Essays on Credit Ratings

Essays on Credit Ratings
Författare
Förlag Lunds universitet, Media-Tryck
GenreManagement
FormatHäftad
SpråkEngelska
Antal sidor220
Vikt414 gr
Utgiven2019-01-09
ISBN 9789177539568
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This book investigates the role, as well as the accuracy of credit ratings, both for companies and countries. In the first article, I find that credit ratings capture financial constraints more effectively relative to other popular proxies. The second paper focuses on a change in the rules of a widely-followed bond index, and finds that there is a significant market response for the bonds affected by this change. This suggests that credit ratings also have a significant role for bond market segmentation. In the third paper, I find that sovereign ratings have become increasingly conservative over time. However, in my final paper, I focus on the method used for estimating rating ”conservatism”, and , by using a new, two-step model, I find that previous research has overestimated its magnitude.