¿Reflejan los cambios de rating de la deuda variaciones en el riesgo de los emisores?

  1. Pilar Abad
  2. M. Dolores Robles
Revista:
Revista europea de dirección y economía de la empresa

ISSN: 1019-6838

Año de publicación: 2015

Volumen: 24

Número: 1

Páginas: 47-60

Tipo: Artículo

DOI: 10.1016/J.REDEE.2014.04.001 DIALNET GOOGLE SCHOLAR lock_openDialnet editor

Otras publicaciones en: Revista europea de dirección y economía de la empresa

Resumen

En este trabajo analizamos la relación existente entre los anuncios de cambios en la calificación asignada a la deuda corporativa y los niveles de riesgo sistemático e idiosincrásico de la empresa emisora. Analizamos los cambios en la calificación de la deuda de empresas españolas anunciados por las 3 principales agencias de rating (Moody's, Standard & Poor's y Fitch). Nos centramos en las empresas que cotizan o han cotizado en el Mercado Continuo entre 1988 y 2010. Con objeto de medir los riesgos de la empresa partimos de una extensión del Modelo de Mercado a partir de la cual realizamos un estudio de eventos. Los resultados muestran cambios en los niveles de riesgo en la dirección señalizada por el cambio en la calificación. En particular, las mejoras de la calificación van acompañadas de menores niveles de ambos riesgos, aunque la evidencia de caída en el riesgo beta es escasa. Por el contrario, los deterioros en la calificación causan claros incrementos en el riesgo sistemático, acompañados de menor riesgo idiosincrásico. Además, la respuesta de los riesgos depende de las características del anuncio, del emisor y el entorno económico.

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