Credit rating changes and their impact on equity prices : how much should banks care ? / Ana Alexandra VELEZ MAO DE FERRO

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Credit rating changes and their impact on equity prices : how much should banks care ? / Ana Alexandra VELEZ MAO DE FERRO

Study and report

VELEZ MAO DE FERRO, Ana Alexandra. Author

Published by ESCP Business School - 2013

Library: Madrid London Paris Champerret Paris Montparnasse Turin Berlin

Source: Syracuse

Item type

Study and report

Dissertation

MIM Master in Management Grande Ecole

Language

English

Publication year: 2013

Subjects: EVALUATION OF A COMPANY - BANK - SHARE - INVESTMENT FUND - BANK CREDIT

Companies: STANDARD AND POOR'S

Author's abstract : This dissertation investigates the existence of abnormal returns in a sample of 48 banks following credit rating changes done by S&P to those banks and to their sovereigns a total of 10 countries between 2008 and 2012. We analyse three types of effects: first, bank rating changes impact on its own stock price; second, sovereign rating downgrades impact on banks stock prices (national and foreign); third, bank rating changes impact on non-downgraded banks equity prices. The impacts are seldom significant: a departure from existing literature that may result from the usage of a test statistic robust to cross-correlation and event-induced volatility effects, or from time series differences.