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Marché financier et évaluation du risque bancaire. Les agences de notation contribuent-elles à améliorer la discipline de marché ?

Author

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  • Daniel Goyeau
  • Alain Sauviat
  • Amine Tarazi

Abstract

This paper examines the role played by rating agencies in increasing market discipline for banks and other financial intermediaries. Using a standard event study methodology applied on a sample of European banks we first analyse the impact of rating changes on bank stock prices. Tests for the presence of abnormal returns do not always confirm that rating agencies convey unexpected information to the market. The estimation of a Logit model on individual bank data shows however that the market does react in the expected direction to increase discipline in the case of institutions for which modern intermediation theory outlines the sharpest asymmetric information problems. Classification JEL : G14, G33

Suggested Citation

  • Daniel Goyeau & Alain Sauviat & Amine Tarazi, 2001. "Marché financier et évaluation du risque bancaire. Les agences de notation contribuent-elles à améliorer la discipline de marché ?," Revue économique, Presses de Sciences-Po, vol. 52(2), pages 265-283.
    • Handle: RePEc:cai:recosp:reco_522_0265
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    Cited by:

    1. Isabelle Distinguin & Philippe Rous & Amine Tarazi, 2006. "Market Discipline and the Use of Stock Market Data to Predict Bank Financial Distress," Journal of Financial Services Research, Springer;Western Finance Association, vol. 30(2), pages 151-176, October.

    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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