The Information Value of Credit Rating Action Reports: A Textual Analysis

• 成果类型: Article
• 署名作者: Agarwal, Sumit; Chen, Vincent Y. S.; Zhang, Weina
• 署名单位: National University of Singapore; National Chengchi University; National University of Singapore
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2015.2243
• 发表日期: 2016
• 页码: 2218-2240
• 关键词: credit ratings; Credit rating agencies; credit rating action reports; linguistic tone

摘要

We examine whether Standard & Poor's (S&P) credit rating action reports contain new default-related information beyond credit rating actions such as rating changes, credit watch, and outlooks. We find that the net linguistic tone (negative minus positive tone) in the reports is significantly and negatively related to abnormal returns and predicts future rating changes. We discover that the provision of tone does not seem to be inflated by the conventional proxies of conflict of interest faced by S&P, as higher conflict of interest is related to more negative net tone. Moreover, the tone can predict future rating changes even when conflict of interest is high. Overall, our study reveals novel evidence on the information value of credit rating action reports.