Using an intertemporal model of asset pricing under asymmetric information, we demonstrate how public ratings about the quality of a risky asset could enhance information efficiency, albeit at a cost of higher asset price volatility. The analysis also draws implications for the use of ratings...

This article discusses the out-of-court debt restructuring of firms in financial distress, under conditions of asymmetric information among their creditors and in situations where a creditor bank makes concessions conditional on other creditors' actions. In line with empirical evidence, it is...

Noise traders benchmark the supply of a traded asset to public announcements. This paper shows how benchmarking induces informed traders to overreact to news about fundamentals, leading to excess asset price volatility

We relate the valuation dynamics of global systemically important banks (G-SIB) to levels of public sector corruption in their country of domicile. We show that G-SIB valuations benefitted from higher perceived public sector corruption before the global financial crisis (1998:Q1-2007:Q2), but...

Using an intertemporal model of asset pricing under asymmetric information, we demonstrate how public ratings about the quality of a risky asset could enhance information efficiency, albeit at a cost of higher asset price volatility. The analysis also draws implications for the use of ratings...

This paper studies the impact of bank-specific financial indicators and macroeconomic variables on bank senior unsecured ratings by Moody’s. Controlling for bank financial characteristics, we find significant evidence of procyclicality in bank ratings stemming from lagged interaction effects...