| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 1.04 MB | Adobe PDF |
Authors
Advisor(s)
Abstract(s)
Este estudo tem como objetivo a análise do impacto de anúncios provenientes de agências de ratings sobre os mercados de capitais e consequentemente, sobre o custo de capital do setor financeiro europeu. Pretende-se, ainda, analisar se os mercados se antecipam de forma eficiente a ações das agências e se esse impacto varia consoante a robustez da economia de cada país.
Com este intuito, são analisados os índices bolsistas e os movimentos do mercado de capitais do sector financeiro em dias próximos aos dias de anúncios públicos de opiniões das agências (outlooks) e variações de ratings soberanos de dez países da Zona Euro.
Consistente com a literatura, mas utilizando um período temporal mais recente e numa época de enorme volatilidade e incerteza na Europa, este estudo permite a obtenção de conclusões contextualmente mais atuais.
O nosso estudo sugere um impacto significativo das agências de rating nos mercados de capitais mostrando ainda que o efeito é mais pronunciado nos países que estiveram sobre programas de apoio financeiro.
É possível concluir também que as agências de rating influenciam o desempenho do mercado de capitais do setor bancário, o que condiciona o funcionamento de toda a economia bem como do custo de capital a si associado.
This study investigates the impact of credit rating announcements on the stock market and, consequently, the impact on the cost of capital of the banking sector of Euro Zone. Hence, this study establishes and measures the relation between Credit Ratings, capital markets and the cost of capital in the banking sector. In addition, analyses the efficiency of the stock market and the differences between the impact of rating announcements in countries with and without recent foreign financial programs. This analysis complements various previous studies, having a recent time-space analysis which allows us to obtain more accurate conclusions. This study indicates a significant impact of Credit Rating Agencies in the stock markets in the European banking sector and provides information that proves that the stronger economies are more resistant to Credit Rating announcements. I analyze as well the impact of the stock market performance on the banks cost of capital, which is a central role in its operation, being capital-dependents companies. We were able to conclude that ratings announcements changes the cost of capital of the European banking sector.
This study investigates the impact of credit rating announcements on the stock market and, consequently, the impact on the cost of capital of the banking sector of Euro Zone. Hence, this study establishes and measures the relation between Credit Ratings, capital markets and the cost of capital in the banking sector. In addition, analyses the efficiency of the stock market and the differences between the impact of rating announcements in countries with and without recent foreign financial programs. This analysis complements various previous studies, having a recent time-space analysis which allows us to obtain more accurate conclusions. This study indicates a significant impact of Credit Rating Agencies in the stock markets in the European banking sector and provides information that proves that the stronger economies are more resistant to Credit Rating announcements. I analyze as well the impact of the stock market performance on the banks cost of capital, which is a central role in its operation, being capital-dependents companies. We were able to conclude that ratings announcements changes the cost of capital of the European banking sector.
Description
Keywords
Classificação de risco de crédito Agências de classificação de risco de crédito Custo de capital Hipótese do mercado eficiente Mercado de ações Mercado de obrigações Incumprimento Ratings Credit ratings agencies Cost of capital Efficient market hypothesis Stock markets Bond markets Default