Does Financial Performance Influence Credit Ratings?
نویسندگان
چکیده
منابع مشابه
Sovereign credit ratings, market volatility, and financial gains
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are defined using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility, but downgrades increase stock ...
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We present a methodology for rating the creditworthiness of public companies in the U.S. from the prices of traded assets. Our approach uses asset pricing data to impute a term structure of risk neutral survival functions or default probabilities. Firms are then clustered into ratings categories based on their survival functions using a functional clustering algorithm. This allows all public fi...
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I study the role of credit ratings in crises by introducing a financial market in a coordination game with borrowers that must rollover their debts. The asset price aggregates dispersed private information acting as a public noisy signal. Credit rating agencies use this price to set their ratings. Moreover, agencies know that credit ratings influence lending decisions, thus affecting the credit...
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ژورنال
عنوان ژورنال: The Korean Academic Association of Business Administration
سال: 2015
ISSN: 1226-2234
DOI: 10.18032/kaaba.2015.28.11.2765