INFORMATION VALUE OF THE CREDIT RATING ON THE CREDIT DEFAULT SWAPS MARKET

Main Article Content

Patrycja Chodnicka-Jaworska

Abstrakt

The paper examines the impact of the countries’ credit ratings
changes on the cost of credit defaults swaps premium. It is assumed statistical
significance abnormal returns due to changes in credit ratings assigned
by the agencies. It is has been put the hipothesis that ratings events convey new
information and lead to significant abnormal reactions. The study used
the ratings assigned by Standard & Poor's and Moody's for the period from
January 2005 to November 2015 and spreads for five-year senior unsecured
CDS. To verify the hypothesis the event study method (by daily data) is
applied.

Article Details

Jak cytować
Chodnicka-Jaworska, P. (2022). INFORMATION VALUE OF THE CREDIT RATING ON THE CREDIT DEFAULT SWAPS MARKET. Metody Ilościowe W Badaniach Ekonomicznych, 18(3), 418 –. https://doi.org/10.22630/MIBE.2017.18.3.39
Bibliografia

Bannier C., Tyrell M. (2005) Modelling the Role of Credit Rating Agencies? Do They Spark

of a Virtuous Circle?. Working Paper Series: Accounting and Finance 165, W. GoetheUniversity.

Cantor R., Packer F. (1996) Determinants and Impact of Sovereign Credit Ratings. (Crossref)

The Journal of Fixed Income, 6(3), 76-91.

Carlson M., Hale G. (2005) Courage to Capital? A Model of the Effects of Rating Agencies

on Sovereign Debt Roll-over. Discussion Paper Series 1506, Cowles Foundation for

Research in Economics, Yale University.

Chodnicka P., Jaworski P. (2014) Porównanie czynników determinujących standing

kredytowy krajów według poziomu rozwoju gospodarczego. [in:] K. Opolski, J. Górski

Perspektywy i wyzwania integracji europejskiej. Wydział Nauk Ekonomicznych

Uniwersytetu Warszawskiego, Narodowy Bank Polski, Warszawa.

Chodnicka P., Jaworski P., Niewińska K. (2014) The Impact of Country’s Credit Ratings

on the Cost of the Capital. Advances in Business Related Scientific Research, Rome.

Chodnicka P., Jaworski P., Niewińska K. (2014) Czynniki determinujące rating kredytowy

krajów europejskich. Problemy zarządzania, 4(48), 111-131.

Chodnicka P. (2015) Credit rating a koszt kapitału. Kwartalnik Kolegium Ekonomiczno –

Społecznego. Studia i prace, 3(81), 49-55.

Chodnicka – Jaworska P. (2015) Credit Rating Determinants for European Countries. Global

Journal of Management and Business Research: Finance, 15(9), 7-18.

Chodnicka P., Jaworski P., Niewińska K. (2015) The Impact of Country’s Credit Rating

on the Cost of the Capital. International Review of Management and Business Research,

(4), 277-285.

Dichev I. D., Piotroski J. D. (2001) The Long-Run Stock Returns Following Bond Ratings (Crossref)

Changes. Journal of Finance, 56, 173-203.

Ederington L. H., Goh J. C. (1998) Bond Rating Agencies and Stock Analysts: Who Knows (Crossref)

What When?. Journal of Financial and Quantitative Analysis, 33(4), 569-585.

Ederington L. H., Goh J. C. (1993) Is a Bond Rating Downgrade Bad News, Good News,

or No News for Stockholders?. Journal of Finance, 48(5), 2001-2008.

Elkhoury M. (2009) Credit Rating Agencies and their Potential Impact on Developing

Countries, Compendium on Debt Sustainability and Development, United Nations

Conference on Trade and Development.

Followill R. A., Martell T. (1997) Bond Review and Rating Change Announcements: An

Examination of Informational Value and Market Efficiency. Journal of Economics and

Finance, 21, 75-82.

Glascock J. L., Davidson W. N., Henderson G. V. (1987) Announcement Effects of Moody’s

Bond Rating Changes on Equity Returns. Quarterly Journal of Business and Economics,

, 67-78.

Grier P., Katz S. (1976) The Differential Effects of Bond Rating Changes among Industrial (Crossref)

and Public Utility Bonds by Maturity. Journal of Business, 49, 226-239.

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?. Frankfurt: ECB Working Paper, 76.

Hand J. R., Holthausen R. W., Leftwich R. W. (1992) The Effect of Bond Rating Agency

Announcements on Bond and Stock Prices. Journal of Finance, 47, 733-752.

Hite G., Warga A. (1997) The Effect of Bond-Rating Changes on Bond Price Performance. (Crossref)

Financial Analysts Journal, 53, May/June, 35-51.

Hull J., Predescu M., White A. (2003) The Relationship between Credit Default Swap

Spreads, Bond Yields, and Credit Rating Announcements. Working Paper, June 2003.

Iankova E., Pochon F., Teïletche J. (2006) Impact of Agencies’ Decisions: Comparison

of French Equities and International Experiences. Working Paper. AMF Market Impact

of Rating Agencies’ Decisions – January 2006.

Katz S. (1974) The Price Adjustment Process of Bonds to Rating Reclassifications: A Test (Crossref)

of Bond Market Efficiency. Journal of Finance, 29, 551-559.

Kliger D., Sarig O. (2000) The Information Value of Bond Ratings. Journal of Finance, (Crossref)

(6), 2879-2902.

Kraussl R. (2000) Sovereign Ratings and Their Impact on Recent Financial Crises. CFS

Working Paper Series, 2000/04.

Norden L. (2004) Kreditderivate: Zwischen Kapitalmarkt und bankbetrieblicher Verwendung. Doctoral Thesis, University of Mannheim.

Norden L., Weber M. (2004) Informational Efficiency of Credit Default Swap and Stock

Markets: The Impact of Credit Rating Announcements. Journal of Banking & Finance,

(11), 2813–2843.

Pinches G. E., Singleton J. C. (1978) The Adjustment of Stock Prices to Bond Rating (Crossref)

Changes. Journal of Finance, 33, 29-44.

Reisen H., von Maltzan J. (1999) Boom and Bust and Sovereign Ratings. International (Crossref)

Finance, 2(2), 273-293.

Steiner M., Heinke V. G. (2001) Event Study Concerning International Bond Price Effects (Crossref)

on Credit Rating Actions. International Journal of Finance and Economics, 6, 139-157.

Vassalou M., Xing Y. (2003) Equity Returns Following Changes in Default Risk: New

Insights into the Informational Content of Credit Ratings. Working Paper, Columbia

University.

Wansley J. W., Clauretie T. M. (1985) The Impact of Creditwatch Placement on Equity (Crossref)

Returns and Bond Prices. The Journal of Financial Research, 8(1), 31-42

Wansley J. W., Glascock J. L., Clauretie T. M. (1992) Institutional Bond Pricing and

Information Arrival: The Case of Bond Rating Changes. Journal of Business Finance and

Accounting, 19, 733-750.

Weinstein M. (1977) The Effect of a Rating Change Announcement on Bond Price. Journal (Crossref)

of Financial Economics, 5(3), 329-350.

Statystyki

Downloads

Download data is not yet available.
Rekomendowane teksty