Regulation, asset complexity, and the informativeness of credit ratings
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/133750 |
Resumo: | We show that the effect of regulation on credit rating informativeness depends on asset complexity. Using the Dodd-Frank Act as a shock to the rating industry, we analyze the impact of rating changes on market prices, conditioning on various measures of complexity. Rating informativeness improves after Dodd-Frank, but not for assets with high complexity. Our results are robust to alternative measures of informativeness and provide strong evidence that the impact of regulation varies in the cross-section of securities. Our findings are consistent with models combining rating shopping with rating agencies that strategically decide on information acquisition and rating inflation. |
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Regulation, asset complexity, and the informativeness of credit ratingsWe show that the effect of regulation on credit rating informativeness depends on asset complexity. Using the Dodd-Frank Act as a shock to the rating industry, we analyze the impact of rating changes on market prices, conditioning on various measures of complexity. Rating informativeness improves after Dodd-Frank, but not for assets with high complexity. Our results are robust to alternative measures of informativeness and provide strong evidence that the impact of regulation varies in the cross-section of securities. Our findings are consistent with models combining rating shopping with rating agencies that strategically decide on information acquisition and rating inflation.NOVA School of Business and Economics (NOVA SBE)RUNJankowitsch, RainerOttonello, GiorgioSubrahmanyam, Marti G2024-01-20T01:31:56Z2023-082023-08-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/133750eng2046-9128PURE: 42051704https://doi.org/10.1093/rcfs/cfac003info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:12:24Zoai:run.unl.pt:10362/133750Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:47:56.264046Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Regulation, asset complexity, and the informativeness of credit ratings |
title |
Regulation, asset complexity, and the informativeness of credit ratings |
spellingShingle |
Regulation, asset complexity, and the informativeness of credit ratings Jankowitsch, Rainer |
title_short |
Regulation, asset complexity, and the informativeness of credit ratings |
title_full |
Regulation, asset complexity, and the informativeness of credit ratings |
title_fullStr |
Regulation, asset complexity, and the informativeness of credit ratings |
title_full_unstemmed |
Regulation, asset complexity, and the informativeness of credit ratings |
title_sort |
Regulation, asset complexity, and the informativeness of credit ratings |
author |
Jankowitsch, Rainer |
author_facet |
Jankowitsch, Rainer Ottonello, Giorgio Subrahmanyam, Marti G |
author_role |
author |
author2 |
Ottonello, Giorgio Subrahmanyam, Marti G |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
NOVA School of Business and Economics (NOVA SBE) RUN |
dc.contributor.author.fl_str_mv |
Jankowitsch, Rainer Ottonello, Giorgio Subrahmanyam, Marti G |
description |
We show that the effect of regulation on credit rating informativeness depends on asset complexity. Using the Dodd-Frank Act as a shock to the rating industry, we analyze the impact of rating changes on market prices, conditioning on various measures of complexity. Rating informativeness improves after Dodd-Frank, but not for assets with high complexity. Our results are robust to alternative measures of informativeness and provide strong evidence that the impact of regulation varies in the cross-section of securities. Our findings are consistent with models combining rating shopping with rating agencies that strategically decide on information acquisition and rating inflation. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-08 2023-08-01T00:00:00Z 2024-01-20T01:31:56Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/133750 |
url |
http://hdl.handle.net/10362/133750 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
2046-9128 PURE: 42051704 https://doi.org/10.1093/rcfs/cfac003 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799138080913883136 |