Rating Performance and Bank Business Models: Is There a Change with the 2007-2009 Crisis?

33 Pages Posted: 9 Sep 2014

See all articles by Vincenzo D'Apice

Vincenzo D'Apice

Italian Banking Association

Giovanni Ferri

LUMSA University

Punziana Lacitignola

University of Bari

Date Written: September 8, 2014

Abstract

We investigate the relationship between a bank’s rating and its business model and hypothesize that relationship changed through the crisis. We use bank ratings by Fitch, Moody’s and S&P’s from 2006 to 2009 and proxy the business model via an index given by a banks’ traditional income share in total income. In a sample of 241 listed banks from 39 countries, controlling for sovereign ratings and other bank characteristics, we find that banks with higher values of the index had: i) similar ratings to other banks until 2007; ii) better rating performance through 2008-2009. The evidence supports our hypothesis.

Keywords: Financial Crises, Financial Markets, Ratings, Banks Business Model

JEL Classification: G1, G15, G21, G24

Suggested Citation

D'Apice, Vincenzo and Ferri, Giovanni and Lacitignola, Punziana, Rating Performance and Bank Business Models: Is There a Change with the 2007-2009 Crisis? (September 8, 2014). Available at SSRN: https://ssrn.com/abstract=2493135 or http://dx.doi.org/10.2139/ssrn.2493135

Vincenzo D'Apice (Contact Author)

Italian Banking Association ( email )

Rome, 00186
Italy

Giovanni Ferri

LUMSA University ( email )

Via della Traspontina
Roma, Rome 00192
Italy

HOME PAGE: http://www.lumsa.it/giovanni-ferri

Punziana Lacitignola

University of Bari ( email )

Piazza Umberto I
Bari, 70121
Italy

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