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Il rapporto tra impresa e agenzia di rating: la soluzione del multi-rating
[The relevance of multi-rating in the world market]

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Author Info
Mattarocci, Gianluca

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Abstract

The credit rating market is characterized by low competition and a potential conflict of interest, due to the system of remuneration of the rating services, which impairs the reliability of the judgement delivered. Multiple credit rating means further costs for companies, because of the fees paid to more than one rating agency, but it does bring significant benefits in terms of the dissemination, on the market, of judgements concerning the companies. This paper examines the relationship between the number of rating announcements concerning a company and the performance of the securities issued by that company, besides the effects of discordant ratings assigned to a company by different rating agencies (so-called “split rating”), and presents a detailed study of multiple credit rating and of the advantages determined by the placement of issued securities at higher prices, in connection with the new ratings assigned by different agencies. An analysis of split-rating completes this overview of the issue, highlighting how the weight carried by the different rating agencies can affect market reactions.

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File URL: http://mpra.ub.uni-muenchen.de/4295/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 4295.

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Date of creation: Jan 2005
Date of revision: Mar 2005
Handle: RePEc:pra:mprapa:4295

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Related research
Keywords: Multi-rating split-rating and rating agencies

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G29 - Financial Economics - - Financial Institutions and Services - - - Other

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Ferri, Giovanni & Liu, Li-Gang & Majnoni, Giovanni, 2001. "The role of rating agency assessments in less developed countries: Impact of the proposed Basel guidelines," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 115-148, January. [Downloadable!] (restricted)
  2. Fernando Gonzalez & François Haas & Ronald Johannes & Mattias Persson & Liliana Toledo & Roberto Violi & Martin Wieland & Carmen Zins, 2004. "Market dynamics associated with credit ratings - a literature review," Occasional Paper Series 16, European Central Bank. [Downloadable!]
  3. Hand, John R M & Holthausen, Robert W & Leftwich, Richard W, 1992. " The Effect of Bond Rating Agency Announcements on Bond and Stock Prices," Journal of Finance, American Finance Association, vol. 47(2), pages 733-52, June. [Downloadable!] (restricted)
  4. Richard Cantor & Frank Packer, 1994. "The credit rating industry," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 1-26.
  5. Richard Cantor & Frank Packer & Kevin Cole, 1997. "Split ratings and the pricing of credit risk," Research Paper 9711, Federal Reserve Bank of New York. [Downloadable!]
  6. Giampaolo Gabbi & Andrea Sironi, 2005. "Which factors affect corporate bonds pricing? Empirical evidence from eurobonds primary market spreads," European Journal of Finance, Taylor and Francis Journals, vol. 11(1), pages 59-74, February. [Downloadable!] (restricted)
  7. Richard Cantor & Frank Packer, 1995. "Multiple ratings and credit standards: differences of opinion in the credit rating industry," Research Paper 9527, Federal Reserve Bank of New York. [Downloadable!]
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  8. Grier, Paul & Katz, Steven, 1976. "The Differential Effects of Bond Rating Changes among Industrial and Public Utility Bonds by Maturity," Journal of Business, University of Chicago Press, vol. 49(2), pages 226-39, April. [Downloadable!] (restricted)
  9. Katz, Steven, 1974. "The Price Adjustment Process of Bonds to Rating Reclassifications: A Test of Bond Market Efficiency," Journal of Finance, American Finance Association, vol. 29(2), pages 551-59, May. [Downloadable!] (restricted)
  10. Ang, James S & Patel, Kiritkumar A, 1975. "Bond Rating Methods: Comparison and Validation," Journal of Finance, American Finance Association, vol. 30(2), pages 631-40, May. [Downloadable!] (restricted)
  11. Richard Johnson, 2003. "An examination of rating agencies' actions around the investment-grade boundary," Research Working Paper RWP 03-01, Federal Reserve Bank of Kansas City.
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This page was last updated on 2008-11-17.


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