Market Pricing of European Banks' Credit Rating Changes

• Autorzy: Patrycja Chodnicka-Jaworska

Warianty tytułu

Rynkowa wycena zmian credit ratingów banków europejskich

• Języki publikacji: EN

Abstrakty

EN

The basic goal of the article is to analyse the impact of the changes of banks' credit ratings on the rates of return of banks' shares. The following hypotheses have been formulated: first, a downgrade of a credit rating exerts statistically significant negative influence on the rate of return of banks' shares. Secondly, the impact of the changes of credit ratings is greater in developed countries. The analysis has been conducted for European banks for the period of 1980-2015 using an event study method. The sample has been divided into subsamples according to: the downgrade and upgrade of credit ratings, membership in politico-economic institutions, and the development status of countries, on the basis of the data collected from Thomson Reuters. Dependent variables are taken as daily rates of returns and independent variables are the long-term issuer credit ratings proposed by S&P.

Podstawowym celem artykułu jest analiza wpływu zmian credit ratingów banków na stopy zwrotu z akcji. Postawiono następujące hipotezy: po pierwsze, obniżka credit ratingu wpływa istotnie negatywnie na stopy zwrotu z akcji banków. Po drugie, wpływ zmiany ratingu kredytowego jest silniejszy w krajach rozwiniętych. Analizę przeprowadzono na danych dotyczących banków europejskich w okresie pomiędzy 1980 a 2015 rokiem przy użyciu metody event study. Próbę podzielono na podpróbki zgodnie z: obniżeniem lub poprawą credit ratingu, podziałami politycznymi oraz poziomem rozwoju gospodarczego na podstawie danych pozyskanych z bazy Thomson Reuters. Jako zmienną zależną przyjęto dzienne stopy zwrotu, natomiast jako zmienne niezależne - długoterminowe noty ratingowe emitenta zaproponowane przez S&P. (abstrakt oryginalny)

Słowa kluczowe

EN

Rating; Rate of return; Banking risk

PL

Rating; Stopa zwrotu; Ryzyko bankowe

• Czasopismo: International Business and Global Economy
• Rocznik: 2016
• Numer: nr 35/2
• Strony: 137--146

Twórcy

autor

Patrycja Chodnicka-Jaworska

• Uniwersytet Warszawski

Bibliografia

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Identyfikatory

DOI

10.4467/23539496IB.16.052.5633