La notation et le marché obligataire primaire en France

Hubler, Jérôme; Raimbourg, Philippe

doi:10.3406/ecofi.1996.2272

Cited by 1 publication

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“…They analyse the pricing of bonds using econometric models in which rating is one of the explanatory variables. The articles of Hubler and Raimbourg (1996) and Sironi (2003) are clear examples of this. Hubler and Raimbourg examine the French bond market starting from the introduction of rating agencies in 1986 till the end of 1993; the econometric analysis shows the relationship between the level of spreads and ratings.…”

Section: Introductionmentioning

confidence: 98%

Do Upgradings and Downgradings Convey Information? An Event Study of the French Bond Market

Dallocchio

Hubler²,

Raimbourg

et al. 2006

Economic Notes

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This study has two purposes: 1 To present an alternative method for the study of events related to bond spreads applicable when only a small number of events is available; 2 To analyse the impact of downgradings and upgradings on the French financial market. A small number of events can render the use of traditional methods based on the analysis of abnormal returns difficult. We suggest examining the stationarity of relative spreads and dating a possible interruption in the series by carrying out tests in increasingly wider time windows. This method has been applied to assess the role of rating agencies in the French financial market. The results obtained are, in general, not only similar to those previously obtained in other markets, but also more accurate. The aggregate analysis shows an absence of reaction for upgradings while downgradings determine reaction on financial markets. However, if we expand the analysis to single issuers we find that downgradings had no relevant effect on financial markets in most cases. Only two issuers (France Telecom and Vivendi), with initially good, but rapidly deteriorating, credit reputation, experienced a significant rise of their spreads. In these cases, financial markets reacted prior to the downgrading by the agency. Tests based only on the analysis of the whole events would have led us, in the case of downgradings, to partially flawed conclusions. (

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Section: Introductionmentioning

confidence: 98%