Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25215
Authors: 
Löffler, Gunter
Posch, Peter N.
Year of Publication: 
2007
Series/Report no.: 
SFB 649 discussion paper 2007,043
Abstract: 
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.
Subjects: 
Credit Ratings
Predictive ability
Dynamic Panel Model
JEL: 
C33
G20
G33
Document Type: 
Working Paper

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