Hill, P and Brooks, R and Faff, Robert (2010) Variations in sovereign credit quality assessments across rating agencies. Journal of Banking and Finance, 34 (6). pp. 1327-1343. ISSN 0378-4266Full text not available in this repository. (Request a copy from the Strathclyde author)
We investigate agency variation in credit quality assessment (Standard and Poor’s vs. Moody’s vs. Fitch) employing sovereign ratings data for 129 countries, spanning the period 1990–2006. While we find that the credit rating agencies often disagree about credit quality, it is usually confined to one or two notches on the finer scale. We find that several variables have varying importance in explaining ratings across agencies which leads us to conclude that material heterogeneity exists between them. Also, while watch and outlook procedures are generally strong predictors of rating changes relative to other public data, additional significant variables suggest that it might be possible to augment these agency data to provide better forecasts of future rating changes.
|Keywords:||credit rating, rating transition, prediction, information content, sovereign, Accounting, Finance, Economics and Econometrics|
|Subjects:||Social Sciences > Commerce > Accounting|
|Department:||Strathclyde Business School > Accounting and Finance|
|Depositing user:||Pure Administrator|
|Date Deposited:||11 Sep 2012 11:35|
|Last modified:||04 May 2016 22:26|