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Smoothing versus timeliness - wann sind stabile Ratings optimal und welche Anforderungen sind an optimale Berichtsregeln zu stellen?

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  • Bannier, Christina E.

Abstract

Im Mittelpunkt dieser Arbeit steht die Analyse der Vor- und Nachteile einer geglätteten versus aktuellen Informationsbasis in einem theoretischen Modell. Am Beispiel stabiler Agency-Ratings und volatiler marktbasierter Ratings zeigt sich, dass die Effekte der Berichtsmethode von den Charakteristika der bewerteten Assets, insbesondere ihrer Spezifizität und Laufzeit, abhängen. Für unspezfische Assets reduziert das Agency-Rating die Preisvolatilität am Markt. Hinsichtlich der Handelseffizienz hängt die Vorteilhaftigkeit eines Rating-Regimes von der Verteilung der Asset-Cashflows ab, für spezifische Assets dagegen von der Höhe des Agency-Ratings. Eine Herabstufung des Agency-Ratings führt in beiden Asset-Klassen zu sprunghaft ansteigender Handelsineeffizienz. Dies erklärt das beobachtete asymmetrische Beharrungsvermögen von Agency-Ratings.

Suggested Citation

  • Bannier, Christina E., 2007. "Smoothing versus timeliness - wann sind stabile Ratings optimal und welche Anforderungen sind an optimale Berichtsregeln zu stellen?," Frankfurt School - Working Paper Series 84, Frankfurt School of Finance and Management.
    • Handle: RePEc:zbw:fsfmwp:84
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    3. Blumenstock, Hendrik & von Grone, Udo & Mehlhorn, Marc & Merkl, Johannes & Pietz, Marcus, 2012. "Einflussfaktoren von CDS-Spreads als Maß für das aktuelle Bonitätsrisiko: Liefert das Rating eine Erklärung?," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-03, University of Bayreuth, Chair of Finance and Banking.
    4. Boeing, Philipp & Mueller, Elisabeth & Sandner, Philipp, 2012. "What makes Chinese firms productive? Learning from indigenous and foreign sources of knowledge," Frankfurt School - Working Paper Series 196, Frankfurt School of Finance and Management.
    5. Almer, Thomas & Heidorn, Thomas & Schmaltz, Christian, 2008. "The dynamics of short- and long-term CDS-spreads of banks," Frankfurt School - Working Paper Series 95, Frankfurt School of Finance and Management.
    6. Kostka, Genia & Moslener, Ulf & Andreas, Jan G., 2011. "Barriers to energy efficiency improvement: Empirical evidence from small-and-medium sized enterprises in China," Frankfurt School - Working Paper Series 178, Frankfurt School of Finance and Management.
    7. Yu, Xiaofan, 2011. "A spatial interpretation of the persistency of China's provincial inequality," Frankfurt School - Working Paper Series 171, Frankfurt School of Finance and Management.
    8. Böing, Philipp & Müller, Elisabeth, 2012. "Technological Capabilities of Chinese Enterprises: Who is Going to Compete Abroad?," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62081, Verein für Socialpolitik / German Economic Association.

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