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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

Treść / Zawartość
Warianty tytułu
Credit rating opłacany przez emitenta i inwestora - wpływ na kursy akcji
Języki publikacji
EN
Abstrakty
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)
EN
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)
Twórcy
  • University of Warsaw, Poland
Bibliografia
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  • Berwart E., Guidolin M., Milidonis A., 2014, An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings, Working paper, https://papers.ssrn.com/ sol3/papers.cfm?abstract_id=2439492 (23.04.2017).
  • Bhattacharya U., Wei K. D., Xia H., 2014, Follow the money: Investor trading around investor-paid credit rating changes, SSRN Working Paper, https://www.researchgate.net/publication/272245244_ Follow_the_Money_Investor_Trading_Around_Investor-Paid_Rating_Changes (23.04.2017).
  • Bolton P., Freixas X., Shapiro J., 2012, The credit ratings game, Journal of Finance, no. 67(1), p. 85-111.
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  • Fama E.F., 1998, Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics, no. 49, p. 283-306.
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  • Griffin J.M., Nickerson J., Tang D.Y., 2013, Rating shopping or catering? An examination of the response to competitive pressure for CDO credit ratings, Review of Financial Studies, no. 26(9), p. 2270-2310.
  • Gropp R., Richards A.J., 2001, Rating agency actions and the pricing of debt and equity of European banks: what can we infer about private sector monitoring of bank soundness?, European Central Bank, Working Paper, no. 76.
  • Han S.H., Shin Y.S., Reinhart W., Moore, W.T., 2009, Market Segmentation effects in corporate credit rating changes: The case of emerging markets, Journal of Financial Services Research, vol. 35, no. 2, p. 144-166.
  • Hiu L., Nuttawat V., Puspakaran K., 2004, Effects of credit rating announcements: the Swedish stock market, International Journal of Finance, vol. 16(1), p. 28-72.
  • Jiang J., Stanford M.H., Xie Y., 2012, Does it matter who pays for bond ratings? Historical evidence, Journal of Financial Economics, vol. 105, issue 3, p. 607-662.
  • Johnson R., 2003, An Examination of Rating Agencies' Actions Around the Investment-Grade Boundary, Working paper, http://www.fsa.ulaval.ca/nfa2003/papiers/Richard Johnson.pdf (23.04.2017).
  • Jones E., Mulet-Marquis Q., 2014, The stock market reaction to changes to credit ratings of US-listed banks, Centre for Finance and Investment Discussion Paper Series DP2013-AEF03, British Accounting and Finance Association (BAFA) Scottish Area Group Conference, September.
  • Kashyap A.K., Kovrijnykh N., 2013, Who should pay for credit ratings and how?, NBER Working Paper, no. 18923.
  • Kräussl R., 2003, Do credit rating agencies add to the dynamics of emerging market crises?, Journal of Financial Stability, no. 1(3).
  • Mathis J., McAndrews J., Rochet J.-C., 2009, Rating theatres: Are reputation concerns powerful enough to discipline rating agencies?, Journal of Monetary Economics, no. 56, p. 657-674.
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  • Strobl G., Xia H., 2012, The Issuer-Pays Rating Model and Ratings Inflation: Evidence from Corporate Credit Ratings, Working Paper, https://papers.ssrn.com/sol3/papers.cfm? abstract_id=2002186 (23.04.2017).
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  • Winton A., Yerramilli, V., 2011, Lender moral hazard and reputation in originate-to-distribute markets, Working Paper, https://www.erim.eur.nl/fileadmin/erim_content/documents/paper_ lender_reputation_and_monitoring-SFS_Cavalcade_201.pdf (23.04.2017).
  • Xia H., 2014, Can investor-paid credit rating agencies improve the information quality of issuer paid rating agencies?, Journal of Financial Economics, no. 111(2), p. 450-468.
Typ dokumentu
Bibliografia
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