The Impact of Sovereign Rating News on European Banks
研究了2002-2012年间三大评级机构对欧元区主权评级调整如何影响国内银行股价，发现降级导致股价下跌，但负面观察反而推高股价，且影响程度与银行杠杆、效率等特征相关。
Abstract This paper examines the spillover effect of Eurozone sovereign rating changes announced by Standard and Poor's, Moody's, and Fitch on domestic bank share prices in the period 2002–2012. This spillover effect appears negative in the case of downgrades, but insignificant for upgrades. Surprisingly, announcement of sovereign negative credit watches results in increased bank stock returns. Bank share price losses following sovereign downgrades increase as bank leverage, efficiency, and equity performance increase, and they decrease as bank systematic risk and payout ratio increase. On the contrary, bank share prices rise following sovereign negative credit watches, as leverage and bank size decrease and as bank systematic risk increases.