TY - JOUR
T1 - The Market Impact of Relative Agency Activity in the Sovereign Ratings Market
AU - Hill, Paula
AU - Faff, Robert
PY - 2010/11
Y1 - 2010/11
N2 - Using a sample of 101 countries, over the period 1990 to 2006, we assess the relative credit-rating activity of the major agencies at the sovereign level. Informed by this preliminary analysis, we then examine the market impact of rating actions (ratings changes, watch procedures and outlooks), allowing for various interactions across raters and rating events. Additionally, we carry out a separate analysis of crisis periods. We find that Standard and Poor's tend to be more active, provide more timely rating assessments and offer more new information than either Fitch or Moody's. We find evidence of specialisation, however, among agencies, with Moody's, for example, being the 'leading' agency among IMF 'advanced economies'. In line with our rating activity analysis, we find some evidence of stronger reaction to changes in Standard and Poor's rating assessments than in those of the other agencies. We also find evidence that credit-outlook and credit-watch events are more timely and more informative than downgrades and upgrades, and that, as anticipated, reactions are stronger during crisis periods, but that events remain informative outside crisis periods.
AB - Using a sample of 101 countries, over the period 1990 to 2006, we assess the relative credit-rating activity of the major agencies at the sovereign level. Informed by this preliminary analysis, we then examine the market impact of rating actions (ratings changes, watch procedures and outlooks), allowing for various interactions across raters and rating events. Additionally, we carry out a separate analysis of crisis periods. We find that Standard and Poor's tend to be more active, provide more timely rating assessments and offer more new information than either Fitch or Moody's. We find evidence of specialisation, however, among agencies, with Moody's, for example, being the 'leading' agency among IMF 'advanced economies'. In line with our rating activity analysis, we find some evidence of stronger reaction to changes in Standard and Poor's rating assessments than in those of the other agencies. We also find evidence that credit-outlook and credit-watch events are more timely and more informative than downgrades and upgrades, and that, as anticipated, reactions are stronger during crisis periods, but that events remain informative outside crisis periods.
UR - http://www.scopus.com/inward/record.url?scp=78650578832&partnerID=8YFLogxK
U2 - 10.1111/j.1468-5957.2010.02220.x
DO - 10.1111/j.1468-5957.2010.02220.x
M3 - Article
AN - SCOPUS:78650578832
SN - 0306-686X
VL - 37
SP - 1309
EP - 1347
JO - Journal of Business Finance and Accounting
JF - Journal of Business Finance and Accounting
IS - 9-10
ER -