Does rating analyst subjectivity affect corporate debt pricing?

• 成果类型: Article
• 署名作者: Fracassi, Cesare; Petry, Stefan; Tate, Geoffrey
• 署名单位: University of Texas System; University of Texas Austin; University of Melbourne; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.02.006
• 发表日期: 2016
• 页码: 514-538
• 关键词: Analysts; Credit ratings; credit spreads; Investor sentiment

摘要

We find evidence of systematic optimism and pessimism among credit analysts, comparing contemporaneous ratings of the same firm across rating agencies. These differences in perspectives carry through to debt prices and negatively predict future changes in credit spreads, consistent with mispricing. Moreover, the pricing effects are the largest among firms that are the most opaque, likely exacerbating financing constraints. We find that masters of business administration (MBAs) provide higher quality ratings. However, optimism increases and accuracy decreases with tenure covering the firm. Our analysis demonstrates the role analysts play in shaping investor expectations and its effect on corporate debt markets. (C) 2016 Elsevier B.V. All rights reserved.