Publication: ¿Reflejan los cambios de rating de la deuda variaciones en el riesgo de los emisores?
Loading...
Official URL
Full text at PDC
Publication Date
2015
Authors
Advisors (or tutors)
Editors
Journal Title
Journal ISSN
Volume Title
Publisher
Asociación Europea de Dirección y Economía de la Empresa (AEDEM)
Citations
Exportar
Abstract
En este trabajo analizamos la relación existente entre los anuncios de cambios en la calificación asignada a la deuda corporativa y los niveles de riesgo sistemático e idiosincrásico de la empresa emisora. Analizamos los cambios en la calificación de la deuda de empresas españolas anunciados por las 3 principales agencias de rating (Moody’s, Standard & Poor’s y Fitch). Nos centramos en las empresas que cotizan o han cotizado en el Mercado Continuo entre 1988 y 2010. Con objeto de medir los riesgos de la empresa partimos de una extensión del Modelo de Mercado a partir de la cual realizamos un estudio de eventos. Los resultados muestran cambios en los niveles de riesgo en la dirección señalizada por el cambio en la calificación. En particular, las mejoras de la calificación van acompañadas de menores niveles de ambos riesgos, aunque la evidencia de caída en el riesgo beta es escasa. Por el contrario, los deterioros en la calificación causan claros incrementos en el riesgo sistemático, acompañados de menor riesgo idiosincrásico. Además, la respuesta de los riesgos depende de las características del anuncio, del emisor y el entorno económico.
This study analyzes the effects of six different credit rating announcements on systematic and idiosyncratic risk in Spanish stocks from 1988 to 2010. We analyze announcement by the main rating agencies: Moody’s, Standard & Poor’s and Fitch. We apply an extension of the event study in a CAPM model. Wefind effects in both kinds of risk, indicating that rating agencies provide new information to the market. Rating actions that imply an improvement in credit quality cause lower systematic and idiosyncratic risk,with lower effect in beta risk. Conversely, ratings announcements that imply credit quality deterioration cause a rebalance in both types of risk, with higher beta risk being joined with lower diversifiable risk. Moreover, the risk responses depend on the characteristics of the announcement, the issuer and the economic environment.
This study analyzes the effects of six different credit rating announcements on systematic and idiosyncratic risk in Spanish stocks from 1988 to 2010. We analyze announcement by the main rating agencies: Moody’s, Standard & Poor’s and Fitch. We apply an extension of the event study in a CAPM model. Wefind effects in both kinds of risk, indicating that rating agencies provide new information to the market. Rating actions that imply an improvement in credit quality cause lower systematic and idiosyncratic risk,with lower effect in beta risk. Conversely, ratings announcements that imply credit quality deterioration cause a rebalance in both types of risk, with higher beta risk being joined with lower diversifiable risk. Moreover, the risk responses depend on the characteristics of the announcement, the issuer and the economic environment.
Description
UCM subjects
Unesco subjects
Keywords
Citation
Abad, P. y Robles, M. D. (2006). Risk and returns around bond rating changes: Newevidence from the Spanish stock market. Journal of Business Finance and Accounting, 33(5-6), 885–908.
Abad, P. y Robles, M. D. (2007). Bond rating changes and stock returns: Evidence from the Spanish stock market. Spanish Economic Review, 9, 79–103.
Altman, E. I. y Rijken, H. A. (2007). The added value of Rating Outlooks and Rating Reviews to corporate bond ratings. Barcelona: Financial Management Association Meeting.
Barron, M. J., Clare, A. D. y Thomas, S. H. (1997). The effects of bond rating changesand new ratings on UK stocks returns. Journal of Business, Finance and Accounting,24(3), 497–509.
Becker, B. y Milbourn, T. (2011). How did increased competition affect credit ratings? Journal of Financial Economics, 101(3), 493–514.
Bongaerts, D., Cremers, K. J. M. y Goetzmann, W. N. (2012). Tiebreaker: Certification and multiple credit ratings. Journal of Finance, 67(1), 113–152.
Boot, A. W. A., Milbourn, T. T. y Schmeits, A. (2006). Credit ratings as coordination mechanisms. Review of Financial Studies, 19(1), 81–118.
Calvet, L. E., Campbell, J. Y. y Sodini, P. (2007). Down or out: Assessing the welfare costs of houshold investment mistakes. Journal of Political Economy, 115,707–747.
Cantor, R. y Packer, F. (1997). Differences of opinion and selection bias in the creditrating industry. Journal of Banking and Finance, 21(10), 1395–1417.
Chandra, U. y Nayar, N. (1998). The information content of commercial paper rating downgrades: Further evidence. Journal of Accounting, Auditing and Finance, 13(4),417–435.
Covitz, D. M. y Harrison, P. (2003). Testing Conflicts of Interest at Bond Ratings Agencies with Market Anticipation: Evidence that Reputation Incentives Dominate, Financeand Economics Discussion Series 2003-68. Washington: Board of Governors of the Federal Reserve System.
Crouhy, M., Galai, D. y Mark, R. (2001). Prototype risk rating system. Journal of Banking and Finance, 25, 47–95.
Crouhy, M. G., Jarrow, R. A. y Turnbull, S. M. (2008). The subprime credit crisis of 2007. Journal of Derivatives, 4, 81–110.
Dichev, I. D. y Piotroski, J. D. (2001). The long-run stock returns following bond ratingchanges. Journal of Finance, 56(1), 173–203.
Dierkins, N. (1991). Information asymmetry and equity issues. Journal of Financial and Quantitative Analysis, 2, 181–199.
Duff, A. y Einig, S. (2009). Understanding credit ratings quality: Evidence from UK debt market participants. British Accounting Review, 41(2), 107–119.
Ederington, L. y Goh, J. (1998). Bond rating agencies and stock analysts: Who knows what when? Journal of Financial and Quantitative Analysis, 33(4), 569–585.
European Parliament (2009). European Parliament legislative resolution of 23 April 2009 on the proposal for a regulation of the European Parliamentand of the Council on Credit Rating Agencies, (COM(2008)0704–C6-0397/2008–2008/0217(COD)).
Followill, R. A. y 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.
Goetzmann, W. N. y Kumar, A. (2008). Equity portfolio diversification. Review ofFinance, 12(3), 433–463.
Goh, J. C. y Ederington, L. H. (1993). Is a bond rating downgrade good news, bad newsor no news to stockholders? Journal of Finance, 48, 2001–2008.
Goh, J. C. y Ederington, L. H. (1999). Cross-sectional variation in the stock market reaction to bond rating changes. The Quarterly Review of Economics and Finance,39, 101–112.
Hand, J. R. M., Holthausen, R. W. y Leftwich, R. W. (1992). The effect of bond rating agency announcements on bond and stock prices. Journal of Finance, 47, 733–752.
Holthausen, R. W. y Leftwich, R. W. (1986). The effect of bond rating changes on common stock prices. Journal of Financial Economics, 17, 57–89.
Impson, C. M., Karafiath, I. y Glascock, J. (1992). Testing beta stationarity across bondrating changes. Financial Review, 27(4), 607–618.
Jorion, P., Liu, Z. y Shi, C. (2005). Informational effects of regulation FD: Evidencefrom rating agencies. Journal of Financial Economics, 76, 309–330.
Jorion, P. y Zhang, G. (2007). information effects of bond rating changes: The role ofthe rating prior to the announcement. Journal of Fixed Income, 16, 45–59.
Jewell, J. y Livingston, M. (1999). A comparison of bond ratings from Moody’s, S&Pand Fitch IBCA. Financial Markets, Institutions and Instruments, 8, 1–45.
Matolcsy, Z. P. y Lianto, T. (1995). The incremental information content of bond ratingrevisions: The Australian evidence. Journal of Banking and Finance, 19, 891–902.
May, A. D. (2010). The impact of bond rating changes on corporate bond prices: Newevidence from the over-the-counter market. Journal of Banking and Finance, 34,2822–2836.
Melicher, R. W. y Rush, D. F. (1974). Systematic risk, financial data and bondrating relationships in a regulated industry environment. Journal of Finance, 29,537–544.
Merton, R. (1974). On the pricing of corporate debt: The risk structure on interestrates. Journal of Finance, 29, 449–470.
Nayar, N. y Rozeff, M. S. (1994). Ratings, commercial paper, and equity returns.Journal of Finance, 49(4), 431–1449.
Opp, C., Opp, M. y Harris, M. (2013). Rating agencies in the face of regulation. Journalof Financial Economics, 108, 46–61.
Peña-Cerezo, M. A., Rodríguez-Castellanos, A. y Ibánez-Hernández, F. J. (2013). Multirating decision model validation: The relevance of the quality of securitizationissues. Journal of Risk Model Validation, 7(3), 35–58.
Tang, T. T. (2009). Information asymmetry and firms’ credit market access: Evidencefrom Moody’s credit rating format refinement. Journal of Financial Economics,93(2), 325–351.
Salvador, C., Pastor, J. M. y Fernández de Guevara, J. (2014). Impact of the subprime crisis on bank ratings: The effect of the hardening of rating policies andworsening of solvency. Journal of Financial Stability, 11, 13–31.
Schwendiman, C. J. y Pinches, G. E. (1975). An analysis of alternative measures ofinvestment risk. Journal of Finance, 30(1), 193–200.
Sheskin, D. J. (1997). Handbook of Parametric and Nonparametric Statistical Procedures.Boca Raton: CRC Press.
Wakeman, L. M. (1990). The real function of bond rating agencies. In C. Smith (Ed.),The ModernTheory of Corporate Finance. New York: McGaw Hill.Wansley, J. y Clauretie, T. M. (1985). The impact of credit watch placement on equityreturns and bond prices. Journal of Financial Research, 8, 31–42.
Xia, H. (2014). Can investor-paid credit rating agencies improve the informationquality of issuer-paid rating agencies? Journal of Financial Economics, 111(2),450–468.