Tipos de materiales para modelar

Table 7 reports the event study output of the announcing and rival finns for the seven announcements of bank loan rating placement on CreditWatch with positive implication. For the group of announcing firms, the three-day CAAR and CMAR are 0.36% and

1 . 82%, respectively, and are insignificant. The ratio of positive to negative returns is 4:3, which is also insignificant. The results of the two-day window are similar.

For the group of rival finns, the three-day CAAR and CMAR are 1 .0 1 % and 1 .05%, respectively. The ratio of positive to negative returns is 5 : 2, which is also insignificant. The insignificant reaction from the rival portfolio supports Hypothesis 2-2, that the positive placement announcements of bank loan rating do not contain infonnation about the rivals, although they react in the same direction as the announcing firms, indicating a weak contagion effect. The sample size may, however, be too small to make a

Table 7

Returns of Announcing Firms and Rivals around Announcements of Bank Loan Rating Placement with Positive Implication

This table reports the returns around the seven announcements of bank loan rating placement with positive implication for the announcing firms and their corresponding rival portfolios. Rival portfolios contain the rival firms with the same four-digit SIC codes, grouped into value-weighted portfolios by event. N is the number of observations. AAR is the average abnormal return. MAR is the median abnormal return. Pos: Neg shows how many of the firm returns are positive or negative on a given day. SCS Z is the statistic which tests for a significant difference of the average abnormal return from zero. GSIGN Z is the generalised sign Z, which is the non-parametric test statistic for a significant difference from zero, considering the ratio of positive to negative returns. AAR and MAR are taken from the market model using the standardised residual method. CAAR is the equally weighted cumulative average abnormal returns and CMAR is the median cumulative abnormal returns.

Firms Rival Firms

Day N AAR (%) MAR (%) Pos: Neg SCS Z GSIGN Z AAR (%) Pos: SCS Z GSIGN Z

- I 7 0.47 0.96 4:3 0.500 0.556 0.33 0.42 5:2 0. 156 1 .225

0 7 0. 1 8 -0.74 3:4 0.424 -0.202 0.6 1 0.34 4:3 0.308 0.469

1 7 -0.29 0.58 4:3 -0.305 0.556 0.07 0.04 4:3 0.050 0.469

Days N CAAR (%) CMAR (%) Pos: Neg SCS Z GSIGN Z CAAR (%) CMAR (%) Pos: SCS Z GSIGN Z

[- 1 ,+ 1 ] 7 0.36 1 .82 4:3 0.385 0.556 1 .0 1 1 .05 5:2 0. 1 99 1 .225 [ - 1 ,0] 7 0.65 1 . 1 3 4:3 0.742 0.556 0.94 0.98 5:2 0.249 1 .225 [0,+1 ] 7 -0. 1 1 -0. 1 6 3:4 0. 1 62 -0.202 0.68 0.54 4:3 0.2 1 4 0.469 [- 1 5,-2] 7 2.36 6.29 5 :2 0.832 1 .3 13 2.60 1 .59 5:2 1 .395 1 .225 [+2,+ 15] 7 -2.90 -3.40 3 :4 -0.757 -0.202 -6.59 -0.93 2:5 - 1 . 10 1 - 1 .044 - 1 5,+ 7 -0. 1 7 2.97 4:3 0. 1 67 0.556 -2.99 4.3 1 5:2 1 .028 1 .225

Table 8

Returns of Large and Small Rivals around Announcements of Bank Loan Rating Placement with Positive Implication

This table reports the portfolio returns of the large and the small rival firms around the announcements of bank loan rating placement on Credit Watch with positive implication. The rival firms, which have the same four-digit SIC codes as the announcing firm, are grouped into the large rival (small rival) portfolio if their market value in the year prior to the announcements was larger (smaller) than the market value of the announcing firm in the same base year. N is the number of observations. AAR is the average abnormal return. MAR is the median abnormal return. Pos: Neg shows how many of the firm returns are positive or negative on a given day. SCS Z is the statistic which tests for a significant difference of the average abnormal return from zero. GSIGN Z is the generalised sign Z, which is the non-parametric test statistic for a significant difference from zero, considering the ratio of positive to negative returns. AAR and MAR are taken from the market model using the standardised residual method. CAAR is the equally weighted cumulative average abnormal returns and CMAR is the median cumulative abnormal returns.

Rivals Small Rivals Difference

Day N AAR MAR Pos: SCS Z GSIGN Z N AAR MAR Pos: SCS Z GSIGN Z N AAR SCS Z

(%) (%) (%) (%) (%)

- I 6 0.89 0.93 5 : 1 0.74 1 1 .806$ 7 0.00 0.09 5:2 -0.29 1 1 .25 1 - I 0.89 0.8 1 4

0 6 0.43 0.46 4:2 0.554 0.988 7 0. 1 2 0.2 1 4:3 -0.22 1 0.494 - 1 0.3 1 0.283

1 6 0. 1 6 -0.36 2:4 0.438 -0.649 7 0. 1 7 1 .05 4:3 -0.346 0.494 - I -0.01 -0.009

Days N CAAR CMAR Pos: SCS Z GSIGN Z N CAAR CMAR Pos: SCS Z GSIGN Z N CAAR SCS Z

(%) (%) (%) (%) (%) [-1 ,+ 1 ] 6 1 .48 0.57 4:2 0.633 0.988 7 0.29 -0.59 3:4 -0.3 1 9 -0.262 - I 1 . 1 9 1 .088 [- 1 ,0] 6 1 .32 1 .55 4:2 0.733 0.988 7 0. 1 2 -0.2 1 3 :4 -0.247 -0.262 - I 1 .20 1 .097 [0,+1 ] 6 0.59 -0.08 3:3 0.5 1 4 0. 1 69 7 0.29 -0.68 3:4 -0.3 1 5 -0.262 - I 0.30 0.274 [- 1 5,-2] 6 2.34 3.42 4:2 1 .391 0.988 7 5.64 1 . 1 1 4:3 1 .23 1 0.494 - 1 -3.30 -3.0 1 8* [+2,+ 1 5] 6 - 1 .68 -0.68 2:4 -0.883 -0.649 7 -6.82 -0.67 3 :4 -0.346 -0.262 - 1 5. 1 4 4.700*** 6 2. 1 4 0.58 3:3 1 . 1 60 0. 1 69 7 -0.89 3 .85 4:3 0.66 \ 0.494 - \ 3.03 2.77 \ *

Table 8 reports the event study output of the large rivals and the small rivals. For the

large rivals the three-day CAAR and CMAR are 1 .48% and 0. 57%, respectively, and the ratio of positive to negative returns is 4:2. Both SCS Z and GSIGN Z are insignificant. For the small rivals the three-day CAAR and CMAR is 0.29% and -0.59%, respectively,

and the ratio of positive to negative returns is 3 :4. Both SCS Z and GSIGN Z are also insignificant. The mean difference is also insignificant, which supports Hypothesis 5-2, that the reaction of large and small rivals toward the positive placement announcements of bank loan rating should be indifferent, however, again the sample size may not be large enough to make a generalised conclusion.

The pattern of AAR and CAAR for the whole window (day - 1 5 to day 1 5) for the

announcing firms, the large rivals and the small rivals are provided in Figures 4-5 and 4-6,

respectively. It can be seen in both Figure 4-5 and 4-6 that the AARs and CAARs of the announcing firms, the large rivals and the small rivals are random, while the returns of the small rivals are the most volatile.

5.3 Action Announcements of Bank Loan Ratings