Marché financier et évaluation du risque bancaire. Les agences de notation contribuent-elles à améliorer la discipline de marché ?

This paper examines the role played by rating agencies in increasing market discipline for banks and other financial intermediaries. Using a standard event study methodology applied on a sample of European banks we first analyse the impact of rating changes on bank stock prices. Tests for the presence of abnormal returns do not always confirm that rating agencies convey unexpected information to the market. The estimation of a Logit model on individual bank data shows however that the market does react in the expected direction to increase discipline in the case of institutions for which modern intermediation theory outlines the sharpest asymmetric information problems. Classification JEL : G14, G33