The economic function of credit rating agencies – What does the watchlist tell us?

Bannier, Christina E.; Hirsch, Christian

doi:10.1016/j.jbankfin.2010.07.002

Cited by 125 publications

(74 citation statements)

References 32 publications

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“…8 This is consistent with the findings of previous studies that have documented a negative impact of ratings downgrades on the stock markets (Behr and Güttler, 2008;and Bannier and Hirsch, 2010). A notable feature is the robustness of these results in all maturities that is not only countryspecific but crosses borders.…”

Section: Empirical Findingssupporting

confidence: 89%

Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?

Petmezas

Santamaría

2014

Journal of International Money and Finance

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This study investigates the way a crisis spreads within a country and across borders by testing the investor induced contagion hypothesis through the liquidity channel on stockbond relationships of the US and five European countries before and during the global banking and European sovereign debt crisis of 2007-2012. We provide evidence consistent with the wealth effect as a source of contagion for the majority of countries. Nevertheless, we uncover evidence of investor induced contagion sourced by the portfolio rebalancing effect for correlations involving Spanish and Italian bonds during the debt crisis. Further, we find that tight (narrow) credit spreads reduce (magnify) the wealth and portfolio rebalancing effects, which are offset by the opposite effects of risk aversion amongst investors, a dynamic that is not restricted to crisis periods.

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Section: Empirical Findingssupporting

confidence: 89%

Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?

Petmezas

Santamaría

2014

Journal of International Money and Finance

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“…However, because of CRAs' "through the cycle" methodology and the sound reasons for stability in ratings (Altman & Rijken, 2006;Löffler, 2004Löffler, , 2005, watch and outlook signals are International Review of Financial Analysis 21 (2012) 45-55 very likely to be the source where CRAs reveal more private information. Bannier and Hirsch (2010) analyse the economic function of the watchlist, and find that CRAs employ watch signals to improve the delivery of information.…”

Section: Introductionmentioning

confidence: 99%

Rating agencies' credit signals: An analysis of sovereign watch and outlook

Alsakka

Gwilym

2012

International Review of Financial Analysis

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“…When analysing a rating and its impact on the financial market, the impact of legal restrictions and regulations on improving the accuracy and reliability of the assessment performed by the particular rating agencies (Cheng & Neamtiu, 2009), as well as on the consequences of introducing the "list of observed issuers" as a means of the monitoring and regulation of market details regarding the financial situation of companies were also taken into consideration (Bannier & Hirsch, 2010). According to this chapter, the rating agencies and their scores have a significant impact on the functioning of companies in a number of aspects of their operations.…”

Section: Rating Agenciesmentioning

confidence: 99%

Determinants of Interest Rates on Corporate Bonds of Mining Enterprises

Ranosz

2017

Archives of Mining Sciences

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This article is devoted to the determinants of interest rates on corporate bonds of mining enterprises. The study includes a comparison between the cost of foreign capital as resulting from the issue of debt instruments in different sectors of the economy in relation to the mining industry. The article also depicts the correlation between the rating scores published by the three largest rating agencies: S&P, Moody`s, and Fitch. The test was based on simple statistical methods. The analysis performed indicated that there is a dependency between the factors listed and the amount of interest rates on corporate bonds of global mining enterprises. Most significant factors include the rating level and the period for which the given series of bonds was issued. Additionally, it is not without significance whether the given bond has additional options. Pursuant to the obtained results, is should be recognized that in order to reduce the interest rate on bonds, mining enterprises should pay particular attention to the rating and attempt to include additional options in issued bonds. Such additional options may comprise, for example, an ability to exchange bonds to shares or raw materials.Keywords: mining corporate bonds, convertible bonds, callable and puttable bonds, bond's coupon Niniejszy artykuł został poświęcony determinantom oprocentowania obligacji korporacyjnych spółek górniczych. Do głównych czynników mających znaczący wpływ na wartość kuponu obligacji zaliczono: okres do wykupu obligacji, poziom ratingu oraz rodzaj obligacji. Każda z wymienionych zmiennych może wpływać na obniżenie oraz na podwyższenie wartości kuponu (oprocentowania) obligacji. Celem niniejszego opracowania jest zbadanie zależności pomiędzy kuponem a wymienionymi determinantami. Opracowanie zawiera również porównanie kosztu kapitału obcego wynikającego z emisji instrumentów dłużnych różnych sektorów gospodarki w stosunku do sektora górniczego. W artykule zbadano również korelację pomiędzy udzielanymi ratingami publikowanymi przez trzy największe agencje ratingowe, do których zaliczono: S&P, Moody`s oraz Fitch. Do przeprowadzenia badania wykorzystano proste metody statystyczne. Przeprowadzona analiza wykazała, iż istnieje zależność pomiędzy wymienionymi czynnikami a wartością oprocentowania obligacji emitowanych przez przedsiębiorstwa górnicze na świecie. 622Należy również stwierdzić, iż do najważniejszych należy zaliczyć poziom ratingu oraz okres na jaki została wyemitowana dana seria obligacji. Nie bez znaczenia jest również to czy dana obligacja posiada opcje dodatkowe. Na podstawie otrzymanych wyników należy stwierdzić, iż przedsiębiorstwa górnicze w celu obniżenia oprocentowania obligacji powinny zwracać szczególną uwagę na rating oraz starać się zwierać opcje dodatkowe w emitowanych przez siebie obligacjach. Taką opcją dodatkową może być na przykład możliwości zamiany obligacji na akcje czy też surowiec.Słowa kluczowe: górnicze obligacje korporacyjne, obligacje zamienne, obligacje callable i puttable, kupon obligacji

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The economic function of credit rating agencies – What does the watchlist tell us?

Cited by 125 publications

References 32 publications

Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?

Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?

Rating agencies' credit signals: An analysis of sovereign watch and outlook

Determinants of Interest Rates on Corporate Bonds of Mining Enterprises

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