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題名 利益衝突與信用評等: 信評維護的實證研究
Conflicts of interest and credit ratings: evidence from rating maintenance作者 翁胤哲
Weng, Yin Che貢獻者 周行一
翁胤哲
Weng, Yin Che關鍵詞 信評機構
信用評等
利益衝突
Credit Rating Agency
Credit Rating
Conflicts of Interest日期 2012 上傳時間 2-一月-2013 13:21:40 (UTC+8) 摘要 We study the effect of conflicts of interest on credit ratings and analyze the rating maintenance of credit rating agencies for various clienteles. By examining the rating-transition path, we found that rating agencies favor their valued clients by stepwise downgrades and full and timely upgrades. Favored clients could, therefore, save capital cost and possibly gain a larger investor base for their new issues. However, such rating behavior would undermine the rating quality and reputation of rating agencies in the long term. Our results provide evidence for the meager literature on rating-agency conflicts from the rating-maintenance perspective. Our findings also lend support to the growing literature that rating agencies do not provide quality services to investors when the regulation is indulgent or the competition within the rating industry is severe. 參考文獻 Altman, Edward, and Duen Li Kao, 1992, The Implications of Corporate Bond Ratings Drift, Financial Analysts Journal, 48(3), 64-75. Altman, Edward, and Herbert Rijken, 2004, How Rating Agencies Achieve Rating Stability, Journal Banking and Finance, 28, 2679-2714. Amato and Furfine, 2004, Are Credit Ratings Procyclical? Journal Banking and Finance, 28, 2641-2677. Becker, Bo, and Todd Milbourn, 2011, How did increased competition affect credit ratings? Journal of Financial Economics, 101(3), 493-514. Boot, Arnoud, Todd Milbourn, and Anjolein Schmeits, 2006, Credit Ratings as Coordination Mechanisms, Review of Financial Studies, 19(1), 81-118. Bolton, Patrick, Xavier Freixas, and Joel Shapiro, 2012, The Credit Ratings Game, Journal of Finance, 67(1), 85-112. Bongaerts, Dion, Martijn Cremers, and William Goetzmann, 2011, Tiebreaker: Certification and multiple ratings, Journal of Finance, forthcoming Cai, Jie, Yixin Liu, Yiming Qian, 2009, Information Asymmetry and Corporate Governance, Working paper. Camanho, Nelson, Pragyan Deb, and Zijun Liu, 2012, Credit Rating and Competition, Working paper. Cantor, Richard, 2001, Moody’s Investors Service’s response to the consultative paper issued by the Basel Committee on Bank Supervision ‘A new capital adequacy framework,’ Journal of Banking and Finance, 25, 171-185. Chakravarty, Sugato, Chiraphol Chiyachantana, and Yen Teik Lee, 2009, On the Informativeness of Credit Watch Placements”, Working paper. Chan, Louis, Jason Karceski, and Josef Lakonishok J., 2007, Analysts Conflicts of Interests and Biases in Earnings Forecasts, Journal of Financial and Quantitative Analysis, 42, 893-914. Cheng, Mei, and Monica Neamtiu, 2009, An Empirical Analysis of Changes in Credit Rating Properties: Timeliness, Accuracy and Volatility, Journal of Accounting and Economics, 47, 108-130. Coval, Joshua, Jakub Jurek, and Erik Stafford, 2008, “Re-Examining the Role of Rating Agencies: Lesson from Structured Finance,” Working paper. Covitz, Daniel, and Paul Harrison, 2003, Testing Conflicts of Interest at Bond Rating Agencies with Market Anticipation: Evidence that Reputation Incentives Dominate, FEDS Working paper. Diamond, Douglas, and Robert Verrecchia, 1991, Disclosure, Liquidity, and the Cost of Capital, Journal of Finance 46, 1325-1359. Ederington, Louis, and Jeremy Goh, 1998, Bond Rating Agencies and Stock Analysts: Who Knows What When? Journal of Financial and Quantitative Analysis, 33(4), 569-585. Ferri, Giovanni, Li-Gang Liu, and Joseph Stiglitz, 1999, The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis, Economic Notes, 28, 335-355. Griffin, John, and Dragon Tang, 2012, Did Subjectivity Play a Role in CDO Credit Ratings? Journal of Finance, forthcoming. Hong, Harrison, and Jeferey Kubik, 2003, Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts, Journal of Finance, 58, 313-351. Hunt, John, 2009, Credit Rating Agencies and the `Worldwide Credit Crisis`: The Limits of Reputation, the Insufficiency of Reform, and a Proposal for Improvement, Columbia Business Law Review, 2009(1), 109-209. Kliger, Doron and Oded Sarig, 2000, The Information Value of Bond Ratings, Journal of Finance, 55, 2879-2902. Kraft, Pepa, 2011, Do Rating Agencies Cater? Evidence from Rating-Based Contracts, Working paper, New York University. Lando and Skødeberg, 2002, Analyzing Rating Transitions and Rating Drift with Continuous Observations, Journal Banking and Finance, 26, 423–444. Langohr, Herwig, and Patricia Langohr, 2008, The Rating Agencies and their Credit Ratings. Chichester: John Wiley & Sons. Löffler, Gunter, 2004, An anatomy of rating through the cycle, Journal of Banking and Finance, 28, 695-720. Löffler, Gunter, 2005, Avoiding the Rating Bounce: Why Rating Agencies are Slow to React to New Information, Journal of Economic Behavior and Organization, 56, 365-381. MacDonald, Ben, 2006, Rating Change Timeliness across Rating Agencies, Working paper, New York University. Mason, Joseph, and Joshua Rosner, 2007, Where Did the Risk Go? How Misapplied Bond ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions, Working paper. Michaely, Roni, and Kent Womack, 1999, Conflict of Interest and the Credibility of Underwriter Analyst Recommendations, Review of Financial Studies, 12(4), 653-686. Purda, Lynnette, 2011, Assessing Credit or Determining Quantity? The Evolving Role of Rating Agencies, Journal of Applied Finance, 21(2), 20-37. Strother, T. Shawn and Samuel Tibbs, 2011, Ratio Scoring: An Application to Ratios Specified by Standard & Poor`s to Be Key Input to Determining Credit Ratings, Journal of Applied Finance, 21(2), 58-72. Tang, Tony, 2006, Information Asymmetry and Firms’ Credit Market Access: Evidence from Moody’s Credit Rating Format Refinement, Journal of Financial Economics, 93(2), 325-351. Thomas, Rawley, 2011, The Role (if any) of Rating Agencies after the Crisis, Journal of Applied Finance, 21(1), 149 U.S. Securities and Exchange Commission, 2003, Report on the role and function of credit Rating Agencies in the operation of the securities market, As required by Section 702(b) of the Sarbanes-Oxley Act of 2002, January, 1-45. Vermaelen, Theo, 1981, Common stock repurchases and market signaling: An empirical study, Journal of Financial Economics 9, 139-183. White, Lawrence, 2010, The Credit Rating Agencies, Journal of Economic Perspectives, 24(2), 211-226. 描述 博士
國立政治大學
財務管理研究所
96357502
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096357502 資料類型 thesis dc.contributor.advisor 周行一 zh_TW dc.contributor.author (作者) 翁胤哲 zh_TW dc.contributor.author (作者) Weng, Yin Che en_US dc.creator (作者) 翁胤哲 zh_TW dc.creator (作者) Weng, Yin Che en_US dc.date (日期) 2012 en_US dc.date.accessioned 2-一月-2013 13:21:40 (UTC+8) - dc.date.available 2-一月-2013 13:21:40 (UTC+8) - dc.date.issued (上傳時間) 2-一月-2013 13:21:40 (UTC+8) - dc.identifier (其他 識別碼) G0096357502 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/56500 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 96357502 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) We study the effect of conflicts of interest on credit ratings and analyze the rating maintenance of credit rating agencies for various clienteles. By examining the rating-transition path, we found that rating agencies favor their valued clients by stepwise downgrades and full and timely upgrades. Favored clients could, therefore, save capital cost and possibly gain a larger investor base for their new issues. However, such rating behavior would undermine the rating quality and reputation of rating agencies in the long term. Our results provide evidence for the meager literature on rating-agency conflicts from the rating-maintenance perspective. Our findings also lend support to the growing literature that rating agencies do not provide quality services to investors when the regulation is indulgent or the competition within the rating industry is severe. en_US dc.description.tableofcontents Contents i Acknowledgements ii List of Tables iii Abstract iv Chapter 1 Introduction 1 Chapter 2 Literature Review 7 2.1 CRAs, Ratings, Issuer Pay Model, and the Credit Rating Industry 7 2.2 Literature on Rating Behavior 11 2.3 Hypothesis Development 14 Chapter 3 Data and Methodology 17 Chapter 4 Empirical Results 21 4.1. Summary Statistics 21 4.2. Second rating change and client value 23 4.3. Magnitudes, timeliness and client value 26 4.4 Information Asymmetry and Endogeneity 28 4.5 Fallen Angel Tests 31 4.6 Industry Fixed Effects 33 Chapter 5 Conclusion 34 Reference 36 Appendices 67 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096357502 en_US dc.subject (關鍵詞) 信評機構 zh_TW dc.subject (關鍵詞) 信用評等 zh_TW dc.subject (關鍵詞) 利益衝突 zh_TW dc.subject (關鍵詞) Credit Rating Agency en_US dc.subject (關鍵詞) Credit Rating en_US dc.subject (關鍵詞) Conflicts of Interest en_US dc.title (題名) 利益衝突與信用評等: 信評維護的實證研究 zh_TW dc.title (題名) Conflicts of interest and credit ratings: evidence from rating maintenance en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Altman, Edward, and Duen Li Kao, 1992, The Implications of Corporate Bond Ratings Drift, Financial Analysts Journal, 48(3), 64-75. Altman, Edward, and Herbert Rijken, 2004, How Rating Agencies Achieve Rating Stability, Journal Banking and Finance, 28, 2679-2714. Amato and Furfine, 2004, Are Credit Ratings Procyclical? Journal Banking and Finance, 28, 2641-2677. Becker, Bo, and Todd Milbourn, 2011, How did increased competition affect credit ratings? Journal of Financial Economics, 101(3), 493-514. Boot, Arnoud, Todd Milbourn, and Anjolein Schmeits, 2006, Credit Ratings as Coordination Mechanisms, Review of Financial Studies, 19(1), 81-118. Bolton, Patrick, Xavier Freixas, and Joel Shapiro, 2012, The Credit Ratings Game, Journal of Finance, 67(1), 85-112. Bongaerts, Dion, Martijn Cremers, and William Goetzmann, 2011, Tiebreaker: Certification and multiple ratings, Journal of Finance, forthcoming Cai, Jie, Yixin Liu, Yiming Qian, 2009, Information Asymmetry and Corporate Governance, Working paper. Camanho, Nelson, Pragyan Deb, and Zijun Liu, 2012, Credit Rating and Competition, Working paper. Cantor, Richard, 2001, Moody’s Investors Service’s response to the consultative paper issued by the Basel Committee on Bank Supervision ‘A new capital adequacy framework,’ Journal of Banking and Finance, 25, 171-185. Chakravarty, Sugato, Chiraphol Chiyachantana, and Yen Teik Lee, 2009, On the Informativeness of Credit Watch Placements”, Working paper. Chan, Louis, Jason Karceski, and Josef Lakonishok J., 2007, Analysts Conflicts of Interests and Biases in Earnings Forecasts, Journal of Financial and Quantitative Analysis, 42, 893-914. Cheng, Mei, and Monica Neamtiu, 2009, An Empirical Analysis of Changes in Credit Rating Properties: Timeliness, Accuracy and Volatility, Journal of Accounting and Economics, 47, 108-130. Coval, Joshua, Jakub Jurek, and Erik Stafford, 2008, “Re-Examining the Role of Rating Agencies: Lesson from Structured Finance,” Working paper. Covitz, Daniel, and Paul Harrison, 2003, Testing Conflicts of Interest at Bond Rating Agencies with Market Anticipation: Evidence that Reputation Incentives Dominate, FEDS Working paper. Diamond, Douglas, and Robert Verrecchia, 1991, Disclosure, Liquidity, and the Cost of Capital, Journal of Finance 46, 1325-1359. Ederington, Louis, and Jeremy Goh, 1998, Bond Rating Agencies and Stock Analysts: Who Knows What When? Journal of Financial and Quantitative Analysis, 33(4), 569-585. Ferri, Giovanni, Li-Gang Liu, and Joseph Stiglitz, 1999, The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis, Economic Notes, 28, 335-355. Griffin, John, and Dragon Tang, 2012, Did Subjectivity Play a Role in CDO Credit Ratings? Journal of Finance, forthcoming. Hong, Harrison, and Jeferey Kubik, 2003, Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts, Journal of Finance, 58, 313-351. Hunt, John, 2009, Credit Rating Agencies and the `Worldwide Credit Crisis`: The Limits of Reputation, the Insufficiency of Reform, and a Proposal for Improvement, Columbia Business Law Review, 2009(1), 109-209. Kliger, Doron and Oded Sarig, 2000, The Information Value of Bond Ratings, Journal of Finance, 55, 2879-2902. Kraft, Pepa, 2011, Do Rating Agencies Cater? Evidence from Rating-Based Contracts, Working paper, New York University. Lando and Skødeberg, 2002, Analyzing Rating Transitions and Rating Drift with Continuous Observations, Journal Banking and Finance, 26, 423–444. Langohr, Herwig, and Patricia Langohr, 2008, The Rating Agencies and their Credit Ratings. Chichester: John Wiley & Sons. Löffler, Gunter, 2004, An anatomy of rating through the cycle, Journal of Banking and Finance, 28, 695-720. Löffler, Gunter, 2005, Avoiding the Rating Bounce: Why Rating Agencies are Slow to React to New Information, Journal of Economic Behavior and Organization, 56, 365-381. MacDonald, Ben, 2006, Rating Change Timeliness across Rating Agencies, Working paper, New York University. Mason, Joseph, and Joshua Rosner, 2007, Where Did the Risk Go? How Misapplied Bond ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions, Working paper. Michaely, Roni, and Kent Womack, 1999, Conflict of Interest and the Credibility of Underwriter Analyst Recommendations, Review of Financial Studies, 12(4), 653-686. Purda, Lynnette, 2011, Assessing Credit or Determining Quantity? The Evolving Role of Rating Agencies, Journal of Applied Finance, 21(2), 20-37. Strother, T. Shawn and Samuel Tibbs, 2011, Ratio Scoring: An Application to Ratios Specified by Standard & Poor`s to Be Key Input to Determining Credit Ratings, Journal of Applied Finance, 21(2), 58-72. Tang, Tony, 2006, Information Asymmetry and Firms’ Credit Market Access: Evidence from Moody’s Credit Rating Format Refinement, Journal of Financial Economics, 93(2), 325-351. Thomas, Rawley, 2011, The Role (if any) of Rating Agencies after the Crisis, Journal of Applied Finance, 21(1), 149 U.S. Securities and Exchange Commission, 2003, Report on the role and function of credit Rating Agencies in the operation of the securities market, As required by Section 702(b) of the Sarbanes-Oxley Act of 2002, January, 1-45. Vermaelen, Theo, 1981, Common stock repurchases and market signaling: An empirical study, Journal of Financial Economics 9, 139-183. White, Lawrence, 2010, The Credit Rating Agencies, Journal of Economic Perspectives, 24(2), 211-226. zh_TW
