Las agencias de rating y la crisis financiera de 2008. ¿el fin de un poder sin control?
DOI:
https://doi.org/10.18041/1900-0642/criteriolibre.2011v9n14.1234Palabras clave:
Agencias de rating, rating, regulación, crisis financieraResumen
En el presente trabajo se analiza la infl uencia de las agencias de califi cación crediticia en los mercados de valores, a través de una revisión de trabajos empíricos realizados en diferentes países, así como los recientes esfuerzos de los gobiernos por establecer normas que las regulen, dada su relevancia y el cuestionado papel que han desempeñado desde el comienzo de la crisis de 2008. La importancia de este estudio radica en que permite corroborar la hipótesis de que estas agencias tienen un poder real sobre los mercados fi nancieros, por lo que es preciso diseñar instrumentos que permitan asegurar que sus ratings sean elaborados en forma responsable y fiable.
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Referencias
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Akhigbe, A.; Madura, J. y Whyte, M.
(1997). Intra-industry effects of bond rating adjustments. Journal of Financial Research, 20 (4), 545-561.
Anderson, S.T.; Bhabra, G.S.; Bhabra, H.S. y Lamba, A.S. (2007, September). Earnings and dividend information contained in bond rating changes.
Comunicación presentada en 12th Finsia-Melbourne Centre for Financial Studies Banking and Finance Conference, 1-37.
Ashbaugh-Skaife, H.; Collins, D.W. y LaFond, R. (2006). The effects of corporate governance on firms’ credit rating. Journal of Accounting and Economics, 42 (1-2), pp. 203-243.
Baker, H.K. y Mansi, S.A. (2002). Assessing credit rating agencies by bond issuers and institutional investors. Journal of Business Finance & Accounting, 29 (9-10), pp. 1367-1398.
Bannier, C.E. y Hirsch, C.W. (2010). The economic function of credit rating agenciesWhat does the watchlist tell us? Journal of Banking & Finance, en prensa.
Barron, M.J.; Clare, A.D. y Thomas, S.H. (1997). The effect of bond rating changes and new ratings on UK stock returns. Journal of Business Finance and Accounting, 24 (3/4), pp. 497-509.
Bi, K. y Levy, H. (1993). Market reaction to bond downgradings followed by chapter 11 filings. Financial Management, Autumn, pp. 156162.
Brooks, R.; Faff, R.W.; Hillier, D. y Hillier, J. (2004). The national market impact of sovereign rating changes. Journal of Banking & Finance, 28 (1), pp. 233-250.
Caballero, A.; Melgarejo, G.; Mongnut, S. y Villanueva, M. (2006). Las agencias clasificadoras de riesgo en el Perú: análisis y evaluación de su rol. Documento de discusión DD/06/14, Centro de Investigación de la Universidad del Pacífico, diciembre, pp. 1-91.
Caton, G.L. y Goh, J. (2003). Are all rivals affected equally by bond rating downgrades? Review of Quantitative Finance and Accounting, 20 (1), pp. 49-62.
Chandra, U. y Nayar, N. (1998). The information content of commercial paper rating downgrades: further evidence. Journal of Accounting, Auditing and Finance, 13, Autumn, pp. 417-435.
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Crabbe, L. y Post, M. A. (1994). The effect of a rating downgrade on outstanding commercial paper. The Journal of Finance, 49 (1), pp. 39-56.
Crabtree, A.D.; Brandon, D.M. y Maher, J.J. (2006). The impact of auditor tenure on initial bond ratings. Advances in Accounting, 22, pp. 97-121.
Creighton, A.; Gower, L. y Richards A. (2007). The impact of rating changes in Australian financial markets. Pacific-Basin Finance Journal, 15 (1), pp. 1-17.
Dallocchio, M.; Hubler, J.; Raimbourg, P. y Salvi, A. (2006). Do upgradings and downgradings convey information? an event study of the French bond market. Economic Notes: Review of Banking, Finance and Monetary Economics, 35 (3), pp. 293-317.
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Dichev, I.D. y Piotroski, J.D. (2001). The longrun stock returns following bond rating changes. The Journal of Finance, 56 (1), pp. 173-203.
Doma, E. y Omar, M.A. (2006). The information content of the Malaysian corporate bond rating changes. Labuan Bulletin of International Business & Finance, 4, pp. 63-93.
Ederington, L.H. y Goh, J.C. (1998). Bond rating agencies and stock analysts: who knows what when? Journal of Financial and Quantitative Analysis, 33 (4), pp. 569-585.
Elayan, F.A.; Hsu, W.H. y Meyer, T.O. (2003). The informational content of credit rating announcements for share prices in small market. Journal of Economics and Finance, 27 (3), pp. 337-356.
Elayan, F.A.; Maris, B.A. y Maris, J. B. (1990).
Common stock response to false signals from CreditWatch placement. Quarterly Journal of Business and Economics, 29, Summer, pp. 16-35.
Elayan, F.A.; Maris, B.A. y Young, P.J. (1996). The effect of commercial paper rating changes and Credit-Watch placement on common stock prices. The Financial Review, 31 (1), pp. 149-167.
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Goh, J.C. y Ederington, L.H. (1999).
Cross-sectional variation in the stock market reaction to bond rating changes. The Quarterly Review of Economics and Finance, 39 (1), pp. 101-112.
González Méndez, V.M. y González Rodríguez, F. (1998). Contenido informativo de los cambios en las calificaciones crediticias. Cuadernos de Economía y Dirección de la Empresa, 2, julio-diciembre, pp. 299-315.
Gropp, R. y Richards, A.J. (2001). Rating agency actions and the pricing of debt and equity of european banks: What can we infer about private sector monitoring of bank soundness? Working paper series, European Central Bank, 76, pp. 1-36.
Grier, P. y Katz, S. (1976). The differential effects of bond rating changes among industrial and public utility bonds by maturity. The Journal of Business, (49), April, pp. 226-239.
Griffin, P.A. y Sanvicente, A.Z. (1982). Common stock returns and rating changes: a methodological comparison. The Journal of Finance, 37 (1), pp. 103-119.
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Disponible en: http://www.g20.org/ Documents/g20_declaration_en.pdf
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The G-20 Seoul Summit Leaders’
Declaration, Seoul. Disponible en: http:// www.g20.org/Documents2010/11/ seoulsummit_declaration.pdf
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Jewell, J. y Livingston, M. (1999). A comparison of bond ratings from Moody’s, S&P y Fitch IBCA. Financial Markets, Institutions and Instruments, 8 (4), pp. 1-45.
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(1997). Intra-industry effects of bond rating adjustments. Journal of Financial Research, 20 (4), 545-561.
Anderson, S.T.; Bhabra, G.S.; Bhabra, H.S. y Lamba, A.S. (2007, September). Earnings and dividend information contained in bond rating changes.
Comunicación presentada en 12th Finsia-Melbourne Centre for Financial Studies Banking and Finance Conference, 1-37.
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Baker, H.K. y Mansi, S.A. (2002). Assessing credit rating agencies by bond issuers and institutional investors. Journal of Business Finance & Accounting, 29 (9-10), pp. 1367-1398.
Bannier, C.E. y Hirsch, C.W. (2010). The economic function of credit rating agenciesWhat does the watchlist tell us? Journal of Banking & Finance, en prensa.
Barron, M.J.; Clare, A.D. y Thomas, S.H. (1997). The effect of bond rating changes and new ratings on UK stock returns. Journal of Business Finance and Accounting, 24 (3/4), pp. 497-509.
Bi, K. y Levy, H. (1993). Market reaction to bond downgradings followed by chapter 11 filings. Financial Management, Autumn, pp. 156162.
Brooks, R.; Faff, R.W.; Hillier, D. y Hillier, J. (2004). The national market impact of sovereign rating changes. Journal of Banking & Finance, 28 (1), pp. 233-250.
Caballero, A.; Melgarejo, G.; Mongnut, S. y Villanueva, M. (2006). Las agencias clasificadoras de riesgo en el Perú: análisis y evaluación de su rol. Documento de discusión DD/06/14, Centro de Investigación de la Universidad del Pacífico, diciembre, pp. 1-91.
Caton, G.L. y Goh, J. (2003). Are all rivals affected equally by bond rating downgrades? Review of Quantitative Finance and Accounting, 20 (1), pp. 49-62.
Chandra, U. y Nayar, N. (1998). The information content of commercial paper rating downgrades: further evidence. Journal of Accounting, Auditing and Finance, 13, Autumn, pp. 417-435.
Chandy, P.R.; Hsueh, L.P. y Liu, Y.A. (1993). Effects of preferred stock re-rating on common stock prices: further evidence. The Financial Review, 28 (4), pp. 449-467.
Choy, E.; Gray, S. y Ragunathan, V. (2006). Effect of credit rating changes on Australian stock returns. Accounting and Finance, 46, pp. 755-769.
Comunidad Europea (2009). Reglamento (CE) No. 1060/2009 del Parlamento Europeo y del Consejo de 16 de septiembre de 2009, sobre las agencias de calificación crediticia.
Diario Oficial de la Unión Europea, 17 de noviembre de 2009.
Cornell, B.; Landsman, W. y Shapiro, A.C. (1989). Cross-sectional regularities in the response of stock prices to bond rating changes. Journal of Accounting, Auditing and Finance, 4 (4), pp. 460-479.
Crabbe, L. y Post, M. A. (1994). The effect of a rating downgrade on outstanding commercial paper. The Journal of Finance, 49 (1), pp. 39-56.
Crabtree, A.D.; Brandon, D.M. y Maher, J.J. (2006). The impact of auditor tenure on initial bond ratings. Advances in Accounting, 22, pp. 97-121.
Creighton, A.; Gower, L. y Richards A. (2007). The impact of rating changes in Australian financial markets. Pacific-Basin Finance Journal, 15 (1), pp. 1-17.
Dallocchio, M.; Hubler, J.; Raimbourg, P. y Salvi, A. (2006). Do upgradings and downgradings convey information? an event study of the French bond market. Economic Notes: Review of Banking, Finance and Monetary Economics, 35 (3), pp. 293-317.
Davidson, W.N. III y Glascock, J.L. (1985). The announcement effects of preferred stock reratings. The Journal of Financial Research, 8 (4), pp. 317-325.
Dichev, I.D. y Piotroski, J.D. (2001). The longrun stock returns following bond rating changes. The Journal of Finance, 56 (1), pp. 173-203.
Doma, E. y Omar, M.A. (2006). The information content of the Malaysian corporate bond rating changes. Labuan Bulletin of International Business & Finance, 4, pp. 63-93.
Ederington, L.H. y Goh, J.C. (1998). Bond rating agencies and stock analysts: who knows what when? Journal of Financial and Quantitative Analysis, 33 (4), pp. 569-585.
Elayan, F.A.; Hsu, W.H. y Meyer, T.O. (2003). The informational content of credit rating announcements for share prices in small market. Journal of Economics and Finance, 27 (3), pp. 337-356.
Elayan, F.A.; Maris, B.A. y Maris, J. B. (1990).
Common stock response to false signals from CreditWatch placement. Quarterly Journal of Business and Economics, 29, Summer, pp. 16-35.
Elayan, F.A.; Maris, B.A. y Young, P.J. (1996). The effect of commercial paper rating changes and Credit-Watch placement on common stock prices. The Financial Review, 31 (1), pp. 149-167.
Estapé Tous, M. (2010, 28 de febrero). Entrevista a Michel Camdessus, ex director general del Fondo Monetario Internacional (FMI). La Vanguardia, p. 9.
Ghachem, D.A.; Boudriga, A. y Mamoghli, C. (2010). Does American stock market react differently to rating announcements during crisis period? The case of the 2008 worldwide financial crisis. Disponible en:http://afc2010.unice.fr/PDF/p104.pdf.
Goh, J.C. y Ederington, L.H. (1993). Is a bond rating downgrade bad news, good news, or no news for stockholders? The Journal of Finance, 48 (5), pp. 2001-2008.
Goh, J.C. y Ederington, L.H. (1999).
Cross-sectional variation in the stock market reaction to bond rating changes. The Quarterly Review of Economics and Finance, 39 (1), pp. 101-112.
González Méndez, V.M. y González Rodríguez, F. (1998). Contenido informativo de los cambios en las calificaciones crediticias. Cuadernos de Economía y Dirección de la Empresa, 2, julio-diciembre, pp. 299-315.
Gropp, R. y Richards, A.J. (2001). Rating agency actions and the pricing of debt and equity of european banks: What can we infer about private sector monitoring of bank soundness? Working paper series, European Central Bank, 76, pp. 1-36.
Grier, P. y Katz, S. (1976). The differential effects of bond rating changes among industrial and public utility bonds by maturity. The Journal of Business, (49), April, pp. 226-239.
Griffin, P.A. y Sanvicente, A.Z. (1982). Common stock returns and rating changes: a methodological comparison. The Journal of Finance, 37 (1), pp. 103-119.
Grupo de los Veinte (2009, 2 April). Leaders’ Statement - The Global Plan for Recovery and Reform, London. Disponible en: http://www. g20.org/Documents/final-communique.pdf
Grupo de los Veinte (2009, 24-25 September). Leaders’ Statement- The Pittsburgh Summit, Pittsburgh. Disponible en: http://www.g20.org/Documents/pittsburgh_summit_leaders_ statement_ 250909.pdf
Grupo de los Veinte (2010, 26-27 June). The G-20 Toronto Summit Declaration, Toronto.
Disponible en: http://www.g20.org/ Documents/g20_declaration_en.pdf
Grupo de los Veinte (2010, 11-12 November).
The G-20 Seoul Summit Leaders’
Declaration, Seoul. Disponible en: http:// www.g20.org/Documents2010/11/ seoulsummit_declaration.pdf
Hand, J.R.M.; Holthausen, R.W. y Leftwich, R.W. (1992). The effect of bond rating agency announcements on bond and stock prices. The Journal of Finance, 47 (2), pp. 733-752.
He, Y.; Wang, J. y Wei, K.C.J. (2010). Do bond rating changes affect the information asymmetry of stock trading. Journal of Empirical Finance, en prensa.
Hettenhouse, G.W. y Sartoris, W.L. (1976). An analysis of the informational value of bondrating changes. Quarterly Review of Economics and Business, 16, Summer, pp. 65-78.
Hite, G. y Warga, A. (1997). The effect of bondrating changes on bond price performance. Financial Analysts Journal, 53 (3), pp. 35-51.
Holthausen, R.W. y Leftwich, R.W. (1986). The effect of bond rating changes on common stock prices. Journal of Financial Economics, 17, September, pp. 57-89.
Hooper, V.; Hume, T. y Kim, S. (2008). Sovereign rating changes - Do they provide new information for stock markets? Economic Systems, 32, pp. 142-166.
Hsueh, L.P. y Liu, Y.A. (1992). Market anticipation and the effect of bond rating changes on common stock prices. Journal of Business Research, 24 (3), pp. 225-239.
Jewell, J. y Livingston, M. (1999). A comparison of bond ratings from Moody’s, S&P y Fitch IBCA. Financial Markets, Institutions and Instruments, 8 (4), pp. 1-45.
Joo, S.L. y Pruitt, S.W. (2006). Corporate bond ratings changes and economic instability: Evidence from the Korean financial crisis. Economics Letters, 90, pp. 12-20.
Jorion, P. y Zhang, G. (2007). Information effects of bond rating changes: the role of the rating prior to the announcement. The Journal of Fixed Income, 16 (4), pp. 45-59.
Kaminsky, G. y Schmukler, S.L. (2002). Emerging market instability: do sovereign rating affect country risk and stock returns? The World Bank Economic Review, 16 (2), pp. 171-195.
Katz, S. (1974). The price adjustment process of bond to rating reclassifications: a test of bond market efficiency. Journal of Finance, (29), May, pp. 551-559.
Kim, Y. y Nabar, S. (2003). Why do stock prices react to bond rating downgrades? Managerial Finance, 29 (11), pp. 93-107.
Kim, Y. y Nabar, S. (2007). Bankruptcy probability changes and the differential informativeness of bond upgrades and downgrades. Journal of Banking and Finance, 31, pp. 3843-3861.
Kim, S.-J. y Wu, E. (2008). Sovereign credit rating, capital flows and financial sector development in emerging markets. Emerging Markets Review, 9, pp. 7-39.
Kisgen, D. J. (2006). Credit ratings and capital structure. The Journal of Finance, 61 (3), pp. 1035-1072.
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2018-01-18
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Las agencias de rating y la crisis financiera de 2008. ¿el fin de un poder sin control?. (2018). Criterio Libre, 9(14), 127-160. https://doi.org/10.18041/1900-0642/criteriolibre.2011v9n14.1234
