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The adjustment of credit ratings in advance of defaults

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Cited by:

  1. Ruey-Ching Hwang, 2013. "Forecasting credit ratings with the varying-coefficient model," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1947-1965, December.
  2. Miles Livingston & Jie (Diana) Wei & Lei Zhou, 2010. "Moody's and S&P Ratings: Are They Equivalent? Conservative Ratings and Split Rated Bond Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1267-1293, October.
  3. Alexander Karminsky & Richard Hainsworth & Vasily Solodkov, 2013. "Arm’s Length Method for Comparing Rating Scales," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 114-135, December.
  4. Tsang, Albert & Frost, Tracie & Cao, Huijuan, 2023. "Environmental, Social, and Governance (ESG) disclosure: A literature review," The British Accounting Review, Elsevier, vol. 55(1).
  5. Chen, Jie & Hill, Paula, 2013. "The impact of diverse measures of default risk on UK stock returns," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5118-5131.
  6. Abad, Pilar & Robles, M. Dolores, 2014. "Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 152-171.
  7. Bernhard Bartels, 2019. "Why rating agencies disagree on sovereign ratings," Empirical Economics, Springer, vol. 57(5), pages 1677-1703, November.
  8. Alsakka, Rasha & ap Gwilym, Owain, 2012. "Rating agencies' credit signals: An analysis of sovereign watch and outlook," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 45-55.
  9. Raffestin, Louis, 2017. "Do bond credit ratings lead to excess comovement?," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 41-55.
  10. Weder di Mauro, Beatrice & Bartels, Bernhard, 2013. "A Rating Agency for Europe ? A good idea?," CEPR Discussion Papers 9512, C.E.P.R. Discussion Papers.
  11. Thomas Lagner & Dodozu Knyphausen‐Aufseß, 2012. "Rating Agencies as Gatekeepers to the Capital Market: Practical Implications of 40 Years of Research," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(3), pages 157-202, August.
  12. Panagiotis K. Staikouras, 2012. "A Theoretical and Empirical Review of the EU Regulation on Credit Rating Agencies: In Search of Truth, Not Scapegoats," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(2), pages 71-155, May.
  13. Kilian R. Dinkelaker & Andreas-Walter Mattig & Stefan Morkoetter, 2019. "A Closer Look at Credt Rating Processes: Uncovering the Impact of Analyst Rotation," Working Papers on Finance 1911, University of St. Gallen, School of Finance.
  14. Milidonis, Andreas, 2013. "Compensation incentives of credit rating agencies and predictability of changes in bond ratings and financial strength ratings," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3716-3732.
  15. Berwart, Erik & Guidolin, Massimo & Milidonis, Andreas, 2019. "An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings," Journal of Corporate Finance, Elsevier, vol. 59(C), pages 88-118.
  16. Dang, Huong & Partington, Graham, 2020. "Sovereign ratings and national culture," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
  17. Matthias Bodenstedt & Daniel R�sch & Harald Scheule, 2013. "The path to impairment: do credit-rating agencies anticipate default events of structured finance transactions?," The European Journal of Finance, Taylor & Francis Journals, vol. 19(9), pages 841-860, October.
  18. Wasi, Md Abdul & Pham, Thu Phuong & Zurbruegg, Ralf, 2021. "The non-pecuniary determinants of sovereign and bank rating changes," Finance Research Letters, Elsevier, vol. 41(C).
  19. Altdörfer, Marc & De las Salas Vega, Carlos A. & Guettler, Andre & Löffler, Gunter, 2019. "The case for a European rating agency: Evidence from the Eurozone sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 1-18.
  20. Figlewski, Stephen & Frydman, Halina & Liang, Weijian, 2012. "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 87-105.
  21. Jakob De Haan & Fabian Amtenbrink, 2011. "Credit Rating Agencies," Chapters, in: Sylvester Eijffinger & Donato Masciandaro (ed.), Handbook of Central Banking, Financial Regulation and Supervision, chapter 19, Edward Elgar Publishing.
  22. Cao, June & Ee, Mong Shan & Hasan, Iftekhar & Huang, He, 2024. "Asymmetric reactions of abnormal audit fees jump to credit rating changes," The British Accounting Review, Elsevier, vol. 56(2).
  23. Louis RAFFESTIN, 2016. "Do bond credit ratings lead to excess comovement," LEO Working Papers / DR LEO 2481, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  24. Alexander Karminsky, 2016. "Rating models: emerging market distinctions," Papers 1607.02422, arXiv.org.
  25. Chen, Zhongfei & Matousek, Roman & Stewart, Chris & Webb, Rob, 2019. "Do rating agencies exhibit herding behaviour? Evidence from sovereign ratings," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 57-70.
  26. Dang, Huong Dieu, 2023. "Retrospective wisdom: Long-term orientation and the rating downgrades of financial institutions," Global Finance Journal, Elsevier, vol. 57(C).
  27. Christian Andres & André Betzer & Peter Limbach, 2013. "Underwriter Reputation and the Quality of Certification: Evidence from High-Yield Bonds," Schumpeter Discussion Papers SDP13006, Universitätsbibliothek Wuppertal, University Library.
  28. Hwang, Ruey-Ching, 2012. "A varying-coefficient default model," International Journal of Forecasting, Elsevier, vol. 28(3), pages 675-688.
  29. Patrycja Klusak & Moritz Kraemer & Huong Vu, 2022. "First‐mover disadvantage: the sovereign ratings mousetrap," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 31(1), pages 3-44, February.
  30. Daniel Rösch & Harald Scheule, 2011. "Securitization rating performance and agency incentives," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 287-314, Bank for International Settlements.
  31. Gabriela Kuvikova, 2015. "Credit Ratings and Their Information Value: Evidence from the Recent Financial Crisis," CERGE-EI Working Papers wp544, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  32. Al-Sakka, Rasha & ap Gwilym, Owain, 2009. "Heterogeneity of sovereign rating migrations in emerging countries," Emerging Markets Review, Elsevier, vol. 10(2), pages 151-165, June.
  33. Sylvester Eijffinger & Donato Masciandaro (ed.), 2011. "Handbook of Central Banking, Financial Regulation and Supervision," Books, Edward Elgar Publishing, number 14064.
  34. Qi, Howard & Liu, Sheen & Wu, Chunchi, 2010. "Structural models of corporate bond pricing with personal taxes," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1700-1718, July.
  35. Huong Dieu Dang, 2018. "National Culture and Corporate Rating Migrations," Risks, MDPI, vol. 6(4), pages 1-27, November.
  36. Pilar Abad & M. Dolores Robles & Gare Cuervo, 2013. "Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market," Documentos de Trabajo del ICAE 2013-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  37. De Moor, Lieven & Luitel, Prabesh & Sercu, Piet & Vanpée, Rosanne, 2018. "Subjectivity in sovereign credit ratings," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 366-392.
  38. Pilar Abad & M. Dolores Robles, 2015. "The Risk–Return Binomial After Rating Changes," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 44(2), pages 249-274, July.
  39. Alsakka, Rasha & ap Gwilym, Owain, 2010. "Leads and lags in sovereign credit ratings," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2614-2626, November.
  40. Andres, Christian & Betzer, André & Limbach, Peter, 2014. "Underwriter reputation and the quality of certification: Evidence from high-yield bonds," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 97-115.
  41. Adams, John C. & Mansi, Sattar A., 2009. "CEO turnover and bondholder wealth," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 522-533, March.
  42. Rieber, Alexander & Schechinger, Steffen, 2019. "Herding Behavior between Rating Agencies," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203580, Verein für Socialpolitik / German Economic Association.
  43. Daniel Rösch & Harald Scheule, 2014. "Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 563-586, September.
  44. Kraemer, Moritz & Klusak, Patrycja & Vu, Huong, 2020. "First-mover disadvantage - The sovereign ratings mousetrap," CEPS Papers 26352, Centre for European Policy Studies.
  45. Hwang, Ruey-Ching & Chung, Huimin & Chu, C.K., 2010. "Predicting issuer credit ratings using a semiparametric method," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 120-137, January.
  46. Sermpinis, Georgios & Tsoukas, Serafeim & Zhang, Ping, 2018. "Modelling market implied ratings using LASSO variable selection techniques," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 19-35.
  47. Huong Dang, 2014. "How dimensions of national culture and institutional characteristics influence sovereign rating migration dynamics," ZenTra Working Papers in Transnational Studies 42 / 2014, ZenTra - Center for Transnational Studies.
  48. Karminsky, A. & Sosyurko, V., 2011. "Comparison of Bank Credit Ratings for Various Agencies," Journal of the New Economic Association, New Economic Association, issue 12, pages 102-123.
  49. Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 235-257.
  50. Uslu Çağrı L., 2017. "Examining the Behavior of Credit Rating Agencies Post 2008 Economic Turmoil," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 53(4), pages 61-76, December.
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