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Is there a "boom bias" in agency ratings?


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Dilly, Mark ; Mählmann, Thomas:
Is there a "boom bias" in agency ratings?
In: Review of finance : journal of the European Finance Association. 20 (Mai 2016) 3. - S. 979-1011.
ISSN 1572-3097


Open Access
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Theory predicts rating agencies’ incentive conflicts to be stronger in boom periods, leading to biased ratings and a reduced level of rating quality. We investigate this prediction empirically based on three different approaches. First, we show that initial ratings disagree with bond spread levels during boom periods in the way that rating agencies hold a systematically more optimistic view. Second, we reveal that boom bond ratings tend to be more heavily downgraded from an ex post perspective; and, third, we demonstrate that boom ratings are inflated compared with “conflicts-free” benchmark ratings. In several robustness tests we show that the observed “boom bias” does not result from changes in credit-worthiness, adjustments in rating standards, competitive pressure, or market supply, but rather from rating agencies’ incentive conflicts.

Weitere Angaben

Schlagwörter:G24 - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies, G12 - Asset Pricing; Trading volume; Bond Interest Rates, G01 - Financial Crises
Institutionen der Universität:Wirtschaftswissenschaftliche Fakultät > Betriebswirtschaftslehre > ABWL, Finanzierung und Banken
Open Access: Freie Zugänglichkeit des Volltexts?:Ja
Verlag:Oxford Univ. Press
Die Zeitschrift ist nachgewiesen in:
Titel an der KU entstanden:Ja
Eingestellt am: 17. Jun 2021 15:42
Letzte Änderung: 17. Jun 2021 15:42
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