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Does the Role of the Rating Prior to the Announcement Explain Different Influence of Credit Rating Downgrades and Upgrades on Stock Prices?
Sedlář, Jan ; Andrlíková, Petra (advisor) ; Lelovská, Adriána (referee)
The thesis examines whether the role of credit rating prior to the announcement of credit rating change is the neglected factor explaining in large extent the paradox investigated in prior papers that downgrades influence the stock prices of company but upgrades not. It is motivated by the notion that credit rating changes from low credit rating classes influence the stock price of company more distinctively than changes from higher credit rating classes and there is proportionally more downgrades from low credit rating classes than upgrades. The large sample of credit rating changes including proportionally more upgrades from low credit rating classes than downgrades is collected and the results suggesting the influence of downgrades on stock prices of company and any influence of upgrades persist. Furthermore when controlled for credit rating prior to the announcement of credit rating change, magnitude of credit rating change, crossing the investment-speculative barrier, credit rating changes within and across credit rating categories, consecutive credit rating changes in the same direction and industry sector of issuer all the results are consistent with the original conclusions proposing significant stock price reaction to announcements of credit rating downgrades and no stock price response to...
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Korporátní úvěrové riziko v rámci Basel II
Kubíček, Martin ; Mejstřík, Michal (advisor)
This thesis presents research on corporate credit risk modeling under the New Basel Capital Accord framework using a real data set. This study provides theoretical foundations of credit risk modeling under the New Basel Capital Accord as well as empirical application of credit risk modeling to a unique data set of Czech companies provided by Creditreform. Several alternative logit regression models are presented, statistically tested and compared. Furthermore, two distinct approaches to calibration of rating classes of a rating system are developed and validated. Finally, the minimum regulatory capital requirements under the standardized approach and the internal ratings based approach of the New Basel Capital Accord are calculated and compared to the capital requirements under the current regulation. Powered by TCPDF (www.tcpdf.org)
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Korporátní úvěrové riziko v rámci Basel II
Kubíček, Martin ; Mejstřík, Michal (advisor)
This thesis presents research on corporate credit risk modeling under the New Basel Capital Accord framework using a real data set. This study provides theoretical foundations of credit risk modeling under the New Basel Capital Accord as well as empirical application of credit risk modeling to a unique data set of Czech companies provided by Creditreform. Several alternative logit regression models are presented, statistically tested and compared. Furthermore, two distinct approaches to calibration of rating classes of a rating system are developed and validated. Finally, the minimum regulatory capital requirements under the standardized approach and the internal ratings based approach of the New Basel Capital Accord are calculated and compared to the capital requirements under the current regulation. Powered by TCPDF (www.tcpdf.org)
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Does the Role of the Rating Prior to the Announcement Explain Different Influence of Credit Rating Downgrades and Upgrades on Stock Prices?
Sedlář, Jan ; Andrlíková, Petra (advisor) ; Lelovská, Adriána (referee)
The thesis examines whether the role of credit rating prior to the announcement of credit rating change is the neglected factor explaining in large extent the paradox investigated in prior papers that downgrades influence the stock prices of company but upgrades not. It is motivated by the notion that credit rating changes from low credit rating classes influence the stock price of company more distinctively than changes from higher credit rating classes and there is proportionally more downgrades from low credit rating classes than upgrades. The large sample of credit rating changes including proportionally more upgrades from low credit rating classes than downgrades is collected and the results suggesting the influence of downgrades on stock prices of company and any influence of upgrades persist. Furthermore when controlled for credit rating prior to the announcement of credit rating change, magnitude of credit rating change, crossing the investment-speculative barrier, credit rating changes within and across credit rating categories, consecutive credit rating changes in the same direction and industry sector of issuer all the results are consistent with the original conclusions proposing significant stock price reaction to announcements of credit rating downgrades and no stock price response to...
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Impact of Sovereign Ratings Changes on European Sovereign Yield Spreads
Vyskočilová, Veronika ; Horváth, Roman (advisor) ; Teplý, Petr (referee)
The spreading sovereign debt crisis in the Euro zone has renewed the debate about impact of credit rating agencies on financial markets. This thesis aims to explore the role played by the leading credit rating agencies by analysing the interaction between changes in sovereign ratings announced and the yield spreads of sovereign bonds, especially the short term impact and the potential contagion effect of rating changes on the highly integrated Euro zone financial market. The conducted event study and panel regression indicate that there is a significant impact of rating downgrades and negative rating outlooks on sovereign bond markets. Moreover, we have found significant contagion effect spreading from downgraded countries to non-event Euro zone members, namely not only to sovereign bond markets, but also to stock markets. JEL Classification: C23, E44, G12, G14 Keywords: credit ratings; sovereign yield spreads; rating agencies; contagion Author's email: veronika.vyskocilova@email.cz Supervisor's email: roman.horvath@gmail.com
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