Banks and shareholders credit ratings – evidence from the European market

Patrycja Chodnicka -Jaworska ()
Additional contact information
Patrycja Chodnicka -Jaworska: Faculty of Management, University of Warsaw

No 32019, Faculty of Management Working Paper Series from University of Warsaw, Faculty of Management

Abstract: The aim of this paper is to analyse the factors influencing banks’ credit ratings, taking into consideration shareholders’ credit ratings. A literature review has been prepared, and as a result the following hypotheses have been put: Firstly, banks’ credit ratings are determined by the financial factors measured by CAMEL and macroeconomic determinants. Secondly, countries’ and shareholders’ credit ratings influence banks’ notes statistically significantly. Long-term issuer credit ratings proposed by smaller and bigger credit rating agencies have been used for the analysis. To verify the presented hypotheses ordered logit panel data models have been used. The research has been prepared based on quarterly data for the assessed European banks listed on the stock market. The data collected comes from the Thomson Reuters Database for the period between 1998 and 2016.

Keywords: credit rating; CAMEL; type of ownership; panel data models (search for similar items in EconPapers)
JEL-codes: C21 G21 G24 G32 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2019-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.wz.uw.edu.pl/portaleFiles/5630-Faculty% ... dnicka_-Jaworska.pdf First version, 2019 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sgm:fmuwwp:32019

Access Statistics for this paper

More papers in Faculty of Management Working Paper Series from University of Warsaw, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by ().