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L'impact des décisions des agences de notation sur le prix des actions : une comparaison du cas français avec les cas européen et américain

Author

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  • Evguenia Iankova
  • Florent Pochon
  • Jérôme Teiletche

Abstract

This paper analyses the response of equities to credit-rating announcements by agencies (S&P, Moody?s, Fitch). Wecompare the reactions observed in the French stock market equities with those of European and U. S. markets in1990-2004. We apply a standard event-study methodology but enhance it with non-parametric tests and bootstraptechniques. We find that the asymmetry of price reactions to bad news (downgrades and negative outlooks) is less clear inFrance and Europe than in the U. S. Our assessment of price-reaction determinants suggests that macroeconomic factorsoutweigh microeconomic ones.

Suggested Citation

  • Evguenia Iankova & Florent Pochon & Jérôme Teiletche, 2009. "L'impact des décisions des agences de notation sur le prix des actions : une comparaison du cas français avec les cas européen et américain," Economie & Prévision, La Documentation Française, vol. 0(2), pages 1-21.
    • Handle: RePEc:cai:ecoldc:ecop_188_0001
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    Cited by:

    1. Mohamed Ali Trabelsi & Salma Hmida, 2019. "Impact of the Credit Rating Revision on the Eurozone Stock Markets," Journal Transition Studies Review, Transition Academia Press, vol. 26(1), pages 3-14.
    2. Trabelsi, Mohamed Ali & Hmida, Salma, 2017. "A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets," MPRA Paper 83718, University Library of Munich, Germany, revised 2017.

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