The market impact of relative agency activity in the sovereign ratings market

Hill, Paula and Faff, Robert (2010) The market impact of relative agency activity in the sovereign ratings market. Journal of Business Finance and Accounting, 37 9-10: 1309-1347. doi:10.1111/j.1468-5957.2010.02220.x

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Author Hill, Paula
Faff, Robert
Title The market impact of relative agency activity in the sovereign ratings market
Journal name Journal of Business Finance and Accounting   Check publisher's open access policy
ISSN 0306-686X
Publication date 2010-11
Sub-type Article (original research)
DOI 10.1111/j.1468-5957.2010.02220.x
Volume 37
Issue 9-10
Start page 1309
End page 1347
Total pages 39
Place of publication Oxford, United Kingdom
Publisher Wiley-Blackwell Publishing
Collection year 2011
Language eng
Abstract 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. © 2010 Blackwell Publishing Ltd.
Keyword Credit rating
Rating change
Credit watch
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2011 Collection
UQ Business School Publications
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Citation counts: TR Web of Science Citation Count  Cited 18 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 19 times in Scopus Article | Citations
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Created: Sun, 06 Mar 2011, 00:10:14 EST