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http://hdl.handle.net/10419/23420
  

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dc.contributor.authorGüttler, Andréen_US
dc.contributor.authorWahrenburg, Marken_US
dc.coverage.temporal1999-2003en_US
dc.date.accessioned2009-01-29T16:05:31Z-
dc.date.available2009-01-29T16:05:31Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/23420-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesWorking paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting 155en_US
dc.subject.jelG23en_US
dc.subject.jelG15en_US
dc.subject.jelG33en_US
dc.subject.ddc330en_US
dc.subject.keywordrating agenciesen_US
dc.subject.keywordvalidationen_US
dc.subject.keywordleader- follower analysisen_US
dc.subject.keywordGranger causalityen_US
dc.subject.stwKreditwürdigkeiten_US
dc.subject.stwKonkursen_US
dc.subject.stwInformationsverhaltenen_US
dc.subject.stwSchätzungen_US
dc.subject.stwWelten_US
dc.subject.stwRating Agencyen_US
dc.subject.stwMoody's Investors Serviceen_US
dc.subject.stwStandard and Poor's Corporation New York, NYen_US
dc.titleThe Adjustment of Credit Ratings of Defaulted Issuersen_US
dc.typeWorking Paperen_US
dc.identifier.ppn488262224en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Working Paper Series: Finance and Accounting, Universität Frankfurt a. M.

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