Can accounting-based and market-based indicators predict changes in the risk rating of brazilian banks?
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | Revista Brasileira de Gestão de Negócios (Online) |
Texto Completo: | https://rbgn.fecap.br/RBGN/article/view/3968 |
Resumo: | Purpose – This work aims to analyze whether market indicators, in complementarity to accounting indicators, have the ability to anticipate changes (upgrades or downgrades) in the assessments of risk rating (rating) of banks in Brazil. Design/methodology/approach – We used information based on the merger of two databases, Economatica and Standard & Poor’s/Fitch, from 2010 to 2014, and linear regressions based on probit models. Findings – Our results show that market-based indicators as Sovereign Risk and GDP growth, together with accounting-based indicators as asset quality, liquidity, risk, capital and profitability, have predictive power for risk rating changes of banks in Brazil. The results still show that the market did not price changes in Brazilian banks’ ratings in windows ending in the event date. Such evidence suggest that Sovereign Risk and economic-systemic factors can be used to proxy for risk in volatile markets with high uncertainty. Originality/value – Unlike in developed countries, the Brazilian stock market, young and not very representative of the economy, was not able to anticipate changes in the banks' rating. This study anticipates information to investors who aid in the decision to buy, hold or sell securities, and signals that the financial system is more susceptible to macroeconomic shocks in unstable economies. |
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Can accounting-based and market-based indicators predict changes in the risk rating of brazilian banks?Indicadores contábeis e de mercado têm poder preditivo de classificação de risco (rating) do bancos no Brasil?RatingAccounting IndicatorsMarket IndicatorsBanking Industry.Classificação de riscoIndicadores ContábeisIndicadores de MercadoSetor Bancário.Purpose – This work aims to analyze whether market indicators, in complementarity to accounting indicators, have the ability to anticipate changes (upgrades or downgrades) in the assessments of risk rating (rating) of banks in Brazil. Design/methodology/approach – We used information based on the merger of two databases, Economatica and Standard & Poor’s/Fitch, from 2010 to 2014, and linear regressions based on probit models. Findings – Our results show that market-based indicators as Sovereign Risk and GDP growth, together with accounting-based indicators as asset quality, liquidity, risk, capital and profitability, have predictive power for risk rating changes of banks in Brazil. The results still show that the market did not price changes in Brazilian banks’ ratings in windows ending in the event date. Such evidence suggest that Sovereign Risk and economic-systemic factors can be used to proxy for risk in volatile markets with high uncertainty. Originality/value – Unlike in developed countries, the Brazilian stock market, young and not very representative of the economy, was not able to anticipate changes in the banks' rating. This study anticipates information to investors who aid in the decision to buy, hold or sell securities, and signals that the financial system is more susceptible to macroeconomic shocks in unstable economies.Objetivo – A presente pesquisa buscou analisar se os indicadores de mercado, de forma complementar aos indicadores contábeis, têm capacidade de antecipar alterações (downgrades ou upgrades) nas avaliações de classificação de risco (rating) dos bancos no Brasil. Metodologia – Regressões lineares em modelos probit, a partir de uma amostra coletada das bases de dados Economática e Standard & Poor’s/Fitch, entre os anos de 2010 e 2014. Resultados – Os indicadores de mercado Risco Soberano e Crescimento do PIB, quando associados aos indicadores contábeis ligados à Qualidade de Ativos, Liquidez, Risco, Capital e Rentabilidade, têm poder preditivo para alterações da classificação de risco dos bancos no Brasil. Em janelas anteriores à alteração do Rating dos bancos, o mercado não precificou as alterações de rating. Tais evidências sugerem que o risco soberano e fatores econômico-sistêmicos podem ser utilizados como sinalizadores de risco em mercados voláteis e de grande incerteza. Contribuições – Diferentemente do que ocorre nos países desenvolvidos, o mercado acionário brasileiro, jovem e pouco representativo da economia, não foi capaz de antecipar alterações no rating dos bancos. A pesquisa antecipa informações aos investidores que auxiliam na decisão de comprar, de manter ou de vender títulos, além de sinalizar que o sistema financeiro está mais suscetível a choques macroeconômicos em economias instáveis.FECAP2018-12-21info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionAvaliado por paresapplication/pdfapplication/pdfhttps://rbgn.fecap.br/RBGN/article/view/396810.7819/rbgn.v21i1.3968Review of Business Management; Vol. 21 No. 1 (2019); 152-168RBGN Revista Brasileira de Gestão de Negócios; Vol. 21 Núm. 1 (2019); 152-168RBGN - Revista Brasileira de Gestão de Negócios; v. 21 n. 1 (2019); 152-1681983-08071806-4892reponame:Revista Brasileira de Gestão de Negócios (Online)instname:Fundação Escola de Comércio Álvares Penteado (FECAP)instacron:FECAPengporhttps://rbgn.fecap.br/RBGN/article/view/3968/pdfhttps://rbgn.fecap.br/RBGN/article/view/3968/1446Copyright (c) 2018 Review of Business Managementinfo:eu-repo/semantics/openAccessGarcia, Ronaldo TrapiáMonte-Mor, Danilo SoaresTardin, Neyla2021-07-21T16:00:47Zoai:ojs.emnuvens.com.br:article/3968Revistahttp://rbgn.fecap.br/RBGN/indexhttps://rbgn.fecap.br/RBGN/oai||jmauricio@fecap.br1983-08071806-4892opendoar:2021-07-21T16:00:47Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP)false |
dc.title.none.fl_str_mv |
Can accounting-based and market-based indicators predict changes in the risk rating of brazilian banks? Indicadores contábeis e de mercado têm poder preditivo de classificação de risco (rating) do bancos no Brasil? |
title |
Can accounting-based and market-based indicators predict changes in the risk rating of brazilian banks? |
spellingShingle |
Can accounting-based and market-based indicators predict changes in the risk rating of brazilian banks? Garcia, Ronaldo Trapiá Rating Accounting Indicators Market Indicators Banking Industry. Classificação de risco Indicadores Contábeis Indicadores de Mercado Setor Bancário. |
title_short |
Can accounting-based and market-based indicators predict changes in the risk rating of brazilian banks? |
title_full |
Can accounting-based and market-based indicators predict changes in the risk rating of brazilian banks? |
title_fullStr |
Can accounting-based and market-based indicators predict changes in the risk rating of brazilian banks? |
title_full_unstemmed |
Can accounting-based and market-based indicators predict changes in the risk rating of brazilian banks? |
title_sort |
Can accounting-based and market-based indicators predict changes in the risk rating of brazilian banks? |
author |
Garcia, Ronaldo Trapiá |
author_facet |
Garcia, Ronaldo Trapiá Monte-Mor, Danilo Soares Tardin, Neyla |
author_role |
author |
author2 |
Monte-Mor, Danilo Soares Tardin, Neyla |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Garcia, Ronaldo Trapiá Monte-Mor, Danilo Soares Tardin, Neyla |
dc.subject.por.fl_str_mv |
Rating Accounting Indicators Market Indicators Banking Industry. Classificação de risco Indicadores Contábeis Indicadores de Mercado Setor Bancário. |
topic |
Rating Accounting Indicators Market Indicators Banking Industry. Classificação de risco Indicadores Contábeis Indicadores de Mercado Setor Bancário. |
description |
Purpose – This work aims to analyze whether market indicators, in complementarity to accounting indicators, have the ability to anticipate changes (upgrades or downgrades) in the assessments of risk rating (rating) of banks in Brazil. Design/methodology/approach – We used information based on the merger of two databases, Economatica and Standard & Poor’s/Fitch, from 2010 to 2014, and linear regressions based on probit models. Findings – Our results show that market-based indicators as Sovereign Risk and GDP growth, together with accounting-based indicators as asset quality, liquidity, risk, capital and profitability, have predictive power for risk rating changes of banks in Brazil. The results still show that the market did not price changes in Brazilian banks’ ratings in windows ending in the event date. Such evidence suggest that Sovereign Risk and economic-systemic factors can be used to proxy for risk in volatile markets with high uncertainty. Originality/value – Unlike in developed countries, the Brazilian stock market, young and not very representative of the economy, was not able to anticipate changes in the banks' rating. This study anticipates information to investors who aid in the decision to buy, hold or sell securities, and signals that the financial system is more susceptible to macroeconomic shocks in unstable economies. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-12-21 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Avaliado por pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://rbgn.fecap.br/RBGN/article/view/3968 10.7819/rbgn.v21i1.3968 |
url |
https://rbgn.fecap.br/RBGN/article/view/3968 |
identifier_str_mv |
10.7819/rbgn.v21i1.3968 |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
https://rbgn.fecap.br/RBGN/article/view/3968/pdf https://rbgn.fecap.br/RBGN/article/view/3968/1446 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2018 Review of Business Management info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2018 Review of Business Management |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
FECAP |
publisher.none.fl_str_mv |
FECAP |
dc.source.none.fl_str_mv |
Review of Business Management; Vol. 21 No. 1 (2019); 152-168 RBGN Revista Brasileira de Gestão de Negócios; Vol. 21 Núm. 1 (2019); 152-168 RBGN - Revista Brasileira de Gestão de Negócios; v. 21 n. 1 (2019); 152-168 1983-0807 1806-4892 reponame:Revista Brasileira de Gestão de Negócios (Online) instname:Fundação Escola de Comércio Álvares Penteado (FECAP) instacron:FECAP |
instname_str |
Fundação Escola de Comércio Álvares Penteado (FECAP) |
instacron_str |
FECAP |
institution |
FECAP |
reponame_str |
Revista Brasileira de Gestão de Negócios (Online) |
collection |
Revista Brasileira de Gestão de Negócios (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP) |
repository.mail.fl_str_mv |
||jmauricio@fecap.br |
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