Lead-Lag Relationships and Rating Convergence Among Credit Rating Agencies

Journal of Credit Risk 7 (2011), 95-119.

28 Pages Posted: 7 Nov 2006 Last revised: 8 May 2013

See all articles by Andre Guettler

Andre Guettler

Ulm University - Department of Mathematics and Economics; Halle Institute for Economic Research

Multiple version iconThere are 2 versions of this paper

Date Written: August 24, 2009

Abstract

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.

Keywords: credit rating agencies, rating intensities, rating convergence

JEL Classification: C41, G24, G32

Suggested Citation

Guettler, Andre, Lead-Lag Relationships and Rating Convergence Among Credit Rating Agencies (August 24, 2009). Journal of Credit Risk 7 (2011), 95-119., Available at SSRN: https://ssrn.com/abstract=942990

Andre Guettler (Contact Author)

Ulm University - Department of Mathematics and Economics ( email )

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Halle Institute for Economic Research ( email )

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