Effect of signals of bank ratings on stock returns before and during the financial crisis

Salvador, Carlos

doi:10.1016/j.srfe.2017.01.002

Cited by 7 publications

(6 citation statements)

References 28 publications

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“…(Andries et al, 2017). The crisis also affected public discussions on bank stock ratings (Salvador, 2017) and meaningfully impacted bank stock returns as well as GDP growth. We do analysis to heighten any structure and magnitude differences during the crisis in the chosen financial markets.…”

Section: Effects Of International Central Bank Cooperation and Other mentioning

confidence: 99%

Bank stocks inform higher growth—A System GMM analysis of ten emerging markets in Asia

Mittal

Garg

2021

The Quarterly Review of Economics and Finance

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The paper aims to recover the critical role of banks in defining the relationship between Financial Development and growth. We hypothesize that Banks can positively motivate templatized GDP growth. A System GMM estimation of GDP growth in a sample of high growth emerging markets from Asia investigates if bank stocks contain information beyond the monetary and banking aggregates. In a sample of emerging markets with 5% GDP growth, bank stocks create 0.22% of GDP growth for every 1 SD excess return in a weighted portfolio of bank stocks. The chosen emerging markets are homogenous based on WGI Indicators from World Bank. This coefficient is much higher than the recovered relationship presented by Cole, Moshirian and Wu (2008). Government ownership of banks and close monitoring of banks is found to be a positive for the overall economy while the market index is found to be not so informative about economic growth. A relook at a GMM system study from Cole, Moshirian and Wu (2008) shows better growth for emerging market investors without compromising quality. The research establishes the advantages of selecting emerging markets portfolios that reward better governance. A set of homogenized emerging markets can engender higher causative effects between banks and GDP growth allowing investors to focus on investment opportunity.

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Section: Effects Of International Central Bank Cooperation and Other mentioning

confidence: 99%

Bank stocks inform higher growth—A System GMM analysis of ten emerging markets in Asia

Mittal

Garg

2021

The Quarterly Review of Economics and Finance

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“…Kim and Wu (2008) attempt to examine the role of attractive sovereign ratings S & P international capital. They consider that the new sovereign rating is an important incentive for the three types of international capital flows (Salvador, 2017). Similarly, they remark a great evolution of the bond market after the improvement of sovereign ratings.…”

Section: Literature Reviewmentioning

confidence: 97%

Sovereign Credit_Rating Disclose and Bond Liquidity under Sovereign Debt Crisis

Saadaoui¹,

Kriaa²

2019

BMR

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This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. We analyze the bond liquidity markets across five countries such as Poland, Greece, Spain, Hungary and Turkey. The sample includes daily data about sovereign bonds over the period ranging from July 2009 to January 2014.We mainly focus on the period before and after the sovereign debt crisis. We note that the bond liquidity is affected due to the sign of the rating granted by the rating agencies for each country.

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“…In the Brazilian scope, the high concentration of the companies voting capital which trade their shares in the exchange market, the low legal enforcement and ownership rights, as pointed by Lopes (2006) and Ghio and Verona (2015), can be factors which restrict the magnitude of the companies´relevant information and which could be reflected on the stock prices. Thus, it is still not clear whether the companies´credit ratings are priced in whole or just marginally by the capital market, specially for the companies which are in less developed countries (Hammami & Bahri, 2016;Salvador, 2017…”

Section: Synchronicitymentioning

confidence: 99%

Stock Price Synchronicity and Current and Potential Credit Ratings

Figlioli¹,

Antônio²,

Lima³

2019

IJEF

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This study examines whether the stock prices reflet the relevant information on the companies´current and potential credit ratings. This investigation was carried out from the construct of stock price synchronicity, that is, the more the stock prices reflect the specific information of a certain company, the less the synchronicity of these prices in relation to the market general information tends to be. It would imply that the stock prices tend to be more informative on the companies´potential in generating future economic benefit and on their risk levels. For carrying out this study, information on the companies which have their shares listed at the Brazilian Stock Exchange (Brazil, Stock Exchange and Over-the-counter – B3) from 2010 to 2015 were analyzed. The results obtained point that the stock prices not only embody information on the alterations of the companies´s current credit ratings regarding the upgrade, but also reflect, with certain antecipation, the potential credit ratings. Nevertheless, the results indicate that not every credit rating class is associated with relevant information for the capital market.

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Effect of signals of bank ratings on stock returns before and during the financial crisis

Cited by 7 publications

References 28 publications

Bank stocks inform higher growth—A System GMM analysis of ten emerging markets in Asia

Bank stocks inform higher growth—A System GMM analysis of ten emerging markets in Asia

Sovereign Credit_Rating Disclose and Bond Liquidity under Sovereign Debt Crisis

Stock Price Synchronicity and Current and Potential Credit Ratings

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