Reputations and credit ratings: Evidence from commercial mortgage-backed securities

• 成果类型: Article
• 署名作者: Baghai, Ramin P.; Becker, Bo
• 署名单位: Stockholm School of Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.06.001
• 发表日期: 2020
• 页码: 425-444
• 关键词: credit ratings; reputation; COMPETITION; information quality; Commercial mortgage-backed securities

摘要

How do changes in a rating agency's reputation affect the ratings market? We study the dynamics of credit ratings after Standard & Poor's (S&P) was shut out of a large segment of the commercial mortgage-backed securities (CMBS) ratings market following a procedural mistake. Exploiting the fact that most CMBS have ratings from multiple agencies, we show that S&P subsequently eased its standards compared to other raters. This coincided with a partial recovery in the number of deals S&P was hired to rate. Our findings suggest that an agency can regain market share after suffering reputational damage by issuing optimistic ratings. (C) 2019 Elsevier B.V. All rights reserved.