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Regulatory versus Informational Value of Bond Ratings: Hints from History ..

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  • Ludovic Moreau

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

A multivariate analysis can be used in order to investigate the relationship between bond yields, ratings and standard control variables. Replicating such a test on a number of cross-sections may evidence a possible impact of financial regulations relying on ratings. Datasets for American corporate bond issues allow a focus on two key events of the development of rating driven regulations: the valuation of bank and life insurance portfolios introduced in the 1930's and the net capital requirements for broker dealers introduced in the 1970's. The "value" of bond ratings does show some improvement once these regulations have been passed.

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  • Ludovic Moreau, 2009. "Regulatory versus Informational Value of Bond Ratings: Hints from History ..," Working Papers hal-04140847, HAL.
    • Handle: RePEc:hal:wpaper:hal-04140847
    Note: View the original document on HAL open archive server: https://hal.science/hal-04140847
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    References listed on IDEAS

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