@techreport{Guttler2005Adjustment,
abstract = {We provide insights into determinants of the rating level of 371 issuers which defaulted in the
years 1999 to 2003, and into the leader-follower relationship between Moody?s and S&P. The
evidence for the rating level suggests that Moody?s assigns lower ratings than S&P for all
observed periods before the default event. Furthermore, we observe two-way Granger causality,
which signifies information flow between the two rating agencies. Since lagged rating
changes influence the magnitude of the agencies? own rating changes it would appear that the
two rating agencies apply a policy of taking a severe downgrade through several mild downgrades.
Further, our analysis of rating changes shows that issuers with headquarters in the US
are less sharply downgraded than non-US issuers. For rating changes by Moody?s we also
find that larger issuers seem to be downgraded less severely than smaller issuers.},
author = {Andr\'{e} G\"{u}ttler and Mark Wahrenburg},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G23; G15; G33; 330; rating agencies; validation; leader- follower analysis; Granger causality; Kreditw\"{u}rdigkeit; Konkurs; Informationsverhalten; Sch\"{a}tzung; Welt; Rating Agency; Moody's Investors Service; Standard and Poor's Corporation New York, NY},
language = {eng},
number = {155},
title = {The Adjustment of Credit Ratings of Defaulted Issuers},
type = {Working paper series / Johann-Wolfgang-Goethe-Universit\"{a}t Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting},
url = {http://hdl.handle.net/10419/23420},
year = {2005}
}
