Consensus credit ratings: a view from banks

• 成果类型: Article
• 署名作者: Lourie, Ben; Ozel, N. Bugra; Nekrasov, Alexander; Zhu, Chenqi
• 署名单位: University of California System; University of California Irvine; University of Texas System; University of Texas Dallas; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-024-09835-7
• 发表日期: 2024
• 页码: 2391-2436
• 关键词: financial-reporting quality; private information; default risk; debt; INVESTMENT; spreads; CHOICE; IMPACT; cost

摘要

While the production of credit ratings has long been limited mainly to rating agencies (CRAs), recent years have seen the growing popularity of consensus credit ratings crowdsourced from banks (i.e., bank ratings). We provide the first comprehensive examination of the properties and informativeness of bank ratings relative to CRA ratings. We find that bank ratings often deviate from CRA ratings, with over 60% of firm-months having different bank and CRA ratings. These deviations contain useful information. Bank ratings improve out-of-sample prediction of defaults and CRA rating revisions and explain the cross-section of credit spreads. However, bank ratings do not improve out-of-sample prediction of credit excess returns, indicating that current prices incorporate bank rating information. Overall our findings suggest that bank ratings are a useful supplement to traditional credit ratings.