Warianty tytułu
Języki publikacji
Abstrakty
Theoretical background: The increase in the issuance of Eurobonds by the issuers from Central and Eastern Europe has become a reason for considering the impact of the issuer's creditworthiness assessment on the interest rate of the coupon of the issued debt instruments.
Purpose of the article: The aim of the study was to assess whether having a creditworthiness assessment from more than one agency affects the interest rate on the Eurobond coupon. This objective was achieved through the process of analysis of the ratings assigned by the rating agencies. Based on the analysis of the literature and the available data, the research hypothesis was developed and verified in an empirical study. The results were analyzed in the discussion section.
Research methods: The credit ratings for the Eurobonds corporate and government issuers, announced on the issue date, have been analyzed. The analysis covered the fixed interest rate debt instruments issued in EUR in the years 2005-2020 (the first half of the year). The empirical research was carried out using the observation method, the analysis of source documents, and the method of deduction.
Main findings: The results of the conducted research indicate that the coupon rate is not affected by the number of ratings given to the issuer. Due to the fact that the lowest average coupon interest in 2005-2020 was held by Eurobonds of the issuers with one credit rating, there is no need for an additional creditworthiness assessment by other agencies, and for any additional costs to be incurred by the issuer. It is one of the few studies on the Central and Eastern Europe market of which the author is aware.(original abstract)
Purpose of the article: The aim of the study was to assess whether having a creditworthiness assessment from more than one agency affects the interest rate on the Eurobond coupon. This objective was achieved through the process of analysis of the ratings assigned by the rating agencies. Based on the analysis of the literature and the available data, the research hypothesis was developed and verified in an empirical study. The results were analyzed in the discussion section.
Research methods: The credit ratings for the Eurobonds corporate and government issuers, announced on the issue date, have been analyzed. The analysis covered the fixed interest rate debt instruments issued in EUR in the years 2005-2020 (the first half of the year). The empirical research was carried out using the observation method, the analysis of source documents, and the method of deduction.
Main findings: The results of the conducted research indicate that the coupon rate is not affected by the number of ratings given to the issuer. Due to the fact that the lowest average coupon interest in 2005-2020 was held by Eurobonds of the issuers with one credit rating, there is no need for an additional creditworthiness assessment by other agencies, and for any additional costs to be incurred by the issuer. It is one of the few studies on the Central and Eastern Europe market of which the author is aware.(original abstract)
Słowa kluczowe
Rocznik
Tom
Numer
Strony
31--40
Opis fizyczny
Twórcy
autor
- SGH Warsaw School of Economics
Bibliografia
- Afonso, A., Furceri, D., & Gomes, P. (2012). Sovereign credit ratings and financial markets linkages: Application to European data. Journal of International Money and Finance, 31(3). doi:10.1016/j.jimonfin.2012.01.016
- Ammer, J., & Packer, F. (2000). How consistent are credit ratings? A geographic and sectoral analysis of default risk. International Finance Discussion Papers, 668.
- Avramov, D., Chordia, T., Jostova, G., & Philipov, A. (2007). Credit ratings and the cross-section of stock returns. Working Paper, EFA 2008 Athens Meeting.
- Baker, K., & Mansi, S. (2001). Assessing credit agencies by corporate bond issuers: The case of investment versus non-investment grade bonds. SSRN Working Paper.
- Bannier, Ch.E., & Hirsch, Ch.W. (2010). The economic function of credit rating agencies - what does the watchlist tell us? Journal of Banking & Finance, 34(12), 3037-3049. doi:10.1016/j.jbankfin.2010.07.002
- Behr, P., & Güttler, A. (2008). The informational content of unsolicited ratings. Journal of Banking & Finance, 32(4), 587-599. doi:10.1016/j.jbankfin.2007.04.021
- Bongaerts, D., Cremers, K.J.M., & Goetzmann, W.N. (2012). Tiebreaker: certification and multiple credit ratings. Journal of Finance, 67(1), 113-152. doi:10.1111/j.1540-6261.2011.01709.x
- Cantor, R., & Packer, F. (1996). Determinants and impact of sovereign credit ratings. Economic Policy Review, 2, 37-54.
- Cantor, R. (2004). An introduction to recent research on credit ratings. Journal of Banking & Finance, 28(11), 2565-2573.
- Choudhry, M. (2006). Corporate Bond Markets: Instrument and Applications. Singapore: John Wiley & Sons.
- Chung, H., Frost, C., & Kim, M. (2012). Characteristics and information of credit watches. Financial Management, 41(1), 119-158. doi:10.1111/j.1755-053X.2012.01180.x
- Cornell, B., Landsman, W., & Shapiro, A. (1989). Cross-sectional regularities in the response of stock prices to bond rating changes. Journal of Accounting, Auditing and Finance, 4(4). doi:10.1177/0148558X8900400403
- Dichev, I., & Piotroski, J. (2001). The long-run stock returns following bond ratings changes. Journal of Finance, 56(1), 173-203. doi:10.1111/0022-1082.00322
- Dziawgo, D. (2010). Credit rating na międzynarodowym rynku finansowym. Warszawa: PWE.
- Fabozzi, F. (2007). Bond Market, Analysis, and Strategies. New Jersey: Pearson Prentice Hall.
- Galil, K., & Soffer, G. (2011). Good news, bad news and rating announcements: An empirical investigation, Journal of Banking & Finance, 35(11), 3101-3119. doi:10.1016/j.jbankfin.2011.04.010
- Gande, A., & Parsley, D. (2005). News spillovers in the sovereign debt market. Journal of Financial Economics, 75(3), 691-734. doi:10.1016/j.jfineco.2003.11.003
- Goh, J., & Ederington, L. (1999). Cross-sectional variation in the stock market reaction to bond rating changes. Quarterly Review of Economics and Finance, 39(1), 101-112.
- Griffin, P., & Sanvicente, A. (1982). Common stock returns and rating changes: a methodological comparison. Journal of Finance, 37(1), 103-119. doi:10.1111/j.1540-6261.1982.tb01098.x
- Hand, J., Holthausen, R., & Leftwich, R. (1992). The effect of bond rating agency announcements on bond and stock prices. Journal of Finance, 47(2). doi:10.2307/2329121
- IOSCO (International Organization of Security Commissions, Technical Committee). (2004). Code of Conduct Fundamentals for Credit Rating. IOSCO Public Document 173. Retrieved from www.iosco.org/library/pubdocs/pdf/IOSCOPD180.pdf
- Jewell, J., & Livingston, M. (2000). The impact of a third credit rating on the pricing of bonds. Journal of Fixed Income, 10(3), 69-85. doi:10.3905/jfi.2000.319275
- Jorion, P., & Zhang, G. (2010). Information transfer effects of bond rating downgrades. Financial Review, 45(3), 683-706. doi:10.1111/j.1540-6288.2010.00266.x
- Norden, L., & Weber, M. (2004). Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements. Journal of Banking & Finance, 28(11), 2813-2843. doi:10.1016/j.jbankfin.2004.06.011
- Opp, C.C., Opp, M.M., & Harris, M. (2013). Rating agencies in the face of regulation. Journal of Financial Economics, 108(1), 46-61. doi:10.1016/j.jfineco.2012.10.011
- SEC (U.S. Securities and Exchange Commission). (2003). Report on the Role and Function of Credit Rating Agencies in the Operation of the Securities Markets.
- Steiner, M., & Heinke, V. (2001). Event study concerning international bond price effects of credit rating actions. International Journal of Finance and Economics, 6(2), 139-157. doi:10.1002/ijfe.148
- Vassalou, M., & Xing, Y. (2005). Abnormal Equity Returns Following Downgrades. Working Paper. Columbia University.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171608041
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