What’s in a Rating Report? Parsing the Content of Moody’s Credit Rating Reports from 1998-2016

55 Pages Posted: 24 Jan 2021

See all articles by Florian Kiesel

Florian Kiesel

Grenoble Ecole de Management

Darren J. Kisgen

Boston College - Carroll School of Management

Date Written: November 2, 2020

Abstract

We examine the readability, length, numerical content, uncertainty, and uniqueness of Moody’s rating reports and analyze how regulatory events have influenced these measures between 1998-2016. We find that information in rating reports significantly dropped after the Credit Rating Reform Act in 2006, but readability and the length of rating reports significantly improved after the Dodd-Frank regulation in 2010. We also find that greater readability leads to lower announcement returns after downgrades. Reports that are more similar to previous reports are associated with less negative announcement returns, providing evidence that the content of rating reports plays a significant role for investors.

Keywords: Credit ratings, Regulation, Credit Rating Reform Act, Dodd-Frank Act, Financial crisis, Textual analysis

JEL Classification: G01, G14, G24, G28

Suggested Citation

Kiesel, Florian and Kisgen, Darren J., What’s in a Rating Report? Parsing the Content of Moody’s Credit Rating Reports from 1998-2016 (November 2, 2020). Available at SSRN: https://ssrn.com/abstract=3723861 or http://dx.doi.org/10.2139/ssrn.3723861

Florian Kiesel (Contact Author)

Grenoble Ecole de Management ( email )

12 Rue Pierre Semard
Grenoble, Cedex 01 38000
France

Darren J. Kisgen

Boston College - Carroll School of Management ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States

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