2017 | 18 | 3 | 418-428
Article title


Title variants
Languages of publication
The paper examines the impact of the countries’credit ratings changes on the cost of credit defaults swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies. It is has been put the hipothesis that ratings events convey new information and lead to significant abnormal reactions. The study used the ratings assigned by Standard &Poor's and Moody's for the period from January 2005 to November 2015 and spreads for five-year senior unsecured CDS. To verify the hypothesis the event study method (by daily data) is applied.
  • Faculty of Management, Warsaw University, Poland
  • BannierC., Tyrell M. (2005) Modelling the Role of Credit Rating Agencies? Do They Spark of a Virtuous Circle?. Working Paper Series:Accounting and Finance 165, W. Goethe-University.
  • Cantor R., Packer F. (1996) Determinants and Impact of Sovereign Credit Ratings.
  • The Journal of Fixed Income, 6(3), 76-91.
  • CarlsonM., HaleG. (2005) Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Roll-over. Discussion Paper Series 1506, Cowles Foundation for Research in Economics, Yale University.
  • Chodnicka P., Jaworski P. (2014) Porównanie czynników determinujących standing kredytowy krajów według poziomu rozwoju gospodarczego, [in:] K. Opolski, J. Górski Perspektywy i wyzwania integracji europejskiej, Wydział Nauk Ekonomicznych Uniwersytetu Warszawskiego, Narodowy Bank Polski, Warszawa.
  • Chodnicka P., Jaworski P., Niewińska K. (2014)The Impactof Country’s Credit Ratings
  • on the Cost of the Capital. Advances in Business Related Scientific Research, Rome.
  • Chodnicka P., Jaworski P., Niewińska K. (2014) Czynniki determinujące rating kredytowy krajów europejskich. Problemy zarządzania, 4(48), 111-131.
  • Chodnicka P. (2015) Credit rating a koszt kapitału. Kwartalnik Kolegium Ekonomiczno – Społecznego. Studia i prace, 3(81), 49-55.
  • Chodnicka – Jaworska P. (2015) Credit Rating Determinants for European Countries. Global Journal of Management and Business Research: Finance, 15(9), 7-18.
  • Chodnicka P., Jaworski P., Niewińska K. (2015)The Impact of Country’s Credit Rating on the Cost of the Capital. International Review of Management and Business Research, 2015(4), 277-285.
  • DichevI. D., Piotroski J. D. (2001) The Long-Run Stock Returns Following Bond Ratings Changes. Journal of Finance, 56, 173-203.
  • EderingtonL. H., Goh J. C. (1998) Bond Rating Agencies and Stock Analysts: Who Knows What When?. Journal of Financial and Quantitative Analysis, 33(4), 569-585.
  • Ederington L. H., Goh J. C. (1993) Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders?. Journal of Finance, 48(5), 2001-2008.
  • ElkhouryM. (2009) Credit Rating Agencies and their Potential Impact on Developing Countries, Compendium on Debt Sustainability and Development, United Nations Conference on Trade and Development.
  • FollowillR. A., MartellT. (1997) Bond Review and Rating Change Announcements: An Examination of Informational Value and Market Efficiency. Journal of Economics and Finance, 21, 75-82.
  • Glascock J. L., Davidson W. N., Henderson G. V. (1987) Announcement Effects of Moody’s Bond Rating Changes on Equity Returns. Quarterly Journal of Business and Economics, 26, 67-78.
  • Grier P., Katz S. (1976) The Differential Effects of Bond Rating Changes among Industrial and Public Utility Bonds by Maturity. Journal of Business, 49, 226-239.
  • Gropp R., Richards A. J. (2001) Rating Agency Actions and the Pricing of Debt and Equity of European Banks: What Can We Infer about Private Sector Monitoring of Bank Soundness?. Frankfurt: ECB Working Paper, 76.
  • Hand J. R., HolthausenR. W., Leftwich R. W. (1992) The Effect of Bond Rating Agency Announcements on Bond and Stock Prices. Journal of Finance, 47, 733-752.
  • Hite G., Warga A. (1997) The Effect of Bond-Rating Changes on Bond Price Performance. Financial Analysts Journal, 53, May/June, 35-51.
  • Hull J., Predescu M., White A. (2003) The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements. Working Paper, June 2003.
  • Iankova E., Pochon F., Te?letche J. (2006)Impact of Agencies’ Decisions: Comparison of French Equities and International Experiences. Working Paper. AMF Market Impact of Rating Agencies’ Decisions – January 2006.
  • Katz S. (1974) The Price Adjustment Process of Bonds to Rating Reclassifications: A Test of Bond Market Efficiency. Journal of Finance, 29, 551-559.
  • Kliger D., Sarig O. (2000) The Information Value of Bond Ratings. Journal of Finance, 55(6), 2879-2902.
  • Kraussl R. (2000) Sovereign Ratings and Their Impact on Recent Financial Crises. CFS Working Paper Series, 2000/04.
  • Norden L. (2004) Kreditderivate: Zwischen Kapitalmarkt und bankbetrieblicher Verwendung. Doctoral Thesis, University of Mannheim.
  • Norden L., Weber M. (2004) Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements.Journal of Banking & Finance, 28(11), 2813–2843.
  • Pinches G. E., Singleton J. C. (1978) The Adjustment of Stock Prices to Bond Rating Changes. Journal of Finance, 33, 29-44.
  • Reisen H., von Maltzan J. (1999) Boom and Bust and Sovereign Ratings. International Finance, 2(2), 273-293.
  • Steiner M., Heinke V. G. (2001) Event Study Concerning International Bond Price Effects on Credit Rating Actions. International Journal of Finance and Economics, 6, 139-157.
  • Vassalou M., Xing Y. (2003) Equity Returns Following Changes in Default Risk: New Insights into the Informational Content of Credit Ratings. Working Paper, Columbia University.
  • Wansley J. W., ClauretieT. M. (1985) The Impact of Creditwatch Placement on Equity Returns and Bond Prices. The Journal of Financial Research, 8(1), 31-42
  • Wansley J. W., Glascock J. L., Clauretie T. M. (1992) Institutional Bond Pricing and Information Arrival: The Case of Bond Rating Changes. Journal of Business Finance and Accounting, 19, 733-750.
  • Weinstein M. (1977) The Effect of a Rating Change Announcement on Bond Price. Journal of Financial Economics, 5(3), 329-350.
Document Type
Publication order reference
YADDA identifier
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.