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The Value of Uninformative Credit Ratings
Cornaggia, Jess - 2015
We test the hypothesis that financial institutions and other regulated institutional investors benefit from relatively uninformative credit ratings. Using credit ratings without regulatory implications as a benchmark, we show that Moody's certifies riskier bonds as investment grade. This...
Persistent link: https://www.econbiz.de/10013013043
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Rating agencies and information efficiency : do multiple credit ratings pay off? ; [the case of RMBS rating migration]
Morkoetter, Stefan; Stebler, Roman; Westerfeld, Simone - 2015
We empirically investigate the benefits of multiple ratings not only at issuance of debt instruments but also during the subsequent monitoring phase. Using a record of monthly credit rating migration data on all U.S. residential mortgage-backed securities rated by Standard & Poor's, Moody's, and...
Persistent link: https://www.econbiz.de/10011343380
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Information Value of the Credit Rating on the Credit Default Swaps Market
Chodnicka-Jaworska, Patrycja - 2016
The paper examines and analyses the impact of the countries' credit ratings changes on the cost of credit defaults swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies. It is hypothesized that ratings events convey new...
Persistent link: https://www.econbiz.de/10012981020
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Regulating a highly concentrated industry : implications from Dodd-Frank
Rieber, Alexander - 2021
Using an international sample of more than 65,000 rating actions by Fitch, Moody's and S&P, we analyze the effect of the Dodd-Frank Act on credit ratings. We document that (i) rating report content changes significantly after Dodd-Frank and (ii) show, by exploiting within firm-quarter variation,...
Persistent link: https://www.econbiz.de/10013336275
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Market Pricing of Credit Rating Signals
Grothe, Magdalena - 2014
This paper contributes new evidence on market pricing of rating changes. We examine the relation between spreads and ratings for a very large and comprehensive sample of corporate bonds, which allows us to test for country- and industry-specific effects, as well as to explore the differences...
Persistent link: https://www.econbiz.de/10013061797
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Credit Rating Agencies, Information Asymmetry and Us Bond Liquidity
Lovo, Stefano; Raimbourg, Philippe; Salvadè, Federica - 2022
Do rating announcements reduce information asymmetries? We investigate the effect of rating disclosures on the volatility and liquidity of the US bond market. Although rating agencies' decisions often are anticipated by credit spread changes, we show that in the case of no regulatory change...
Persistent link: https://www.econbiz.de/10013294490
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Faith-Based Financial Regulation : A Primer on Oversight of Credit Rating Organizations
Fitzpatrick, Thomas James; Sagers, Chris - 2011
During the past forty years, the simultaneous, symbiotic growth of financial innovation, disintermediation and deregulation has created an environment with extremely complex, opaque investment instruments. That system has now collapsed. At the very center of the crisis are a small group of...
Persistent link: https://www.econbiz.de/10014209183
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Regulating Credit Ratings in the European Union : A Critical First Assessment of Regulation 1060/2009 on Credit Rating Agencies
Amtenbrink, Fabian - 2011
In the wake of the global financial crisis, the European Parliament and Council Regulation 1060/2009 on Credit Rating … Agencies has recently been published in the Official Journal of the European Union. With this Regulation the European Union … takes a first step in addressing calls for a better regulation of the (global) financial markets including, among other …
Persistent link: https://www.econbiz.de/10013134115
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Rethinking Regulation of Credit Rating Agencies : An Institutional Investor Perspective
Partnoy, Frank - 2009
, policymakers, and the general public about important credit rating agency regulation proposals and their potential impact on … rating agency regulation. It focuses on two areas of primary importance - oversight and accountability - and offers specific …
Persistent link: https://www.econbiz.de/10013158298
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Eliminating Regulatory Reliance on Credit Ratings : Restoring the Strength of Reputational Concerns
Mostacatto, Bianca - 2015
towards regulation and oversight of these entities in the U.S. and in the EU are comparatively analyzed. The paper concludes … only when ratings are deemed reliable. It then argues that, even though regulation and oversight of rating agencies might …
Persistent link: https://www.econbiz.de/10013036669