Opacity, Credit Rating Shopping, and Bias

• 成果类型: Article
• 署名作者: Sangiorgi, Francesco; Spatt, Chester
• 署名单位: Stockholm School of Economics; Carnegie Mellon University; National Bureau of Economic Research
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2558
• 发表日期: 2017
• 页码: 4016-4036
• 关键词: Credit rating agencies; rating shopping; selective disclosure; rational expectations; opacity; rating bias

摘要

We develop a rational expectations model in which an issuer purchases credit ratings sequentially, deciding which to disclose to investors. Opacity about contacts between the issuer and rating agencies induces potential asymmetric information about which ratings the issuer obtained. While the equilibrium forces disclosure of ratings when the market knows these have been generated, endogenous uncertainty about whether there are undisclosed ratings can arise and lead to selective disclosure and rating bias. Although investors account for this bias in pricing, selective disclosure makes ratings noisier signals of project value, leading to inefficient investment decisions. Our paper suggests that regulatory disclosure requirements are welfare enhancing.