Lead-Lag Relationships and Rating Convergence Among Credit Rating Agencies

Journal of Credit Risk 7 (2011), 95–119

29 Pages Posted: 21 Dec 2009 Last revised: 20 Jan 2016

See all articles by Andre Guettler

Andre Guettler

Ulm University - Department of Mathematics and Economics; Halle Institute for Economic Research

Multiple version iconThere are 2 versions of this paper

Date Written: October 1, 2009

Abstract

Using a sample of issuers rated by Moody’s and S&P, we find evidence that Moody’s rating change intensities are higher given a rating change by S&P. This seems to be tentative evidence that S&P assigns ratings in a timelier manner than Moody’s. Second, we find that the tendency towards rating convergence is stronger for Moody’s than for S&P. Our findings are important given the concerns regarding the agencies’ inherent incentives and their dominant market position.

Keywords: credit rating agencies, rating intensities, rating convergence, rating timeliness

Suggested Citation

Guettler, Andre, Lead-Lag Relationships and Rating Convergence Among Credit Rating Agencies (October 1, 2009). Journal of Credit Risk 7 (2011), 95–119, Available at SSRN: https://ssrn.com/abstract=1488164 or http://dx.doi.org/10.2139/ssrn.1488164

Andre Guettler (Contact Author)

Ulm University - Department of Mathematics and Economics ( email )

Helmholzstrasse
Ulm, D-89081
Germany

Halle Institute for Economic Research ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06017 Halle, 06108
Germany