RT Journal Article SR Electronic T1 Do Investors Still Rely on Credit Rating Agencies?
Evidence from the Financial Crisis JF The Journal of Fixed Income FD Institutional Investor Journals SP 20 OP 31 DO 10.3905/jfi.2016.25.4.020 VO 25 IS 4 A1 Florian Kiesel YR 2016 UL https://pm-research.com/content/25/4/20.abstract AB The global financial crisis brought increased attention to the importance of rating agencies. The broad consensus was that the rating agencies were unable to detect any deterioration of the issuer’s credit quality in a timely manner. This study analyzes the credit default swaps (CDSs) and stock market response to rating changes during the financial crisis and subsequent years. The sample includes 542 companies from the United States and 15 European countries and examines 915 corporate issuer ratings. The results show that there is no CDS market response to rating announcements during the crisis but that the stock market anticipates downgrade announcements.TOPICS: Information providers/credit ratings, credit default swaps, developed