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Variations in sovereign credit quality assessments across rating agencies

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 0378-4266

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Abstract

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.

Item type: Article
ID code: 41069
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
Related URLs:
    Depositing user: Pure Administrator
    Date Deposited: 11 Sep 2012 12:35
    Last modified: 05 Sep 2014 17:40
    URI: http://strathprints.strath.ac.uk/id/eprint/41069

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