Lead-Lag Relationships and Rating Convergence Among Credit Rating Agencies
University of Ulm - Department of Mathematics and Economics; European Business School (EBS) Wiesbaden - Department of Finance, Accounting & Real Estate
August 24, 2009
Journal of Credit Risk 7 (2011), 95-119.
Using a sample of issuers rated by Moody’s and S&P, we find evidence that Moody’s rating change intensities are higher given a rating change by S&P. This seems to be tentative evidence that S&P assigns ratings in a timelier manner than Moody’s. Second, we find that the tendency towards rating convergence is stronger for Moody’s than for S&P. Our findings are important given the concerns regarding the agencies’ inherent incentives and their dominant market position.
Number of Pages in PDF File: 28
Keywords: credit rating agencies, rating intensities, rating convergence
JEL Classification: C41, G24, G32Accepted Paper Series
Date posted: November 7, 2006 ; Last revised: May 8, 2013
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