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Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M. >
CFS Working Paper Series, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25537
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| Title: | | The economics of rating watchlists: Evidence from rating changes  |
| Authors: | | Hirsch, Christian Bannier, Christina E. |
| Issue Date: | | 2007 |
| Series/Report no.: | | CFS Working Paper 2008/02 |
| Abstract: | | Generally, information provision and certification have been identified as the major economic functions of rating agencies. This paper analyzes whether the watchlist (rating review) instrument has extended the agencies' role towards a monitoring position, as proposed by Boot, Milbourn, and Schmeits (2006). Using a data set of Moody's rating history between 1982 and 2004, we find that the overall information content of rating action has indeed increased since the introduction of the watchlist procedure. Our findings suggest that rating reviews help to establish implicit monitoring contracts between agencies and borrowers and as such enable a finer partition of rating information, thereby contributing to a higher information quality. |
| Subjects: | | Credit Rating Agencies Watchlist Market Reactions Event Study |
| JEL: | | G14 G29 G33 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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