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Les relations de long terme entre la notation des banques par les agences et leur valorisation

Abstract : The distinctiveness and uniqueness of this research lies in the fact that it studies the long-term effects of credit rating on the value of banks rather than its immediate impact on the shares’ market price. The context of this research is the subprime crisis period of 2007-2008 during which banking stocks declined dramatically. This crisis caused a reawakening of interest in the study of credit rating and its impact on rated companies, especially when the rated companies are banks. The central question is to know how and to what extent credit rating helps to explain the long-term valuation of banks. How does the bank rating affect their performance, their governance, their capital structure, and therefore their value? Reciprocally, how does banks valuation impact their credit ratings? Our research follows the path of previous studies showing the impact of credit rating on the value of companies, but our approach is different. On one hand we focus only on the banking sector which is particular, and where the impact of credit rating can be different and stronger than on the other companies or industrial groups. On other hand we mobilize corporate governance approach that highlights the link between governance and valuation (Charreaux G., 1997; Gompers et al., 2003, Rob Bauer et al., 2003; Barth, Caprio and Levine, 2004; Levine, 2004). We also mobilize the neo-institutional theory developed by Meyer and Rowan (1977), Scott and Meyer (1983), DiMaggio and Powell (1991, 1997) and North (1990) that highlights the impact of institutions on organizations, their management and performance. These two approaches allow us to describe and analyze the ways and means by which credit rating can impact banks values in the long term, particularly by inspiring banks to use the “best practices” disseminated in the rating methodologies for banks. We try to empirically validate this analysis through a quantitative and econometric approach, using data from international databases such as Bloomberg, Bankscope and Fininfo about 161 large banks from 18 countries over the period 2001 to 2010. After building uniform credit rating indicators, we use bivariate analysis, regressions on panel data, Granger causality tests and multinomial logit model to test our assumptions. Our results show that one notch downgrade of a bank financial strength rating seems to cause a significant decrease of its valuation. This impact is not significant in a crisis period. The effect of the issuer credit rating on bank valuation is not significant. However, Granger causality tests show a feedback loop between the issuer credit rating, the weighted average cost of debt and the size of banks. The results of a logit multinomial model show that the bank financial strength ratings assigned by the rating agencies are influenced by the bank valuation indicators only for the years 2008 and 2009.
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José Nadège Dongmo Dongmo-Kengfack. Les relations de long terme entre la notation des banques par les agences et leur valorisation. Economies et finances. Université de Lorraine, 2014. Français. ⟨NNT : 2014LORR0319⟩. ⟨tel-01751770⟩



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