Philippe Raimbourg
University of Paris
FinanceBond credit ratingBond marketCredit ratingBond
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Publications 8
#1Philippe Raimbourg (University of Paris)H-Index: 2
#2Federica Salvadè (University of Paris)
Rating agencies have been under the spotlight since the beginning of the century. Financial disasters and the subprime crisis of 2008 brought about the birth of such preoccupations as many investors and regulators became sceptical about their activities. In this chapter, the authors highlight the main characteristics of this activity, sum up the criticisms they had to face, analyse the usefulness of the agencies for investors and the financial market as a whole, and present some possible paths f...
#1Stefano Bonini (Stevens Institute of Technology)H-Index: 7
#2Maurizio Dallocchio (Bocconi University)H-Index: 5
Last. Antonio Salvi (Jean Monnet University)H-Index: 5
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Using a sample of 622 companies in 25 countries over a four-year period (2003-2006), we investigate the translation risk hedging strategy of multinational companies. We find that a significant percentage of companies (47%) actively manage their translation risk. Hedgers are dominant in northern Europe, whereas non-hedgers prevail in southern Europe, South America and Asia. A credit rating significantly increases the likelihood of initiating and maintaining a hedging policy, as firms try to avoid...
1 CitationsSource
#1Jean-Noël Ory (University of Lorraine)H-Index: 6
#2Philippe Raimbourg (University of Paris)H-Index: 2
This paper uses unit root tests that allow for structural breaks in order to examine the impact of ratings announcements on European bond credit spreads. In general, there are no noticeable reactions to announcements for issues in euros, which comes in contrast to the results of previous studies on US corporate bonds. However, we have noticed a reaction to rating actions for issues in sterling. In the case of a reaction to a downgrade or a negative watch, investor reaction generally occurs befor...
1 CitationsSource
#1Jérôme Hubler (University of Lorraine)H-Index: 2
#2Christine Louargant (University of Lorraine)H-Index: 2
Last. Philippe Raimbourg (University of Paris)H-Index: 2
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This article analyses the effect of rating agencies' decisions on stock risks for European issuers concerning five kinds of events. Our approach is an extension of dummy variable regression event study methodology, using a GARCH(1,1) estimation to capture simultaneously the impact on both systematic and specific stock risks. This new methodology allows us to obtain both global results by categories of rating decisions and individual results, event by event. We document, globally, a positive impa...
7 CitationsSource
#1Philippe Raimbourg (University of Paris)H-Index: 2
#2Jean-Noël Ory (University of Lorraine)H-Index: 6
Thanks to an analysis of structural changes in abnormal spread series, we stress specific investors’ reactions to rating actions. These reactions are much more usual when the issues are in sterlings than in euros. When reacting in the euro area, investors mainly react after banks’ and public issuers’ downgrading but before corporate issuers’ downgrading. If rating agencies transmit information about banks’ default risk, we cannot say they are useless for European corporate issuers. Among these i...
#1Jean Noel Ory (University of Lorraine)
#2Philippe Raimbourg (University of Paris)H-Index: 2
The relation that may exist between rating announcements and bond spreads is unclear, despite the fact that many event studies have been dedicated to that problem. Several of them cast a doubt upon the utility and the function of credit rating agencies on the bond markets, which are usually supposed to transmit information about issuer default risks. This paper aims to re-examine the function of credit rating agencies on the bond markets. The first part of the paper presents the model while the ...
#1Maurizio Dallocchio (Bocconi University)H-Index: 5
#2Jérôme HublerH-Index: 2
Last. Antonio Salvi (Bocconi University)H-Index: 5
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This study has two purposes: Copyright 2006 The Authors Journal compilation 2006 Banca Monte dei Paschi di Siena SpA
13 CitationsSource
#1Jérôme HublerH-Index: 2
#2Philippe RaimbourgH-Index: 2
[eng] Rating and the french primary bond market . A linear multiple econometric study has been carried out in order to show and analyse the caracteristics of the relationship between the risk premium required by markets when issuing bonds and bond rating in France over the 1987-1993 period. These analyses show significant differences in risk premiums according to their rating. Moreover, they show that this relationship is unstable over time (1991 appears as a turning point), that it changes cons...
2 CitationsSource