Jérôme Hubler
University of Lorraine
Publications 4
#1Jérôme Hubler (University of Lorraine)H-Index: 2
#2Christine Louargant (University of Lorraine)H-Index: 2
Last.Jean‐Noёl Ory (University of Lorraine)
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#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
#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