Analiza wpływu utrzymania i zmian ocen ratingowych na wysokość spreadu kredytowego na przykładzie polskiego rynku obligacji przedsiębiorstw w latach 2010-2017
DOI:
https://doi.org/10.15678/ZNUEK.2018.0978.0602Słowa kluczowe:
spread kredytowy, agencje ratingowe, efektywność rynku obligacji, CatalystAbstrakt
Celem artykułu jest określenie wpływu utrzymania i zmian ratingów kredytowych formułowanych przez agencję ratingową Moody’s na wysokość spreadu kredytowego na polskim rynku długu przedsiębiorstw w latach 2010–2017. Podstawowym powodem podejmowanych działań jest próba oceny, czy polski rynek długu jest efektywny w sensie informacyjnym w odniesieniu do wiadomości rynkowych, takich jak podniesienie, utrzymanie lub obniżenie ratingu. Wykorzystywana metodyka opiera się na standardowej procedurze analizy zdarzeń. Wyniki przeprowadzonych badań nie są jednoznaczne, gdyż z jednej strony wskazują na poprawną reakcję wysokości spreadu kredytowego na zmiany ocen ratingowych, z drugiej zaś otrzymane rezultaty nie znajdują potwierdzenia w testach istotności statystycznej.
Pobrania
Bibliografia
Akerlof G.A. (1970), The Market for “Lemons”: Qualitative Uncertainty and the Market Mechanism, „The Quarterly Journal of Economics”, vol. 84, nr 3, https://doi.org/10.2307/1879431. DOI: https://doi.org/10.2307/1879431
Altman E.I. (1989), Measuring Corporate Bond Mortality and Performance, „The Journal of Finance”, vol. 44, nr 4, https://doi.org/10.1111/j.1540-6261.1989.tb02630.x. DOI: https://doi.org/10.2307/2328616
Altman E.I., Saunders A. (2001), An Analysis and Critique of the BIS Proposal on Capital Adequacy and Rating, „Journal of Banking and Finance”, vol. 25, nr 1, https://doi.org/10.1016/s0378-4266(00)00116-3. DOI: https://doi.org/10.1016/S0378-4266(00)00116-3
Ashcraft A., Goldsmith-Pinkham P., Vickery J. (2010), MBS Ratings and the Mortgage Credit Boom, Federal Reserve Bank of New York Staff Reports, nr 449, Federal Reserve Bank of New York, New York. DOI: https://doi.org/10.2139/ssrn.1615613
Beers D.T. (2010), The Future of Sovereign Credit Ratings, http://blogs.sciences-po.fr/recherche-predictions/files/2010/12/the-future-of-sovereign-credit-ratings-SPs.pdf (data dostępu: czerwiec 2018).
Benmelech E., Dlugosz J. (2010), The Credit Rating Crisis, www.nber.org/chapters/ DOI: https://doi.org/10.3386/w15045
c11794.pdf (data dostępu: czerwiec 2018).
Blume M.E., Lim F., MacKinlay A.C. (1998), The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?, „The Journal of Finance”, vol. 53, nr 4, https://doi.org/10.1111/0022-1082.00057. DOI: https://doi.org/10.1111/0022-1082.00057
Bolton P., Freixas X., Shapiro J. (2012), The Credit Ratings Game, „The Journal of Finance”, vol. 67, nr 1, https://doi.org/10.1111/j.1540-6261.2011.01708.x. DOI: https://doi.org/10.1111/j.1540-6261.2011.01708.x
Bongaerts D. (2014), Alternatives for Issuer-paid Credit Rating Agencies, European Central Bank Working Paper Series, nr 1703, European Central Bank, Frankfurt am Main. DOI: https://doi.org/10.2139/ssrn.2464133
Boss M., Scheicher M. (2002), The Determinants of Credit Spread Changes in the Euro Area (w:) Market Functioning and Central Bank Policy, Bank for International Settlements, Basel.
Collin-Dufresn P., Goldstein R.S., Martin S.J. (2001), The Determinants of Credit Spread Changes, „The Journal of Finance”, vol. 56, nr 6, https://doi.org/10.1111/0022-1082.00402. DOI: https://doi.org/10.1111/0022-1082.00402
Daniels K.N., Jensen M.S. (2005), The Effect of Credit Ratings on Credit Default Swap Spreads and Credit Spreads, „The Journal of Fixed Income”, vol. 15, nr 3, https://doi.org/10.3905/jfi.2005.605421. DOI: https://doi.org/10.3905/jfi.2005.605421
Delianedis G., Geske R. (1998), Credit Risk and Risk Neutral Default Probabilities: Information about Ratings Migrations and Defaults, Anderson School, UCLA, Los Angeles.
De Santis R.A. (2012), The Euro Area Sovereign Debt Crisis, Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal, European Central Bank Working Paper Series, nr 1419, European Central Bank, Frankfurt am Main. DOI: https://doi.org/10.2139/ssrn.1991159
Driessen J. (2005), Is Default Event Risk Priced in Corporate Bonds?, „The Review of Financial Studies”, vol. 18, nr 1, https://doi.org/10.1093/rfs/hhi009. DOI: https://doi.org/10.1093/rfs/hhi009
Ederington L.H., Yawitz J.B., Roberts B.E. (1987), The Informational Content of Bond Ratings, „The Journal of Financial Research”, vol. 10, nr 3, https://doi.org/10.1111/j.1475-6803.1987.tb00492.x. DOI: https://doi.org/10.1111/j.1475-6803.1987.tb00492.x
Elton E.J., Gruber M.J., Agrawal D., Mann C. (2001), Explaining the Rate Spread on Corporate Bonds, „The Journal of Finance”, vol. 56, nr 1, https://doi.org/10.1111/0022-1082.00324. DOI: https://doi.org/10.1111/0022-1082.00324
Fama E.F. (1970), Efficient Capital Markets: A Review of Theory and Empirical Work, „The Journal of Finance”, vol. 25, nr 2, https://doi.org/10.1111/j.1540-6261.1970.tb00518.x. DOI: https://doi.org/10.2307/2325486
Geske R.L., Delianedis G. (2001), The Components of Corporate Credit Spreads: Default, Recovery, Taxes, Jumps, Liquidity and Market Factors, Anderson School, UCLA, Los Angeles.
Hite G., Warga A. (1997), The Effect of Bond-rating Changes on Bond Price Performance, „Financial Analysts Journal”, vol. 53, nr 3, https://doi.org/10.2469/faj.v53.n3.2083. DOI: https://doi.org/10.2469/faj.v53.n3.2083
Holthausen R.W., Leftwich R.W. (1986), The Effect of Bond Rating Changes on Common Stock Prices, „Journal of Financial Economics”, vol. 17, nr 1, https://doi.org/10.1016/0304-405X(86)90006-1. DOI: https://doi.org/10.1016/0304-405X(86)90006-1
Jewell J., Livingston M. (1999), A Comparison of Bond Ratings from Moody’s, S&P and Fitch IBCA, „Financial Markets, Institutions and Instruments”, vol. 8, nr 4, https://doi.org/10.1111/1468-0416.00029. DOI: https://doi.org/10.1111/1468-0416.00029
Jorion P., Zhang G. (2007), Information Effects of Bond Rating Changes: The Role of the Rating Prior to the Announcement, „The Journal of Fixed Income”, vol. 16, nr 4, https://doi.org/10.3905/jfi.2007.683317. DOI: https://doi.org/10.3905/jfi.2007.683317
Kaminsky G., Schmuckler S.L. (2002), Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?, „The World Bank Economic Review”, vol. 16, nr 2, https://doi.org/10.1093/wber/16.2.171. DOI: https://doi.org/10.1093/wber/16.2.171
Kao C., Wu C. (1990), Two-step Estimation of Linear Models with Ordinal Unobserved Variables: The Case of Corporate Bonds, „Journal of Business and Economic Statistics”, vol. 8, nr 3, https://doi.org/10.1080/07350015.1990.10509802. DOI: https://doi.org/10.2307/1391968
Katz S. (1974), The Price Adjustment Process of Bonds to Rating Reclassifications: A Test of Bond Market Efficiency, „The Journal of Finance”, vol. 29, nr 2, https://doi.org/10.1111/j.1540-6261.1974.tb03069.x. DOI: https://doi.org/10.2307/2978826
Kliger D., Sarig O. (2000), The Information Value of Bond Ratings, „The Journal of Finance”, vol. 55, nr 6, https://doi.org/10.1111/0022-1082.00311. DOI: https://doi.org/10.1111/0022-1082.00311
Larrain G., Reisen H., von Maltzan J. (1997), Emerging Market Risk and Sovereign Credit Ratings, OECD Development Centre Technical Papers, nr 124, OECD, Paris.
Liu P., Thakor A. (1984), Interest Yields, Credit Ratings and Economic Characteristics of State Bonds: An Empirical Analysis, „Journal of Money, Credit and Banking”, vol. 16, nr 3, https://doi.org/10.2307/1992222. DOI: https://doi.org/10.2307/1992222
Löffler G. (2005), Avoiding the Rating Bounce: Why Rating Agencies Are Slow to React to New Information, „Journal of Economic Behavior and Organization”, vol. 56, nr 3, https://doi.org/10.1016/j.jebo.2003.09.015. DOI: https://doi.org/10.1016/j.jebo.2003.09.015
Lugo S., Croce A., Faff R. (2013), Herding Behavior and Rating Convergence among Credit Rating Agencies: Evidence from the Subprime Crisis, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2405411 (data dostępu: czerwiec 2018). DOI: https://doi.org/10.2139/ssrn.2405411
McKinnon R.I., Pill H. (1996), Credible Liberalizations and International Capital Flows: The Overborrowing Syndrome (w:) Financial Deregulation and Integration in East Asia, NBER-EASE, vol. 5, red. T. Ito, A.O. Krueger, University of Chicago Press, Chicago.
Norden L., Weber M. (2004), Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements, „Journal of Banking and Finance”, vol. 28, nr 11, https://doi.org/10.1016/j.jbankfin.2004.06.011. DOI: https://doi.org/10.1016/j.jbankfin.2004.06.011
Partnoy F. (2001), The Paradox of Credit Ratings, University of San Diego Law and Economics Research Papers, nr 20, University of San Diego, San Diego.
Partnoy F. (2006), How and Why Credit Rating Agencies Are Not Like Other Gatekeepers, http://lamfin.arizona.edu/fixi/creditmod/Portnoy.pdf (data dostępu: czerwiec 2018).
Ramakrishnan R.T.S., Thakor A.V. (1984), Information Reliability and a Theory of Financial Intermediation, „Review of Economic Studies”, vol. 51, nr 3, https://doi.org/10.2307/2297431. DOI: https://doi.org/10.2307/2297431
Reisen H., von Maltzan J. (1999), Boom and Bust and Sovereign Ratings, OECD Development Centre Working Papers, nr 148, OECD, Paris. DOI: https://doi.org/10.1111/1468-2362.00028
Scharfstein D.S., Stein J.C. (1990), Herd Behavior and Investment, „The American Economic Review”, vol. 80, nr 3.
Skreta V., Veldkamp L. (2009), Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation, NBER Working Paper, nr 14761, NBER, Cambridge. DOI: https://doi.org/10.3386/w14761
Stiglitz J.E., Weiss A. (1981), Credit Rationing in Markets with Imperfect Information, „The American Economic Review”, vol. 71, nr 3.
West R.R. (1973), Bond Ratings, Bond Yield and Financial Regulation: Some Findings, „Journal of Law and Economics”, vol. 16, nr 1, https://doi.org/10.1086/466760. DOI: https://doi.org/10.1086/466760
Xia H. (2013), Can Investor-paid Credit Rating Agencies Improve the Information Quality of Issuer-paid Rating Agencies?, „Journal of Financial Economics”, vol. 111, nr 2, https://doi.org/10.1016/j.jfineco.2013.10.015. DOI: https://doi.org/10.1016/j.jfineco.2013.10.015
