7. YHTEENVETO JA JOHTOPÄÄTÖKSET
7.3 J ATKOTUTKIMUSEHDOTUKSET
Luottoluokitustoiminta on jatkossakin hyvin relevantti tutkimuksen aihe luottoluokittajien vai-kutusvallan, luokitustoiminnan puolijulkisen luonteen sekä luokittajien aikaisempien virhear-viointien takia. Jatkotutkimuksissa aihetta voisi tarkastella myös pidemmältä aikajaksolta kuin nyt, aineiston havaintojen kasvattamiseksi. Toinen jatkotutkimusehdotus olisi herkemmän ana-lyysin toteutus. Koska luottoluokitukset ovat staattisempia kuin esimerkiksi osakekurssit, yksi tapa parantaa luokitusmuutoksien havainnointia olisi ottaa mukaan myös credit watch – tark-kailut, joihin yrityksiä saatetaan asettaa luottoluokittajien toimesta, ennen mahdollista luotto-luokituksen alennusta. Credit watch – listalla ollessaan yritys saattaa saada luokitusalennuksen tai tilanteen parantuessa päästä listalta pois ilman luokitusmuutosta. Lopuksi aineiston tuloksia voitaisiin syventää tutkimalla malleja eri aineistojaoilla, kuten esimerkiksi hyvän ja huonon taloustilanteen jaolla sekä ottaa huomioon, että onko negatiivinen luokitusmuutos ollut yrityk-sen ensimmäinen.
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LIITTEET
** Correlation is significant at the 0.01 level (2-tailed).
* Correlation is significant at the 0.05 level (2-tailed).
Muuttujat relative
** Correlation is significant at the 0.01 level (2-tailed).
* Correlation is significant at the 0.05 level (2-tailed).
Muuttujat relative GWI
* Correlation is significant at the 0.05 level (2-tailed).
Liite 2. Omnibus - testit
CR (t-1) CR (t=0) CR (t+1)
Negative
change Negative change % correct
dummy change of CR (t=0)
change Negative change % correct
dummy change of CR (t+1)
Liite 4. Logistisen regression tulokset
dummy change of CR (t-1)
YEAR=2007 19,222 1,171 269,45321 0,001 222847892,438 YEAR=2008 18,775 1,757 114,18692 0,001 142521012,081 YEAR=2009 19,881 0,343 3359,60494 0,001 430733445,143 YEAR=2010 19,952 0,372 2876,64979 0,001 462427340,059 YEAR=2011 18,817 0,454 1717,86513 0,001 148634376,605 YEAR=2012 18,922 0,419 2039,41698 0,001 165089779,159 YEAR=2013 20,079 0,321 3912,67788 0,001 525047871,391 YEAR=2014 19,292 0,407 2246,80659 0,001 239006187,815
YEAR=2015 18,427 1,13 265,92085 0,001 100633926,467
YEAR=2016 19,244 0,4 2314,57210 0,001 227804872,927
Communications 0,872 0,823 1,12262 0,075 2,392
Consumer -0,27 0,503 0,28813 0,56 0,763
Unless otherwise noted, bootstrap results are based on 1000 bootstrap samples
-2 Log likelihood 555,736
Cox & Snell R Square 12,7 % Nagelkerke R Square 22,4 %
dummy change of CR (t=0)
Communications 0,898 0,503 3,18725 0,049 2,455
Consumer -0,38 0,493 0,59412 0,432 0,684
Unless otherwise noted, bootstrap results are based on 1000 bootstrap samples
-2 Log likelihood 605,843
Cox & Snell R Square 12,1 %
Communications 1,088 0,494 4,85069 0,017 2,968
Consumer 0,09 0,494 0,03319 0,838 1,094
Unless otherwise noted, bootstrap results are based on 1000 bootstrap samples
-2 Log likelihood 614,673
Cox & Snell R Square 12,6 %
Nagelkerke R Square 21,1 %
Liite 5. Omnibus - testit ilman rahoitustoimialaa
Liite 6. Luokittelutaulukot ilman rahoitustoimialaa
Predicted
Observed No change or
positive change Negative change % correct dummy change of CR (t-1)
positive change Negative change % correct dummy change of CR (t=0) No change or
positive change Negative change % correct dummy change of CR (t+1)
Liite 7. Logistisen regression tulokset ilman rahoitustoimialaa
dummy change of CR (t-1)
YEAR=2007 19,535 1,219 256,81443 0,001 304749291,053 YEAR=2008 19,302 1,383 194,78713 0,001 241408239,937 YEAR=2009 19,868 0,506 1541,72626 0,001 425170150,123 YEAR=2010 19,598 0,545 1293,09521 0,001 324566174,208
YEAR=2011 18,96 0,62 935,17586 0,001 171483909,841
YEAR=2012 17,939 4,285 17,52648 0,001 61774424,887
YEAR=2013 19,304 0,53 1326,60881 0,001 241891539,555 YEAR=2014 18,929 1,079 307,76020 0,001 166249461,766
YEAR=2015 17,819 3,999 19,85472 0,001 54788999,899
YEAR=2016 18,643 1,557 143,36871 0,001 124897005,546
Communications 0,711 0,546 1,69572 0,146 2,036
Consumer -0,497 0,55 0,81656 0,326 0,608
Energy 0,678 0,689 0,96832 0,26 1,970
Industrial -0,463 0,492 0,88559 0,307 0,629
Technology -19,544 1,002 380,44464 0,001 0,000
Utilities -0,508 0,611 0,69127 0,375 0,602 Unless otherwise noted, bootstrap results are based on 1000 bootstrap samples
-2 Log likelihood 333,512
Cox & Snell R Square 13,2 %
Unless otherwise noted, bootstrap results are based on 1000 bootstrap samples
-2 Log likelihood 339,444
Cox & Snell R Square 11,0 %
Communications 1,362 0,582 5,47656 0,007 3,904
Consumer -0,217 0,607 0,12780 0,708 0,805
Energy 1,821 0,814 5,00462 0,007 6,178
Industrial -0,058 0,53 0,01198 0,904 0,944
Technology 0,068 6,208 0,00012 0,806 1,070
Utilities 0,894 0,58 2,37585 0,103 2,445
Unless otherwise noted, bootstrap results are based on 1000 bootstrap samples
-2 Log likelihood 330,437
Cox & Snell R Square 17,30 %
Nagelkerke R Square 30,90 %
Liite 8. Standardisoitujen residuaalien jakautuminen malleissa
Liite 9. Luottoluokitusten muunto
Muunto numeroksi Standard & Poor's
22 AAA 21 AA+
20 AA 19 AA- 18 A+
17 A 16 A- 15 BBB+
14 BBB 13 BBB- 12 BB+
11 BB 10 BB-
9 B+
8 B 7 B- 6 CCC+
5 CCC 4 CCC- 3 CC 2 C 1 D