Is there valuable private information in credit ratings?

Emmanuel Alanis1
1Department of Finance and Economics, McCoy College of Business Administration, Texas State University, San Marcos, TX, USA

Tài liệu tham khảo

Amato, 2004, Are credit ratings procyclical?, Journal of Banking & Finance, 28, 2641, 10.1016/j.jbankfin.2004.06.005 Avramov, 2009, Credit ratings and the cross-section of stock returns, Journal of Financial Markets, 12, 469, 10.1016/j.finmar.2009.01.005 Baghai, 2014, Have rating agencies become more conservative?, The Journal of Finance, 69, 1961, 10.1111/jofi.12153 Becker, 2011, How did increased competition affect credit ratings?, Journal of Financial Economics, 101, 493, 10.1016/j.jfineco.2011.03.012 Blume, 1998, The declining credit quality of US corporate debt: Myth or reality?, The Journal of Finance, 53, 1389, 10.1111/0022-1082.00057 Bolton, 2012, The credit ratings game, The Journal of Finance, 67, 85, 10.1111/j.1540-6261.2011.01708.x Carhart, 1997, On persistence in mutual fund performance, The Journal of Finance, 52, 57, 10.1111/j.1540-6261.1997.tb03808.x Carmona, 2019, Predicting failure in the US banking sector: An extreme gradient boosting approach, International Review of Economics & Finance, 61, 304, 10.1016/j.iref.2018.03.008 Chava, 2008, How does financing impact investment? The role of debt covenants, The Journal of Finance, 63, 2085, 10.1111/j.1540-6261.2008.01391.x Chen, Tianqi, & Guestrin, Carlos (2016). Xgboost: A scalable tree boosting system. In Proceedings of the 22nd ACM SIGKDD international conference on knowledge discovery and data mining. (pp. 785–794). Dichev, 2001, The long-run stock returns following bond ratings changes, The Journal of Finance, 56, 173, 10.1111/0022-1082.00322 Fama, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economic, 33, 3, 10.1016/0304-405X(93)90023-5 Fama, 2015, A five-factor asset pricing model, Journal of Financial Economics, 116, 1, 10.1016/j.jfineco.2014.10.010 Hill, 2004, Regulating the rating agencies, Washington University Law Quarterly, 82, 43 Jorion, 2005, Informational effects of regulation FD: evidence from rating agencies, Journal of Financial Economic, 76, 309, 10.1016/j.jfineco.2004.05.001 Kemper, 2020, Procyclical ratings and market reactions, The North American Journal of Economics and Finance, 51, 100830, 10.1016/j.najef.2018.08.013 Kraft, 2015, Do rating agencies cater? Evidence from rating-based contracts, Journal of Accounting and Economics, 59, 264, 10.1016/j.jacceco.2014.09.008 Newey, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation, Econometrica, 55, 703, 10.2307/1913610 Opp, 2013, Rating agencies in the face of regulation, Journal of Financial Economic, 108, 46, 10.1016/j.jfineco.2012.10.011 Sangiorgi, 2017, The economics of credit rating agencies, Foundations and Trends in Finance, 12, 1, 10.1561/0500000048 Skreta, 2009, Ratings shopping and asset complexity: A theory of ratings inflation, Journal of Monetary Economics, 56, 678, 10.1016/j.jmoneco.2009.04.006 Standard and Poor’s, 2013 Wang, 2013, S & P 500 index revisions and analyst coverage, Journal of Applied Business Research, 29, 1199, 10.19030/jabr.v29i4.7926