jako zmienne zależne wykorzystano zlogarytmowane stopy zwrotu, natomiast jako zmienne niezależne wykorzystano nastawienie krótko- (watch list) i długoterminowe (outlook) wobec ratingów długoterminowych emitenta S&P i Moody's(abstrakt oryginalny)

EN

The aim of the article is to analyse the impact of signals about the banks' credit rating changes on their stock prices. In the article provides the literature review about the impact of credit rating changes and their announcements on the stock prices of entities and financial institutions. As a result the hypothesis was proposed: banks' stock prices react significantly to the signals about the downgrades of the credit rating changes and are insensitive to the upgrades. The analysis used data collected from the Thomson Reuters database for 2000- -2015 for the share prices of banks listed on the stock exchanges in 23 European countries, a total of 658 banks. The hypothesis has been verified by using the event study method. As the dependent variables the logarithmized rates of return of stock prices were taken, and as the independent variables we employed the watch lists and outlooks of long-term issuer credit ratings given by S&P and Moody's(original abstract)

Słowa kluczowe

PL

Ocena zdolności kredytowej; Ceny akcji; Banki

EN

Credit rating; Shares prices; Banks

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Rocznik: 2016
• Numer: nr 445 Aktywa finansowe
• Strony: 27--36

Twórcy

autor

Patrycja Chodnicka-Jaworska

• Uniwersytet Warszawski

Bibliografia

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Identyfikatory

DOI

10.15611/pn.2016.445.03