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dc.titleDo Credit Rating Agencies Add Value?: Evidence from the Sovereign Rating Business Institutions
dc.contributor.authorCavallo, Eduardo A.
dc.contributor.authorPowell, Andrew
dc.contributor.authorRigobón, Roberto
dc.contributor.orgunitDepartment of Research and Chief Economist
dc.coverageThe Caribbean
dc.coverageCentral America
dc.coverageSouth America
dc.date.available2011-02-07T00:00:00
dc.date.issue2008-11-07T00:00:00
dc.description.abstractIf rating agencies add no new information to markets, their actions are not a public policy concern. But as rating changes may be anticipated, testing whether ratings add value is not straightforward. This paper argues that ratings and spreads are both noisy signals of fundamentals and suggest ratings add value if, controlling for spreads, they help explain other variables. The paper additionally analyzes the different actions (ratings and outlooks) of the three leading agencies for sovereign debt, considering the differing effects of more or less anticipated events. The results are consistent across a wide range of tests. Ratings do matter and hence how the market for ratings functions may be a public policy concern.
dc.identifier.doihttp://dx.doi.org/10.18235/0010900
dc.identifier.urlhttps://publications.iadb.org/publications/english/document/Do-Credit-Rating-Agencies-Add-Value-Evidence-from-the-Sovereign-Rating-Business-Institutions.pdf
dc.language.isoen
dc.mediumAdobe PDF
dc.publisherInter-American Development Bank
dc.subjectFinancial Sector
dc.subject.jelcodeC23 - Panel Data Models • Spatio-temporal Models
dc.subject.jelcodeF37 - International Finance Forecasting and Simulation: Models and Applications
dc.subject.jelcodeG14 - Information and Market Efficiency • Event Studies • Insider Trading
dc.subject.jelcodeG15 - International Financial Markets
dc.subject.keywordsWP-647
dc.typeWorking Papers
idb.identifier.pubnumberWorking Papers
idb.operationRG-N2670
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