2016年-BIS国际清算银行_Bank_standalone_credit_ratings_65页_896kb

Summary of BIS Working Paper No. 542: Bank Standalone Credit Ratings

Core Content

This BIS Working Paper analyzes the impact of Fitch Ratings' refinement of standalone credit ratings for banks in 2011, focusing on how this change affected bank stock prices and whether it reflected ratings inflation or catering. The paper explores the informational value of standalone ratings for equity investors and assesses the extent to which Fitch's methodology changes influenced market perceptions of banks' intrinsic financial strength.

Main Viewpoints

• Ratings Refinement: On July 20, 2011, Fitch introduced a new 21-point scale for standalone ratings, replacing the previous 9-point scale. These standalone ratings assess a bank's intrinsic financial strength without considering sovereign support.
• All-in Ratings: All-in ratings, which combine standalone ratings with sovereign support, remained unchanged. This allowed researchers to isolate the impact of Fitch's standalone rating changes on stock prices.
• Ratings Catering vs. Ratings Shopping: The paper distinguishes between ratings catering (rating agencies adjusting ratings to please clients) and ratings shopping (entities choosing the highest rating among agencies). The refinement affected all banks in Fitch's universe simultaneously, ruling out ratings shopping.
• Stock Market Reaction: The study finds that positive rating surprises are associated with higher stock returns, suggesting that standalone ratings provide valuable information to shareholders.
• Political Events: A European political event on the same day as the ratings release (a proposed bank levy) could have influenced stock reactions, but the results remain robust when European banks are excluded.

Key Information

• Sample: 212 publicly-listed, widely-held banks from 39 countries.
• Event Window: Two days before to two days after the July 20, 2011, ratings release.
• Rating Surprises: Four benchmarks were used to measure expected ratings, including midpoint mapping and sovereign support.
• Positive Surprises: Banks with larger size, stronger liquidity, lower previous 9-point ratings, and located in highly-rated countries experienced more positive rating surprises.
• Negative Surprises: Banks with a higher share of past securitization business with Fitch and those located in the same city as a Fitch analyst had more negative rating surprises.
• Empirical Findings: Positive rating surprises were associated with higher cumulative abnormal returns (CARs). However, the effect diminished when controlling for the political event in Europe, indicating its potential influence.
• Ratings Inflation: There is evidence of ratings inflation, but only limited support for ratings catering.
• Policy Relevance: The paper highlights the growing importance of standalone ratings in regulatory frameworks, as the Basel Committee considers using them for risk-weighted assets.

Hypotheses Tested

1. H1A: The refinement of Fitch's rating scale resulted in higher than expected standalone ratings for banks.
2. H1B: The refinement resulted in higher ratings for banks that conduct more business with Fitch (ratings catering).
3. H2: Banks experiencing positive rating surprises outperformed those with negative surprises in stock prices.

Methodology

• Data Sources: The study uses a sample of 212 banks and examines their stock price reactions using CARs.
• Rating Surprises: Four proxies of expected ratings are constructed, including ex ante and ex post benchmarks.
• Control Variables: The analysis controls for bank location, size, liquidity, past securitization business, and sovereign ratings.
• Robustness Checks: The results are tested for different measures of rating surprises, event windows, and samples of banks. Endogeneity concerns are addressed through appropriate econometric techniques.

Conclusion

The paper contributes to the literature on credit ratings and their impact on financial markets by examining a unique event in which Fitch provided more detailed information about banks' intrinsic financial strength. It finds that this information was valuable to shareholders and suggests that future research should explore the channels through which standalone ratings affect stock prices. The findings also support the idea that ratings inflation may occur, but ratings catering is less evident in this context.

Additional Notes

• The study is part of a broader trend toward transparency in bank ratings, driven by the global financial crisis and regulatory changes.
• The results highlight the importance of understanding how rating agencies communicate information and how investors interpret it.
• The paper also emphasizes the need for further research into the role of standalone ratings in assessing bank health and their implications for financial stability.