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RESEARCH PAPER
Market-Implied Rating and Bank Funding Costs for Warsaw Stock Exchange-Listed Banks
 
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1
Instytut Nauk Ekonomicznych PAN, Polska
2
Wydział Zarządzania, Uniwersytet Gdański, Polska
CORRESPONDING AUTHOR
Błażej Lepczyński   

Wydział Zarządzania, Uniwersytet Gdański, Polska
Submission date: 2020-04-27
Final revision date: 2020-10-18
Acceptance date: 2021-01-16
Publication date: 2021-03-31
 
GNPJE 2021;305(1):87–109
 
KEYWORDS
JEL CLASSIFICATION CODES
C58
G21
 
ABSTRACT
The objective of this study is to investigate the impact of ratings on the funding costs of banks listed on the Warsaw Stock Exchange. We use the so-called implied rating, which can be treated as a substitute for ratings assigned by rating agencies. A characteristic feature of the implied rating is that it is calculated on the basis of equity market prices, making it suitable for linking the current market assessment with the financial soundness of banks. Based on a panel regression model of banks listed on the Warsaw Stock Exchange in 2007-2018, we show that there is a statistically significant negative relationship between the implied rating and the cost of financing a bank. Moreover, this relationship is non-linear and its strength varies depending on the bank’s ownership structure.
 
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