Persistent Link:
http://hdl.handle.net/10150/323225
Title:
The Rating Game: an Empirical Assessment
Author:
Curti, Filippo
Issue Date:
2014
Publisher:
The University of Arizona.
Rights:
Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.
Abstract:
The question of whether ratings agencies convey new information to financial markets when they assign new ratings or change previous ratings has been debated for at least 40 years. In this study I first examine equity market, bond market and CDS market reactions to long and short term rating changes from S&P, Fitch and Moody's. I find that not all the credit rating changes affect the market but only those classified as unanticipated. Subsequently, I study whether the regulatory setting, in which the Credit Ratings Agencies work, can possibly affect the financial markets reactions. Lastly I show that the probability of a future rating change is severely affected by different factors proportional hazard rate models.
Type:
text; Electronic Dissertation
Keywords:
credit risk; Management; credit rating agencies
Degree Name:
Ph.D.
Degree Level:
doctoral
Degree Program:
Graduate College; Management
Degree Grantor:
University of Arizona
Advisor:
Lamoureux, Christopher

Full metadata record

DC FieldValue Language
dc.language.isoen_USen
dc.titleThe Rating Game: an Empirical Assessmenten_US
dc.creatorCurti, Filippoen_US
dc.contributor.authorCurti, Filippoen_US
dc.date.issued2014-
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en_US
dc.description.abstractThe question of whether ratings agencies convey new information to financial markets when they assign new ratings or change previous ratings has been debated for at least 40 years. In this study I first examine equity market, bond market and CDS market reactions to long and short term rating changes from S&P, Fitch and Moody's. I find that not all the credit rating changes affect the market but only those classified as unanticipated. Subsequently, I study whether the regulatory setting, in which the Credit Ratings Agencies work, can possibly affect the financial markets reactions. Lastly I show that the probability of a future rating change is severely affected by different factors proportional hazard rate models.en_US
dc.typetexten
dc.typeElectronic Dissertationen
dc.subjectcredit risken_US
dc.subjectManagementen_US
dc.subjectcredit rating agenciesen_US
thesis.degree.namePh.D.en_US
thesis.degree.leveldoctoralen_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.disciplineManagementen_US
thesis.degree.grantorUniversity of Arizonaen_US
dc.contributor.advisorLamoureux, Christopheren_US
dc.contributor.committeememberSias, Richarden_US
dc.contributor.committeememberLitov, Lubomir P.en_US
dc.contributor.committeememberHirano, Keisukeen_US
dc.contributor.committeememberLamoureux, Christopheren_US
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