Regulation, asset complexity, and the informativeness of credit ratings

Detalhes bibliográficos
Autor(a) principal: Jankowitsch, Rainer
Data de Publicação: 2023
Outros Autores: Ottonello, Giorgio, Subrahmanyam, Marti G
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.
id RCAP_4272a250f2e905efe9a7efa9f2d99a09
oai_identifier_str oai:run.unl.pt:10362/133750
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling 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
instname_str 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
repository.mail.fl_str_mv
_version_ 1799138080913883136

Registros relacionados