Faculty of Management Working Paper Series

Abstract WPS 4/2019

Impact of credit rating agencies on European Banking stock prices: Is the recognition of credit rating agency important?


  • Patrycja Chodnicka-Jaworska


The basic goal of the article was to analyse the reaction of rates of return of banks’ shares to the changes of their credit ratings. There first hypothesis is as follows: Rating events convey new information and lead to statistically significant abnormal reactions. The second one is: The rate of return reaction is stronger on the decrease than increase of banks’ credit ratings. The last hypothesis that has been taken into considerations is: The changes of credit ratings proposed by smaller CRAs influence is ineffective on the rate of returns of banks’ shares. For verification of these hypothesis daily rates of return and differences between the logarithmized rates of returns are used. As dependent variables long term issuer credit ratings proposed European banks by the recognizable and smaller CRAs form 1980 to 2015 period of time are used. The analysis has been prepared in the subsamples according to: the type of credit rating, the recognizable credit rating agency and political division. The information about the upgrade and downgrade of credit ratings published by the smaller CRAs has insignificant influence on the abnormal returns. Banks in the developing economies reaction is stronger on the positive changes, but rates of return of banks’ shares in the developed countries are more sensitive to the downgrade of credit ratings. The moment of the reaction in particular countries is differentiated.

Keywords: credit rating agency, credit rating, stock price, rates of return.

JEL Classification: G14, G15, G21



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Abstract WPS 3/2019



  • Patrycja Chodnicka-Jaworska


The aim of this paper is to analyse the factors influencing banks’ credit ratings, taking into consideration shareholders’ credit ratings. A literature review has been prepared, and as a result the following hypotheses have been put: Firstly, banks’ credit ratings are determined by the financial factors measured by CAMEL and macroeconomic determinants. Secondly, countries’ and shareholders’ credit ratings influence banks’ notes statistically significantly. Long-term issuer credit ratings proposed by smaller and bigger credit rating agencies have been used for the analysis. To verify the presented hypotheses ordered logit panel data models have been used. The research has been prepared based on quarterly data for the assessed European banks listed on the stock market. The data collected comes from the Thomson Reuters Database for the period between 1998 and 2016.

Keywords: credit rating, CAMEL, type of ownership, panel data models

JEL Classification: C21, G21, G24, G32



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Abstract WPS 2/2019

The Chinese and The Big Three Credit Rating Agencies – their impact on stock prices


  • Patrycja Chodnicka-Jaworska
  • Piotr Jaworski


The aim of the paper is to analyse the impact of the changes in credit ratings on the stock market, comparing the Chinese and the American Big Three agencies. A literature review has been made and as a result the following three hypotheses have been put. The first one seems as follows: Changes in credit ratings have influence in the case of both upgrades and downgrades of stock prices. The second one is: A stronger reaction of the stock market is observed as an effect of credit rating changes presented by the Chinese and not the American agencies. The third one seems as follows: The impact of credit rating changes is stronger for non-financial institutions and larger companies. Daily observation of the rates of returns on the stock prices and long-term issuer credit ratings proposed by the Chinese and the biggest three rating agencies (S&P’s, Moody’s and Fitch) have been taken for the analysis. Data has been collected from the Thomson Reuters Database from the period between 1990 and 2016. Event study methods have been used to verify the mentioned hypotheses.

Keywords: stock prices, abnormal rates of return, credit rating

JEL Classification: G14, G15, G21



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Abstract WPS 1/2018

Banks’ Credit Ratings – the Impact of the Investor Type


  • Patrycja Chodnicka-Jaworska


The aim of the paper is an analysis of the determinants of banks’ credit ratings by taking into account the support from the government. A literature review has been prepared and the ensuing hypothesis seems as follows: Banks with the government capital receive higher credit ratings than institutions with private capital if financial factors are taken into account. The mentioned hypothesis has been verified with ordinary logit panel data models. Long-term issuer credit ratings proposed by three biggest credit rating agencies for banks from Europe have been used as dependent variables. The sample has been divided into subsamples according to the investor type, the bank size and the moment of a financial crisis.

Keywords: credit rating, logit models, private banks, public banks

JEL Classification: C23, G21, G24



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