Credit Ratings and Market Information

• 成果类型: Article
• 署名作者: Piccolo, Alessio; Shapiro, Joel
• 署名单位: Indiana University System; Indiana University Bloomington; University of Oxford
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac005
• 发表日期: 2022
• 页码: 4425
• 关键词: liquidity; cost; reputation; disclosure; IMPACT

摘要

Accurate credit ratings are important for both investors and regulators. We demonstrate that the market for credit risk provides an important source of discipline for credit rating agencies (CRAs). We examine a model in which a CRA's rating is followed by a market for credit risk that provides a public signal - the price. More informative trading increases the CRA's incentives to be accurate by making rating errors more transparent. We show that this source of discipline is (a) robust to moral hazard, multiple CRAs, and connected primary and secondary markets and (b) specific to the market for credit risk.