Credit Ratings and Credit Rating Agencies

Schroeter, Ulrich G.

doi:10.2139/ssrn.1903670

Cited by 4 publications

(6 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The area of credit rating has increased in line with the regulations of supply and demand (He and Xiong, 2012). According to De Haan and Amtenbrink (2011) and Schroeter (2011), this process has addressed more than 150 rating agencies that are widespread all over the world. They think that about 140 agencies are in one country and/or in one oriented sector, while around five to ten ones based in Japan, the USA and Canada provide new assessments whether as a country or industry.…”

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Credit rating announcement and bond liquidity: the case of emerging bond markets

Saadaoui

Ammari

Kriaa

2022

JEFAS

View full text Add to dashboard Cite

Purpose This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. This study analyses the liquidity of bonds in various emerging bond markets using a sample of nine countries: Argentina, Mexico, Peru, Hungary, Poland, Spain, Turkey, Hong Kong and Greece. The sample includes daily data on sovereign bonds that go from July 2009 to July 2017. The main focus is on the period before and after the sovereign debt crisis. This study notes that the bond liquidity is affected due to the sign of the rating granted by the rating agencies for each country. Design/methodology/approach This study aims to question the sources of liquidity problem of sovereign bonds issued by the emerging countries. The study’s database consists of daily data of all nine emerging countries for the period from July 2009 to July 2017. Panel data were collected from the Datastream database. Findings This study first directly tests the information content of bond ratings announcements and their effect on bond market liquidity. Next, the impact of rating changes on sovereign bond liquidity around the rating announcements is studied. Rating changes can affect sovereign bond's price, trading and liquidity around the announcement date. In particular the rating changes that move the bonds out of the investment grade category can elicit selling pressure or even fire sale of the fallen angels. Originality/value This research aims to present data on the prices of sovereign bonds that react to changes in credit rating by studying the price movements around the announcement of changes in credit rating. The literature is very rich in studies on credit rating changes on stocks and corporate bonds, but this study is perhaps the first attempt on sovereign bonds.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

“…The emergence of new notes is carried away by the strong investor demand in the financial markets for information about issuers of shares and bonds. Schroeter (2011) shows that the novella score gives new information about the issuer of the bond, and the likelihood that the issuer can face these engagements.…”

Section: Literature Reviewmentioning

confidence: 99%

Credit rating announcement and bond liquidity: the case of emerging bond markets

Saadaoui

Ammari

Kriaa

2022

JEFAS

View full text Add to dashboard Cite

show abstract

“…A recent literature has shown that the role of rating agencies is to provide information on the market through the publication of a note attributed to the situation of an investor (e.g. Deb & al, 2011;De Haan & al, 2011;Schroeter, 2011).…”

Section: Literature Reviewmentioning

confidence: 99%

“…The area of credit rating has increased in line with the regulations of supply and demand (He and Xiong 2012). According to De Haan & al, (2011) and Schroeter (2011), this process has addressed more than 150 rating agencies that are widespread all over the world. They think that about 140 agencies are in one country and / or in one oriented sector, while around five to 10 ones based in Japan, the United States and Canada provide new assessments whether as a country or industry.…”

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Sovereign Credit_Rating Disclose and Bond Liquidity under Sovereign Debt Crisis

Saadaoui¹,

Kriaa²

2019

BMR

View full text Add to dashboard Cite

This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. We analyze the bond liquidity markets across five countries such as Poland, Greece, Spain, Hungary and Turkey. The sample includes daily data about sovereign bonds over the period ranging from July 2009 to January 2014.We mainly focus on the period before and after the sovereign debt crisis. We note that the bond liquidity is affected due to the sign of the rating granted by the rating agencies for each country.

show abstract

Foreword to the Special Issue on: The Economics of Credit Rating Agencies

Ferri¹,

Masciandaro²

2015

Economic Notes

View full text Add to dashboard Cite

Credit Ratings and Credit Rating Agencies

Cited by 4 publications

References 0 publications

Credit rating announcement and bond liquidity: the case of emerging bond markets

Credit rating announcement and bond liquidity: the case of emerging bond markets

Sovereign Credit_Rating Disclose and Bond Liquidity under Sovereign Debt Crisis

Foreword to the Special Issue on: The Economics of Credit Rating Agencies

Contact Info

Product

Resources

About