OCZEKIWANIE ZMIANY NASTAWIENIA CREDIT RATINGS BANKÓW A KURSY AKCJI PRZY UWZGLĘDNIENIU POZIOMU ROZWOJU GOSPODARCZEGO KRAJU
Journal Title: Kwartalnik Kolegium Ekonomiczno-Społecznego Studia i Prace - Year 2017, Vol 1, Issue 1
Abstract
The aim of the paper is verification of the following hypothesis the share prices of banks have stronger reaction to bank credit rating announcements changes for a downgrade, both in developed and developing economies. The analysis(event study method) has been based on data from Thomson Reuters for the years 1980–2015 for 24 countries. Outlooks and watch lists proposed by all credit rating agencies have been used as an independent variable. Daily differences between the logarithmized rates of return of banks’ shares have been used as dependent variable.
Authors and Affiliations
Patrycja Chodnicka-Jaworska
Keywords
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