Is there valuable private information in credit ratings?
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
