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
There are 2 versions of this paper
Lead-Lag Relationships and Rating Convergence Among Credit Rating Agencies
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
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