Arbeitspapier
Avoiding the rating bounce: Why rating agencies are slow to react to new information
Rating agencies state that they take a rating action only when it is unlikely to be reversed shortly afterwards. Based on a formal representation of the rating process, I show that such a policy provides a good explanation for the empirical evidence: Rating changes occur relatively seldom, exhibit serial dependence, and lag changes in the issuers’ default risk. In terms of informational losses, avoiding rating reversals can be more harmful than monitoring credit quality only twice per year.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper Series: Finance & Accounting ; No. 97
- Classification
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
-
conservatism
credit rating
rating agencies
rating migration
Kreditwürdigkeit
Informationsverhalten
Kreditrisiko
Schätzung
Theorie
Welt
- Event
-
Geistige Schöpfung
- (who)
-
Löffler, Gunter
- Event
-
Veröffentlichung
- (who)
-
Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
- (where)
-
Frankfurt a. M.
- (when)
-
2002
- Handle
- URN
-
urn:nbn:de:hebis:30-18005
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Löffler, Gunter
- Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
Time of origin
- 2002
Other Objects (12)
Avoiding the rating bounce: why rating agencies are slow to react to new information
Avoiding the rating bounce: why rating agencies are slow to react to new information
Crises and rating agencies: On the effect of aggregate uncertainty on rating agencies' incentives to distort ratings
Does the stock market react to unsolicited ratings?
Does the Stock Market React to Unsolicited Ratings?
Herding Behavior between Rating Agencies
Rating "Agencies": How Regulation Might Help
Three essays on credit rating agencies
The Optimal Regulation of Credit Rating Agencies
An equilibrium model of credit rating agencies
Alternatives for issuer-paid credit rating agencies
Rating agencies and sovereign credit risk assessment
Avoiding the rating bounce: why rating agencies are slow to react to new information
Avoiding the rating bounce: why rating agencies are slow to react to new information
Crises and rating agencies: On the effect of aggregate uncertainty on rating agencies' incentives to distort ratings
Does the stock market react to unsolicited ratings?
Does the Stock Market React to Unsolicited Ratings?
Herding Behavior between Rating Agencies
Rating "Agencies": How Regulation Might Help
Three essays on credit rating agencies
The Optimal Regulation of Credit Rating Agencies
An equilibrium model of credit rating agencies
Alternatives for issuer-paid credit rating agencies
Rating agencies and sovereign credit risk assessment
Avoiding the rating bounce: why rating agencies are slow to react to new information
Avoiding the rating bounce: why rating agencies are slow to react to new information
Crises and rating agencies: On the effect of aggregate uncertainty on rating agencies' incentives to distort ratings
Does the stock market react to unsolicited ratings?
Does the Stock Market React to Unsolicited Ratings?
Herding Behavior between Rating Agencies
Rating "Agencies": How Regulation Might Help
Three essays on credit rating agencies
The Optimal Regulation of Credit Rating Agencies
An equilibrium model of credit rating agencies
Alternatives for issuer-paid credit rating agencies