The effect of credit rating announcements on covered bond returns : evidence from covered bonds issued by the three largest banks in Iceland
The purpose of this thesis is to examine how issuer credit rating announcements affect returns of covered bonds issued by the three largest banks in Iceland. The matching portfolio model is used to determine abnormal returns, which are calculated as the difference between daily covered bond returns...
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| Format: | Thesis |
| Language: | English |
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2020
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| Online Access: | http://hdl.handle.net/1946/36256 |
| _version_ | 1821549029837766656 |
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| author | Hörður Guðmundsson 1995- |
| author2 | Háskólinn í Reykjavík |
| author_facet | Hörður Guðmundsson 1995- |
| author_sort | Hörður Guðmundsson 1995- |
| collection | Skemman (Iceland) |
| description | The purpose of this thesis is to examine how issuer credit rating announcements affect returns of covered bonds issued by the three largest banks in Iceland. The matching portfolio model is used to determine abnormal returns, which are calculated as the difference between daily covered bond returns and matching government bond index returns. Abnormal returns and cumulative abnormal returns associated with rating upgrades and affirmations are analyzed over a 21-day event window. The research is limited to the period of 2014 through 2018. The full sample includes seventeen rating announcement dates and 26 covered bonds. Findings show that announcement effects exist for rating affirmations and rating upgrades. The results suggest that rating agencies convey some new information to market participants. The results contribute to the discussion of market efficiency in Iceland and to the literature that analyzes bond markets in small open economies. |
| format | Thesis |
| genre | Iceland |
| genre_facet | Iceland |
| id | ftskemman:oai:skemman.is:1946/36256 |
| institution | Open Polar |
| language | English |
| op_collection_id | ftskemman |
| op_relation | http://hdl.handle.net/1946/36256 |
| publishDate | 2020 |
| record_format | openpolar |
| spelling | ftskemman:oai:skemman.is:1946/36256 2025-01-16T22:32:17+00:00 The effect of credit rating announcements on covered bond returns : evidence from covered bonds issued by the three largest banks in Iceland Hörður Guðmundsson 1995- Háskólinn í Reykjavík 2020-05 application/pdf http://hdl.handle.net/1946/36256 en eng http://hdl.handle.net/1946/36256 Hagfræði Eignastýring Bankastarfsemi Economics Asset-liability management Portfolio management Thesis Bachelor's 2020 ftskemman 2022-12-11T06:50:56Z The purpose of this thesis is to examine how issuer credit rating announcements affect returns of covered bonds issued by the three largest banks in Iceland. The matching portfolio model is used to determine abnormal returns, which are calculated as the difference between daily covered bond returns and matching government bond index returns. Abnormal returns and cumulative abnormal returns associated with rating upgrades and affirmations are analyzed over a 21-day event window. The research is limited to the period of 2014 through 2018. The full sample includes seventeen rating announcement dates and 26 covered bonds. Findings show that announcement effects exist for rating affirmations and rating upgrades. The results suggest that rating agencies convey some new information to market participants. The results contribute to the discussion of market efficiency in Iceland and to the literature that analyzes bond markets in small open economies. Thesis Iceland Skemman (Iceland) |
| spellingShingle | Hagfræði Eignastýring Bankastarfsemi Economics Asset-liability management Portfolio management Hörður Guðmundsson 1995- The effect of credit rating announcements on covered bond returns : evidence from covered bonds issued by the three largest banks in Iceland |
| title | The effect of credit rating announcements on covered bond returns : evidence from covered bonds issued by the three largest banks in Iceland |
| title_full | The effect of credit rating announcements on covered bond returns : evidence from covered bonds issued by the three largest banks in Iceland |
| title_fullStr | The effect of credit rating announcements on covered bond returns : evidence from covered bonds issued by the three largest banks in Iceland |
| title_full_unstemmed | The effect of credit rating announcements on covered bond returns : evidence from covered bonds issued by the three largest banks in Iceland |
| title_short | The effect of credit rating announcements on covered bond returns : evidence from covered bonds issued by the three largest banks in Iceland |
| title_sort | effect of credit rating announcements on covered bond returns : evidence from covered bonds issued by the three largest banks in iceland |
| topic | Hagfræði Eignastýring Bankastarfsemi Economics Asset-liability management Portfolio management |
| topic_facet | Hagfræði Eignastýring Bankastarfsemi Economics Asset-liability management Portfolio management |
| url | http://hdl.handle.net/1946/36256 |