Have Rating Agencies Become More Conservative? Implications for Capital Structure and Debt Pricing

• 成果类型: Article
• 署名作者: Baghai, Ramin P.; Servaes, Henri; Tamayo, Ane
• 署名单位: Stockholm School of Economics; University of London; London Business School; University of London; London School Economics & Political Science; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12153
• 发表日期: 2014
• 页码: 1961-2005
• 关键词: credit ratings; bond; cash; determinants; management

摘要

Rating agencies have become more conservative in assigning corporate credit ratings over the period 1985 to 2009; holding firm characteristics constant, average ratings have dropped by three notches. This change does not appear to be fully warranted because defaults have declined over this period. Firms affected more by conservatism issue less debt, have lower leverage, hold more cash, are less likely to obtain a debt rating, and experience lower growth. Their debt spreads are lower than those of unaffected firms with the same rating, which implies that the market partly undoes the impact of conservatism on debt prices. This evidence suggests that firms and capital markets do not perceive the increase in conservatism to be fully warranted.