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

  • Amine Tarazi
  • Alain Sauviat
  • Daniel Goyeau

[fre] L'objet de cet article est d'apporter quelques éléments de réponse empiriques sur le rôle joué par les agences de notation dans l'exercice d'une discipline de marché accrue des banques et autres intermédiaires financiers. L'approche de l'économétrie événementielle est adoptée pour analyser l'impact de la notation sur les cours boursiers d'un échantillon de banques européennes. Au total, il paraît difficile de dégager des résultats concluants qui tendraient à confirmer la fonction de transmission de l'information des agences de notation. Cependant, l'estimation de modèles Logit montre que c'est malgré tout pour les catégories d'institutions bancaires les plus marquées, en théorie, par l'asymétrie d'information que le marché réagit le plus fortement et ce dans un sens souhaitable pour discipliner les banques. [eng] Financial markets and bank risk assessment do rating agencies contribute to increase market discipline?. . 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.

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 52 (2001)
Issue (Month): 2 ()
Pages: 265-283

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Handle: RePEc:prs:reveco:reco_0035-2764_2001_num_52_2_410314
Note: DOI:10.2307/3503048
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