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...

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...

This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...

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,...

The Global Financial Crisis (GFC) has led to a general discussion of the accuracy and declining standards of credit rating agency ratings. Substantial criticism has been directed toward the securitisation market, which has been identified as one of the main sources of the crisis. This study...

This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA...

This study explores the role of credit ratings in predicting a bank failure in recent financial crisis. Both logistic regression and Cox proportion model confirm that credit ratings can predict the probability of bank failure, but only two quarters prior to bank failure, relatively sluggish...

This study develops and evaluates a model that generates synthetic credit ratings using accounting and market based information. The model performs very well in explaining agency ratings, suggesting that fitted values for unrated companies are likely to be reasonably precise. In addition, the...

Using comprehensive data on U.S. corporate bond trades since 2002, we find that retail bond investors over-rely on untimely credit ratings, neglect firm fundamentals, and appear to misunderstand the trade-off between bond risk and yields. Specifically, retail investors appear to select bonds by...

In this financial engineering research, we study the behaviour of an option premium of a call/put option which is embedded in a typical fixed coupon bond with finite maturity. The contribution of the research is the conclusion about the dynamics of premium changes; represented by direction and...