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Author
Chodnicka-Jaworska Patrycja (Uniwersytet Warszawski)
Title
Wpływ ratingów kredytowych na kurs akcji
The Influence of Credit Rating on the Stock Prices
Source
Finanse, Rynki Finansowe, Ubezpieczenia, 2016, nr 3 (81), s. 49-55, tab., bibliogr. 35 poz.
Issue title
Problemy współczesnej gospodarki światowej
Keyword
Ocena zdolności kredytowej, Kurs akcji, Analiza zdarzeń, Stopa zwrotu
Credit rating, Share price, Event study, Rate of return
Note
streszcz., summ.
Abstract
Cel - Celem artykułu jest analiza wpływu zmian credit ratingów banków na kursy akcji. Metodologia badania - Do badania wykorzystano długoterminowe credit ratingi banków europejskich nadawane przez Standard & Poor's Investor Service w latach 1980-2015. Jako zmienną zależną obrano stopy zwrotu z akcji. Analizę przeprowadzono przy wykorzystaniu metody event study. Wynik - Przeprowadzone badanie sugeruje istotny wpływ spadku credit ratingu na kursy akcji. Wzrost not ratingowych słabiej oddziałuje na ceny. Oryginalność/wartość - Analizę przeprowadzono dla wszystkich banków krajów europejskich, dla długiego horyzontu czasowego.(abstrakt oryginalny)

Purpose - The aim of the article is to analyse the impact of banks' credit rating changes on share prices. Design/methodology/approach - In the study are used long-term issuer credit ratings of European banks assigned by Standard & Poor's Investor Service in the period of time 1980-2015. As a dependent variable was chosen rate of return of shares. Analysis was performed by using the event study method. Findings - The prepared research suggests a significant impact of the decrease credit rating on the stock prices. The increase in credit rating not less effect on prices. Originality/value - The analysis was performed for all banks in European countries for the long period of time.(original abstract)
Accessibility
The Main Library of Poznań University of Economics and Business
Szczecin University Main Library
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Bibliography
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ISSN
2450-7741
Language
pol
URI / DOI
http://dx.doi.org/10.18276/frfu.2016.81-05
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