On the information content of credit ratings and market-based measures of default risk

• 成果类型: Article
• 署名作者: Gredil, Oleg R.; Kapadia, Nishad; Lee, Jung Hoon
• 署名单位: Tulane University; Vanderbilt University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.07.005
• 发表日期: 2022
• 页码: 172-203
• 关键词: credit ratings; Credit Default Swaps; Default probability; Term strucutre of default risk

摘要

We examine the ability of ratings and market-based measures to predict defaults. Although market-based measures are more accurate at horizons up to one year, ratings comple-ment market-based measures and are not redundant in predicting defaults across hori-zons. Market-based measures differ from ratings in that they respond to both cash-flow and discount-rate news, while ratings respond primarily to cash-flow news, which is more informative of future defaults. Ratings ignore transitory shocks to credit risk, while market -based measures do not. Rating agencies respond to transitory shocks with watches rather than downgrades. Ratings are more informative during expansions and for speculative grade firms.(c) 2022 Elsevier B.V. All rights reserved.