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2018 | nr 519 Wrocław Conference in Finance: Contemporary Trends and Challenges | 40--52
Tytuł artykułu

The Issuer and Investor Credit Ratings - the Impact on the Stock Prices

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Warianty tytułu
Credit rating opłacany przez emitenta i inwestora - wpływ na kursy akcji
Języki publikacji
Podstawowym celem artykułu jest analiza wpływu zmian credit ratingu na stopy zwrotu z akcji banków, z uwzględnieniem podmiotu, który zwraca się o przyznanie ratingu. Postawiono następujące hipotezy badawcze: ceny akcji banków silniej reagują na zmiany credit ratingu opłacanego przez inwestora. Najsilniejszy wpływ na zmiany credit ratingów banków ma obniżenie ratingów zarówno emitenta, jak i inwestora. Silniejsza znacząca reakcja nastepuje po momencie publikacji. Analiza została przygotowana na bazie danych Thomson Reuters. Analizę przeprowadzono na danych z lat 1980-2015 dla banków z krajów europejskich, stosując metody event study.(abstrakt oryginalny)
The basic goal of the article is to analyse the impact of credit rating changes on the rates of return on banks' shares, considering the entity that asked for assigning a credit rating. The following hypotheses are proposed: banks' share prices react stronger to the investor-paid credit rating changes. the strongest impact of the banks' credit rating changes is observed for a downgrade, for both the issuer and the investor credit ratings, while a stronger significant reaction is observed after the moment of publication. The analysis was prepared on the Thomson Reuters Database. The analysis was carried out on data from the years 1980 to 2015, for banks from the European countries, by using event study methods.(original abstract)
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