Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/81584
| Title: | The roles of rating outlooks : the predictor of creditworthiness and the monitor of recovery efforts | Authors: | Poon, WPH Shen, J |
Issue Date: | Oct-2020 | Source: | Review of quantitative finance and accounting, Oct. 2020, v. 55, no. 3, p. 1063-1091 | Abstract: | Using a comprehensive U.S. rating sample from S&P between 1981 and 2015, we examine the information content, responsiveness to credit risk and recovery efforts associated with rating outlooks. We find that rating outlooks (and credit watches) have important information content and are significantly associated with creditworthiness, measured by expected default frequency. More importantly, we show that by assigning negative outlooks, credit rating agencies induce some issuers to exert recovery efforts to prevent subsequent downgrades. The findings support the theoretical prediction of Boot et al. (Rev Financ Stud 19(1):81–118, 2006) that credit rating actions serve as a coordination mechanism between rating agencies and issuers. | Keywords: | Rating outlook Information content Credit risk Recovery effort |
Publisher: | Springer | Journal: | Review of quantitative finance and accounting | ISSN: | 0924-865X | EISSN: | 1573-7179 | DOI: | 10.1007/s11156-019-00868-7 | Rights: | © Springer Science+Business Media, LLC, part of Springer Nature 2020 This is a pre-print of an article published in Review of Quantitative Finance and Accounting. The final authenticated version is available online at: https://doi.org/10.1007/s11156-019-00868-7 |
| Appears in Collections: | Journal/Magazine Article |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| RQFA_Manuscript_Preprint.pdf | Preprint version | 1.17 MB | Adobe PDF | View/Open |
Access
View full-text via PolyU eLinks 
Page views
133
Last Week
2
2
Last month
Citations as of May 28, 2023
Downloads
168
Citations as of May 28, 2023
SCOPUSTM
Citations
4
Citations as of May 25, 2023
WEB OF SCIENCETM
Citations
4
Citations as of May 25, 2023
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.