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| Title | The Information Value of Credit Rating Action Reports: A Textual Analysis |
| Creator | 陳宇紳 Sumit, Agarwal;Chen, Vincent Y.S.;Zhang, Weina |
| Contributor | 會計系 |
| Key Words | Credit Ratings; Credit Rating Agencies; Credit Rating Reports; Linguistic Tone |
| Date | 2015-09 |
| Date Issued | 8-Dec-2015 17:31:52 (UTC+8) |
| Summary | We examine if Standard & Poor’s (S&P) credit rating action reports contain new default-related information beyond credit rating actions such as rating changes, Credit Watch and Outlook. We find that the net linguistic tone (negative minus positive tone) in the reports is significantly and negatively related to abnormal returns and predicts future rating changes. We discover that the provision of tone does not seem to be inflated by the conventional proxies of conflict of interest faced by S&P as higher conflict of interest is related to more negative net tone. Moreover, the tone can predict future rating changes even when conflict of interest is high. Overall, our study reveals novel evidence on the information value of credit rating action reports. |
| Relation | Management Science, |
| Type | article |
| DOI | http://dx.doi.org/10.2139/ssrn.2297138 |
| dc.contributor | 會計系 | |
| dc.creator (作者) | 陳宇紳 | zh_TW |
| dc.creator (作者) | Sumit, Agarwal;Chen, Vincent Y.S.;Zhang, Weina | |
| dc.date (日期) | 2015-09 | |
| dc.date.accessioned | 8-Dec-2015 17:31:52 (UTC+8) | - |
| dc.date.available | 8-Dec-2015 17:31:52 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2015 17:31:52 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/79606 | - |
| dc.description.abstract (摘要) | We examine if Standard & Poor’s (S&P) credit rating action reports contain new default-related information beyond credit rating actions such as rating changes, Credit Watch and Outlook. We find that the net linguistic tone (negative minus positive tone) in the reports is significantly and negatively related to abnormal returns and predicts future rating changes. We discover that the provision of tone does not seem to be inflated by the conventional proxies of conflict of interest faced by S&P as higher conflict of interest is related to more negative net tone. Moreover, the tone can predict future rating changes even when conflict of interest is high. Overall, our study reveals novel evidence on the information value of credit rating action reports. | |
| dc.format.extent | 320393 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Management Science, | |
| dc.subject (關鍵詞) | Credit Ratings; Credit Rating Agencies; Credit Rating Reports; Linguistic Tone | |
| dc.title (題名) | The Information Value of Credit Rating Action Reports: A Textual Analysis | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.2139/ssrn.2297138 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.2139/ssrn.2297138 |