We show that U.S. corporate bond market movements during the days preceding FOMC announcements can predict monetary policy surprises, as well as the pre-FOMC stock market movements. Starting several days before an expansionary (contractionary) surprise in FOMC decisions, corporate bond prices...

We test if issuers of asset- and mortgage-backed securities receive rating favors from agencies with which they maintain strong business relationships. Controlling for issuer fixed effects and a large set of credit risk determinants, we show that agencies publish better ratings for those issuers...

Through-the-Cycle EDF (TTC EDF) credit measures are one-year probabilities of default that are largely free of the effect of the aggregate credit cycle, primarily reflecting a firm's enduring, long-run credit risk trend. TTC EDF measures are useful in applications in which a stable PD input is...

Credit rating agencies play a crucial role in financial markets. There are two competing views regarding their behavior: some argue that they engage in rating inflation, while others suggest that they deflate ratings. This article offers a rationale that reconciles the two opposite arguments. We...

Credit rating agencies (CRAs) contend their ratings contain a quantitative assessment based on hard information, and a qualitative adjustment based on private information. We study if the qualitative portion of ratings, generated with the companies' own private information, contain valuable...

This research examines the impacts of Credit Rating Agencies (CRAs) on bank performance in general, and in particular how their impacts can be moderated by bank regulation strictness and investor protection quality embedded in different institutional environments. Using 2398 observations from...

This study assesses the credit risk of Japan's real estate investment trusts (J-REITs) in two related markets during the fiscal years 2008--2017. The first J-REIT market involves blockholders, while the second is a lending market of institutions (i.e., banks and insurers). Unlike investment...

I examine the effects of contemporaneous credit rating and watchlist announcements on the over-the-counter U.S. corporate bond market. I find significant negative daily abnormal returns (-2.91%) over a ten-day window associated with a downgrade announcement with negative watch. The effect is...

This study examines whether the quality of borrowers' accounting information affects the accuracy and timeliness of credit ratings issued by rating agencies. I consider two possible effects. The news effect posits that higher quality accounting provides better information to credit rating...