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Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2007,043
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Credit Ratings
Predictive ability
Dynamic Panel Model
JEL: 
C33
G20
G33
Dokumentart: 
Working Paper

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