Credit Ratings: Strategic Issuer Disclosure and Optimal Screening

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2024-09-17 DOI:10.1093/rof/rfae035

Jonathan Cohn, Uday Rajan, Günter Strobl

引用次数: 0

Abstract

We consider a model in which a security issuer can manipulate information observed by a credit rating agency (CRA). We show that stricter screening by the CRA can sometimes lead to increased manipulation by the issuer. Accounting for the issuer’s behavior pulls optimal CRA screening towards the extremes of laxness or stringency. Surprisingly, an improvement in prior asset quality can result in more rating errors. In a two-period version of the model, stricter screening can result in more short-run rating errors. Our results suggest complex interplay between issuer and CRA behavior, complicating the evaluation of CRA policy effectiveness.

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信用评级：战略性发行人信息披露与最佳筛选

我们考虑了一个证券发行人可以操纵信用评级机构（CRA）所观察到的信息的模型。我们的研究表明，信用评级机构更严格的筛选有时会导致发行人操纵行为的增加。考虑到发行人的行为，CRA 的最优筛选会走向宽松或严格的极端。令人惊讶的是，先前资产质量的改善会导致更多的评级错误。在两期模型中，更严格的筛选会导致更多的短期评级错误。我们的研究结果表明，发行人和 CRA 行为之间存在复杂的相互作用，这使得对 CRA 政策有效性的评估变得更加复杂。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.