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Authors
Advisor(s)
Abstract(s)
A presente dissertação tem como principal objetivo avaliar a
capacidade que os mercados de Credit Default Swaps (CDS) e acionista
apresentam de antecipar alterações nas notações das principais Agências de Rating
mundiais. Para esse efeito serão analisadas as cotações diárias dos prémios de CDS e as cotações diárias de ações dos quatro principais bancos portugueses entre 2004 e 2012, bem como os eventos de rating associados a esses bancos. A literatura existente, apresenta, resultados que tendem a evidenciar que os CDS reagem, regra geral, de forma mais rápida a anúncios das Agências de Rating e que esta mesma reação é maior para eventos negativos (downgrade das notações de rating) do que para eventos positivos (upgrade das notações). O presente estudo detecta, para dois daqueles bancos alguma capacidade dos prémios dos CDS
anteciparem eventos negativos de rating.
This work aims to evaluate the ability of the Credit Default Swaps markets (CDS) and stock markets in anticipate changes in the ratings of the world's biggest Rating Agencies. For this purpose will be analyzed the daily prices of CDS premiums and the daily prices of shares of the four major Portuguese banks between 2004 and 2012 as well as the rating of events associated with these banks. The existing literature, present results that tend to show that the CDS's react generally faster to announcements of Rating Agencies and that this same reaction is higher for negative events (downgrade of the ratings) than for positive events (upgrade of ratings). This study detects, for two of those banks some capacity of CDS spreads to anticipate negative rating events.
This work aims to evaluate the ability of the Credit Default Swaps markets (CDS) and stock markets in anticipate changes in the ratings of the world's biggest Rating Agencies. For this purpose will be analyzed the daily prices of CDS premiums and the daily prices of shares of the four major Portuguese banks between 2004 and 2012 as well as the rating of events associated with these banks. The existing literature, present results that tend to show that the CDS's react generally faster to announcements of Rating Agencies and that this same reaction is higher for negative events (downgrade of the ratings) than for positive events (upgrade of ratings). This study detects, for two of those banks some capacity of CDS spreads to anticipate negative rating events.
Description
Keywords
Credit Default Swaps Rating Agências Ações Rating agencies Stock prices
Citation
Publisher
Instituto Politécnico do Porto. Escola Superior de Estudos Industriais e de Gestão