Essays on Credit Ratings; Anamaria Cociorva; 2019
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Essays on Credit Ratings

av Anamaria Cociorva
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.
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.
Utgiven: 2019
ISBN: 9789177539568
Förlag: Lunds universitet, Media-Tryck
Format: Häftad
Språk: Engelska
Sidor: 220 st
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.
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.
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302 kr317 kr
5% studentrabatt med Studentapan
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