Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/23420 
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dc.contributor.authorGüttler, Andréen
dc.contributor.authorWahrenburg, Marken
dc.date.accessioned2009-01-29T16:05:31Z-
dc.date.available2009-01-29T16:05:31Z-
dc.date.issued2005-
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
dc.language.isoengen
dc.publisher|aJohann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften |cFrankfurt a. M.en
dc.relation.ispartofseries|aWorking Paper Series: Finance & Accounting |x155en
dc.subject.jelG23en
dc.subject.jelG15en
dc.subject.jelG33en
dc.subject.ddc330en
dc.subject.keywordrating agenciesen
dc.subject.keywordvalidationen
dc.subject.keywordleader- follower analysisen
dc.subject.keywordGranger causalityen
dc.subject.stwKreditwürdigkeiten
dc.subject.stwKonkursen
dc.subject.stwInformationsverhaltenen
dc.subject.stwSchätzungen
dc.subject.stwWelten
dc.subject.stwRating Agencyen
dc.subject.stwMoody's Investors Serviceen
dc.subject.stwStandard and Poor's Corporation New York, NYen
dc.titleThe Adjustment of Credit Ratings of Defaulted Issuers-
dc.typeWorking Paperen
dc.identifier.ppn488262224en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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