How do rating agencies score in predicting firm performance

Arbeitspapier

We use dynamic panel analysis to examine whether credit rating agencies achieve what they claim to achieve, namely, look into the future when assigning their ratings. We find that Moody's ratings help predict individual financial ratios over a horizon of up to five years. Ratings also predict a multivariate credit score, again over five years. The contribution of ratings appears to be economically significant and robust for different specifications.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2007,043

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Financial Institutions and Services: General ; Bankruptcy; Liquidation
• Subject: Credit Ratings ; Predictive ability ; Dynamic Panel Model ; Ratingagentur ; Kreditwürdigkeit ; Prognose ; Statistischer Fehler ; Zeit ; Panel ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Löffler, Gunter ; Posch, Peter N.
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (where): Berlin
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/25215
• Last update: 10.03.2025, 11:44 AM CET