Show simple item record

dc.contributor.authorElayan, Fayez Aen_NZ
dc.contributor.authorHsu, Wei-Hueien_NZ
dc.contributor.authorMeyer, Thomas Oen_NZ
dc.date.available2011-04-07T03:18:52Z
dc.date.copyright2004-11-12en_NZ
dc.identifier.citationElayan, F. A., Hsu, W.-H., & Meyer, T. O. (2004, November 12). The valuation effects of bank loan ratings in the presence of multiple monitors. University of Otago Department of Finance Seminar Series.en
dc.identifier.urihttp://hdl.handle.net/10523/1504
dc.description.abstractStudies have shown that when two information providers or outside auditors exist, the value provided by the second one will be decreased by the actions of the first. Capitalizing on the highly similar functions performed by banks and rating agencies, this paper examines the informational value of the credit ratings of bank loans. Further, it provides evidence on whether rating agencies duplicate the certifying and monitoring roles played by banks. The significant market reaction to negative credit rating announcements found suggests that these rating actions convey information to the capital market beyond that provided via the bank loan approval and renewal process.en_NZ
dc.format.mimetypeapplication/pdf
dc.relation.ispartofUniversity of Otago Department of Finance Seminar Seriesen_NZ
dc.relation.urihttp://www.business.otago.ac.nz/finc/research/seminars_04.htmlen_NZ
dc.subjectCredit Ratingsen_NZ
dc.subjectBank Loansen_NZ
dc.subjectMultiple Monitorsen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleThe valuation effects of bank loan ratings in the presence of multiple monitorsen_NZ
dc.typeConference or Workshop Item (Seminar, Speech or Other Presentation)en_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages33en_NZ
otago.date.accession2007-04-12en_NZ
otago.schoolFinanceen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints624en_NZ
dc.description.refereedNon Peer Revieweden_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
dc.description.referencesBailey, J.M. 1999. .Evolving Role of Credit Ratings in the Asian Bank Loan Market.. Standard & Poor’s CreditWeek September 22, Standard and Poor.s, Incorporated. Barron, M.J., A.D. Clare, and S.H. Thomas. 1997. "The Effect of Bond Rating Changes and New Ratings on UK Stock Returns." Journal of Business Finance and Accounting 24 (3/4): 497-509. Best, R. and H. Zhang. 1993. .Alternative Information Sources and the Information Content of Bank Loans.. Journal of Finance 48 (4): 1507-1522. Boot, A.W.A. and T.T. Milbourn. 2002. .Credit Ratings as Coordination Mechanisms.. Working Paper. Campbell, T.S. and W.A. Kracaw. 1980. .Information Production, Market Signalling, and the Theory of Financial Intermediation.. Journal of Finance 35 (4): 863-882. Chandra U. and N. Nayar. 1998. "The Information Content of Commercial Paper Rating Downgrades: Further Evidence." Journal of Accounting, Auditing and Finance 13 (4): 417-433. Cowan, A.R. 1992. .Nonparametric Event Study Tests.. Review of Quantitative Finance and Accounting 2: 343-358. Datastream. [Computer Software]. Datastream International Limited. Diamond, D.W. 1984. .Financial Intermediation and Delegated Monitoring.. Review of Economic Studies 51 (166): 393-414. Diamond, D.W 1991. .Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt.. Journal of Political Economy 99 (4): 689-721. Diamond, D.W. 1996. .Financial Intermediation and Delegated Monitoring: A Simple Example.. Federal Reserve Bank of Richmond - Economic Quarterly 82 (3): 51-66. Dichev, I.D. and J.D. Piotroski. 2001. "The Long-Run Stock Returns Following Bond Ratings Changes." Journal of Finance 54: 173-203. Dow Jones Interactive. [On-line]. Dow Jones & Company, Incorporated. Avilable FTP: www.dowjonesinteractive.com. Ederington, L.H., J.B. Yawitz, and B.E. Roberts. 1987. "The Informational Content of Bond Ratings." TheJournal of Financial Research 10 (3): 211-226. EDGAR. [On-line]. U.S. Securities and Exchange Commission. Available FTP: www.sec.gov. Elayan, F.A., B.A. Maris, and P.J. Young. 1996. .The Effect of Commercial Paper Rating Changes and CreditWatch Placement on Common Stock Prices.. Financial Review 31 (1): 149-167. Elayan, F.A., W.H. Hsu and T.O. Meyer, 2003. .The Informational Content of Credit Rating Announcements for Share Prices in a Small Market,. Journal of Economics and Finance 27, (3): 337-356. Fama, E.F. 1985. .What.s Different about Banks?. Journal of Monetary Economics 15: 29-39. Glascock, J.L., W.N. Davidson III, and G.V. Henderson Jr. 1987. "Announcement Effects of Moody’s Bond Rating Changes on Equity Returns." Quarterly Journal of Business and Economics 26: 67-78. Hand, J.R.M., R.W. Holthausen, and R.W. Leftwich. 1992. "The Effect of Bond Rating Agency Announcements on Bond and Stock Prices." Journal of Finance 47: 733-752. Holthausen, R.W. and R.W. Leftwich. 1986. "The Effect of Bond Rating Changes on Common Stock Prices." Journal of Financial Economics 17: 57-89. Hsueh, L.P. and Y.A. Liu. 1992. "Market Anticipation and the Effect of Bond Rating Changes on Common Stock Prices." Journal of Business Research 24: 225-239. James, C. 1987. "Some Evidence on the Uniqueness of Bank Loans." Journal of Financial Economics 19: 217-235. Johnson, S.A. 1997. .The Effect of Bank Debt on Optimal Capital Structure.. Financial Management 27 (1): 47-56. Kanatas, G. 1987. .Commercial Paper, Bank Reserve Requirements, and the Informational Role of Loan Commitments.. Journal of Banking and Finance 11: 425-448. Kliger, D. and O. Sarig. 2000. "The Information Value of Bond Ratings." Journal of Finance 55 (6): 2879-2902. Krishnaswami, S., P.A. Spindt, and V. Subramaniam. 1999. .Information Asymmetry, Monitoring, and the Placement Structure of Corporate Debt.. Journal of Financial Economics 51: 407-434. Leland, H.E. and D.H. Pyle. 1977. .Informational Asymmetries, Financial Structure, and Financial Intermediation.. Journal of Finance 32 (2): 371-387. Lummer, S.L. and J.J. McConnell. 1989. "Further Evidence on the Bank Lending Process and the Capital-Market Response to Bank Loan Agreements." Journal of Financial Economics 25: 99-122. Matolcsy, Z.P. and T. Lianto. 1995. .The Incremental Information Content of Bond Rating Revisions: The Australian Evidence.. Journal of Banking and Finance 19: 891-902. Mikkelson, W.H. and M.M. Partch, 1986." Valuation Effects of Security of Offerings and the Issuance Process." Journal of Financial Economics 15: 31-60. Nayar, N. and M.S. Rozeff. 1994. "Ratings, Commercial Paper, and Equity Returns." The Journal of Finance 49 (4): 1431-1449. Partnoy, F. 1999. .The Siskel and Ebert of Financial Market? Two Thumbs Down for the Credit Rating Agencies.. Washington University Low Quarterly 77 (3): 619-721. Partnoy, F. 2002. .The Paradox of Credit Ratings.. Working Paper (University of San Diego). Patell, J.M. 1976. .Corporate Forecasts of Earnings per Share and Stock Price Behavior: Empirical Tests.. Journal of Accounting Research 14: 246-274. Pinches, G. and Singleton, J. 1978. "The Adjustment of Stock Prices to Bond Rating Changes." Journal of Finance 28: 29-44. Preece, D.A. and D.J. Mullineaux. 1994. .Monitoring by Financial Intermediaries: Banks vs. Nonbanks.. Journal of Financial Services Research 8: 193-202. Rajan, R. and A. Winton. 1995. .Covenants and Collateral as Incentives to Monitor.. Journal of Finance 50 (4): 1113-1146. Ramakrishnan, R.T.S. and A.V. Thakor. 1984. .Information Reliability and a Theory of Financial Intermediation.. Review of Economic Studies 51 (166): 415-432. Reuter.s Business Briefing. [On-line]. Reuters Limited. Aviable FTP: www.briefing.reuters.com. Schweitzer, R., S.H. Szewczyk, and R. Varma. 1992. "Bond Rating Agencies and Their Role in Bank Market Discipline." Journal of Financial Services Research 6 (3): 249-264. Seward, J.K. 1990. .Corporate Financial Policy and the Theory of Financial Intermediation.. Journal of Finance 45 (2): 351-377. Slovin, M.B., M.E. Sushka, and C.D. Hudson. 1990. .External Monitoring and Its Effect on Seasoned Common Stock Issues.. Journal of Accounting and Economics 12: 397-417. Slovin, M.B, S.A. Johnson, and J.L. Glascock. 1992. "Firm Size and the Information Content of Bank Loan Announcements." Journal of Banking and Finance 16: 1057-1071. Standard & Poor.s. [On-line]. Standard and Poor.s, Incorporated. Available FTP: www.standardandpoors.com. Standard & Poor.s Credit Analysis Reference Disc, 1996-2000. Stand and Poor.s, Incorporated. Stover R.D. 1996. "Third-Party Certification in New Issues of Corporate Tax-Exempt Bonds: Standby Letter of Credit and Bond Rating Interaction." Financial Management 25 (1): 62-70. Wakeman, L.M. 1978. "Bond Rating Agencies and the Capital Markets." Working Paper (University of Rochester, Rochester, New York). Wakeman, L.M. 1984. .The Real Function of Bond Rating Agencies.. In The Modern Theory of Corporate Finance, edited by Michael C. Jensen and Clifford W, Smith, Jr. New York: McGraw Hill. Wansley, J.M. and T.M. Clauretie. 1985. "The Impact of CreditWatch Placement on Equity Returns and Bond Prices." The Journal of Financial Research 8 (1): 31-42. Weinstein, M. 1977. "The Effect of a Rating Change Announcement on Bond Price." Journal of Financial Economics 5: 329-350. White, H. 1980. .A Heteroscedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroscedasticity.. Econometrica, 48: 817-838. White, L.J. 2001. .The Credit Rating Industry: An Industrial Organisation Analysis.. Working Paper (New York University).en_NZ
 Find in your library

Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record