Rating Alignment, Rating Shopping and Reputation of Credit Rating Agencies: Evidence from the Subprime Crisis
نویسندگان
چکیده
منابع مشابه
3 The Credit Rating Crisis
By December 2008, structured finance securities accounted for over $11 trillion worth of outstanding U.S. bond market debt (35%). The lion’s share of these securities was highly rated by rating agencies. More than half of the structured finance securities rated by Moody’s carried a AAA rating—the highest possible credit rating. In 2007 and 2008, the creditworthiness of structured finance securi...
متن کاملDo Rating Agencies Cater? Evidence from Rating-Based Contracts
I examine whether rating agencies are more likely to cater to borrowers with rating-based performance pricing agreements (PPrating firms). This study uses data from Moody’s Financial Metrics on agency adjustments to investigate this prediction and exploits an unexpected adverse shock to firms’ credit risk as identification. The evidence is mixed. In the crosssection and for firms experiencing a...
متن کاملThe Optimal Regulation of Credit Rating Agencies
Credit rating agencies (CRAs) very often have been criticized for announcing inaccurate credit ratings and are suspected of being exposed to conicts of interest. Despite these objections CRAs remained largely unregulated. Based on Pagano & Immordino (2007), we study the optimal regulation of CRAs in a model where rating quality is unobservable and enforcing regulation is costly. The model show...
متن کاملOpacity, Credit Rating Shopping, and Bias
We develop a rational expectations model in which the issuer of a nancial instrument purchases credit ratings(s) in order to provide useful information to investors and attract investor demand. We examine the nature of a credit-rating equilibrium in a staged game in which an issuer purchases rating(s) sequentially and then decides which ratings to disclose. Our analysis emphasizes the importanc...
متن کاملPredicting Credit Rating and Credit Rating Changes: A New Approach
In this paper, we propose a hazard rate model for studying credit rating and credit rating changes. Theoretically the hazard rate model is more appropriate than the previous static models. Yet it is difficult to estimate hazard rate model, especially when the covariates are time-varying. This paper extends the results of Shumway(2001) and shows that a multiple-state hazard rate model can be est...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1817092