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World class computing and information science research at Strathclyde...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by University of Strathclyde researchers, including by researchers from the Department of Computer & Information Sciences involved in mathematically structured programming, similarity and metric search, computer security, software systems, combinatronics and digital health.

The Department also includes the iSchool Research Group, which performs leading research into socio-technical phenomena and topics such as information retrieval and information seeking behaviour.

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Are watch procedures a critical informational event in the credit ratings process? : an empirical investigation

Chan, Howard and Faff, Robert and Hill, Paula and Scheule, Harald (2011) Are watch procedures a critical informational event in the credit ratings process? : an empirical investigation. Journal of Financial Research, 34 (4). pp. 617-640. ISSN 0270-2592

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Abstract

The Boot, Milbourn, and Schmeits (2006) model (Boot model) predicts certain credit rating events are likely to be more informative than others and that credit watch procedures are an important driver of such differences. We test the core empirical predictions of their model. Our sample comprises U.S. corporate issuer credit ratings provided by Moody's, 1990–2006. Our findings fail to uncover compelling evidence for the empirical predictions of the Boot model in relation to the role of watch procedures as coordinating mechanisms. Rather, our findings are more supportive of the view that rating agencies are always at an informational advantage relative to investors.