Credit Ratings and the Cost of Municipal Financing

• 成果类型: Article
• 署名作者: Cornaggia, Jess; Cornaggia, Kimberly J.; Israelsen, Ryan D.
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Michigan State University; Michigan State University's Broad College of Business
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx094
• 发表日期: 2018
• 页码: 2038
• 关键词: bond; agencies; QUALITY; prices

摘要

A common belief held among researchers and policy makers is that regulatory reliance has inflated market demand for credit ratings, despite their decreasing informational value. Advances in information technology, coupled with reputation losses following the subprime crisis, renew the question of whether investors still rely on ratings to assess credit risk. Using Moody's 2010 scale recalibration, which was unrelated to changing issuer fundamentals, we find that ratings still matter to investors and to issuers-apart from any regulatory implications. Our results commend improved disclosure to mitigate mechanistic reliance on ratings and inefficiencies due to rating standards that vary across asset classes.