Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/31027
|
| Title: | Are There Differences Between Solicited and Unsolicited Bank Credit Ratings? |
| Authors: | 張原榮
Justin Chang |
| Contributors: | 張元晨
張原榮
Justin Chang |
| Keywords: | 信用評等
bank credit rating
unsolicited ratings
ordered probit |
| Date: | 2004 |
| Issue Date: | 2009-09-14 09:05:19 (UTC+8) |
| Abstract: | The three big credit rating agencies released their unsolicited ratings since 1996 and all of these unsolicited ratings are given to banks in Asia, especially in the emerging markets. This study aims to test whether there are differences between solicited and unsolicited bank ratings. We compare the financial profiles of solicited and unsolicited banks and investigate the factors that influence banks’ credit ratings.
The empirical results show that unsolicited bank ratings are significantly lower than solicited ratings. It is seen that the financial variables of banks with solicited ratings are also better than those with unsolicited ratings. However, the profitability of banks with solicited ratings is significantly lower than those with unsolicited ratings. We see that listed and commercial banks tend to have lower credit ratings and it could be due to the fact that listed banks may face the volatility of their short-term stock prices, so their operating strategies are influenced by market noise, which leads to inferior performance. The reason why commercial banks tend to have lower credit ratings is that commercial banks face so fierce competition that their profitability is compressed.
In the last section, we use an ordered probit model to examine the determinants of Fitch’s rating. We find that sovereign credit risk, solicited status, listed status, bank specialization, profitability and asset quality are the major factors influencing Fitch’s bank credit ratings. |
| Reference: | 1. Altman, E.I., R.B. Avery, R.A. Eisenbeis, and J.F. Sinkey, 1981, Application of Classification Techniques in Business, Banking and Finance, JAI Press, Greenwich, Connecticut.
2. Adams C., D. J. Mathieson, and G. Schinasi, 1999, International Capital Markets Developments, Prospects, and Key Policy Issue, Chapter V.
3. Beattie V., and S. Searle, 1992, “Credit Rating Agencies: The Relationship between Rater Agreement and Issuer/Rater Characteristics”, Journal of International Securities Markets, winter, 371-375.
4. Byoun S., and Y.S. Shin, 2003, Unsolicited Credit Ratings: Theory and Empirical Analysis, Journal of Financial Economics, 2002-465.
5. Cantor, R., and F. Packer, 1997, Differences of Opinion and Selection Bias in the Credit Rating Industry, Federal Reserve Bank of New York, 33 Liberty Street, New York, NY 10045, USA.
6. Cantor R., and F. Packer, 1996, Multiple Ratings and Credit Standards: Differences of Opinion in the Credit Rating Industry, Federal Reserve Bank of New York, Staff Reports, No.12.
7. Cantor R., F. Packer, and K. Cole, 1997, Split Ratings and the Pricing of Credit Risk, Federal Reserve Bank of New York, Research Paper No.9711
8. Ederington L.H., J.B. Yawitz, and B.E. Roberts, 1987, The Information Content of Bond Ratings, The Journal of Financial Research 10(3), 211-226.
9. Fitch Ratings Ltd. (Fitch), 2004, Bank Rating Methodology, May.
10. Fitch Ratings Ltd. (Fitch), 2001a, Fitch Introduces Shadow Individual Ratings, Financial Institutions Special Report, June 22.
11. Fitch Ratings Ltd. (Fitch), 2004, Ratings Delivery Service, December.
12. Fitch Ratings Ltd. (Fitch), 2001, Fitch Simplifies Bank Rating Scales, April.
13. Fitch Ratings Ltd. (Fitch), 2002, National Ratings: Methodology Update, Sep.
14. Fitch Ratings Ltd. (Fitch), 2004, retrieved from http://www.fitchratings.com.
15. Fitch Ratings Ltd. (Fitch), 2001, Rating Banks above the Local Currency Sovereign Rating, Financial Institutions Special Report.
16. Gan Y.H., 2004, Why Do Firms Pay for Bond Ratings When They Can Get Them for Free?, Job Market Paper.
17. Güttler A., 2003, Using A Bootstrap Approach to Rate the Raters, Goethe University Frankfurt, Finance Department.
18. Güttler A., A. Paveleanu, and P. Behr, 2004, Further Evidence on the Downward Bias of Unsolicited Ratings, Goethe University Frankfurt, Finance Department.
19. Heckman, J.J, 1979, Sample Selection Bias as a Specification Error. Econometrica 47 (1), 153-161.
20. Hill C.A., 2004, Regulating the Rating Agencies, Washington University Law Quarterly Vol 82; 43.
21. Horrigan, J.O., 1966, The Determinants of Long-term Credit Standing with Financial Ratios, Empirical Research in Accounting: Selected Studies, Supplement to Journal of Accounting Research, 44-62.
22. Kaplan, R.S., G. Urwitz, 1979, Statistical Models of Bond Ratings: A Methodological Inquiry. Journal of Business 52 (2), 231-261.
23. Kliger D. and O. Sarig, 2000, The Information Value of Bond Ratings, The Journal of Finance, Vol. LV, NO. 6.
24. Poon, W.P.H. (2003), “Are Unsolicited Credit Ratings Biased Downward?”, Journal of Banking and Finance, April, pp. 593-614.
25. Poon, W.P.H. and M. Firth (2004), “Are Unsolicited Bank Ratings Lower? Preliminary Evidence from Fitch’s Bank Individual Ratings”, working paper.
26. Pottier, S.W., and D.W. Sommer, 1999, Property-Liability Insurer Financial Strength Ratings: Differences Across Rating Agencies, The Journal of Risk and Insurance, Vol. 66, No. 4, 621-642
27. White L.J., The Credit Rating Industry: An Industrial Organization Analysis, 2001, the Conference on "The Role of Credit Reporting Systems in the International Economy" at the World Bank
28. Smith R.C., and I. Walter, 2001, Rating Agencies: Is There an Agency Issue? Stern School of Business, New York University. |
| Description: | 碩士
國立政治大學
財務管理研究所
92357016
93 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0923570161 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 505 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
