Advanced Search
MyIDEAS: Login to save this paper or follow this series

Ratingagenturen in der neoklassischen Finanzierungstheorie: Eine Auswertung empirischer Studien zum Informationsgehalt von Ratings

Contents:

Author Info

  • Schaetzle, Dominik
Registered author(s):

    Abstract

    Ratingagenturen sind mächtige Wirtschaftssubjekte. Dies zeigte sich zuletzt im Vorfeld und während der globalen Finanzmarktkrise und ebenso im Zusammenhang mit der Staatsverschuldung mehrerer Euro-Volkswirtschaften. Während ihre Funktion allgemein im Abbau von Informationsasymmetrien gesehen wird, stellt sich dies sowohl in der Praxis als auch in der ökonomischen Theorie deutlich differenzierter dar. Unter Berücksichtigung eines komplexen Anreizgeflechts auf Finanzmärkten und für Ratingagenturen kann davon ausgegangen werden, dass die faktischen Einflussmöglichkeiten deutlich über die Herstellung von Transparenz hinausgehen. Andererseits legt es das Annahmensetting mancher finanzmarkttheoretischer Modelle nahe, dass die ohnehin verfügbaren Informationen die Aktivitäten von Ratingagenturen überflüssig machen würden. Ihre Urteile können dann keine eigenständigen Effekte hervorrufen. Vor diesem Hintergrund untersucht Dominik Schätzle in diesem Arbeitspapier, das auf seiner Masterarbeit beruht, verfügbare empirische Studien zum statischen und dynamischen Informationsgehalt von Ratings. In den Studien wird der Analyserahmen der neoklassischen Finanzierungstheorie verwendet. Die Analysen des statischen Informationsgehalts zeigen dabei einen negativen Zusammenhang zwischen Rating und der Bonitätsrisikoprämie, während bei Studien zum dynamischen Informationsgehalt kein eindeutiger Informationsgehalt von Ratings für die Marktteilnehmer festgestellt werden konnte. Sehr interessant ist die Identifikation eines asymmetrischen Informationsgehalts: Negative Ratingänderungen lösen anders als positive Veränderungen signifikante Kursreaktionen aus. Auch diese Erkenntnis legt es nahe, sich noch gründlicher mit den Aktivitäten von Ratingagenturen in der Finanzmarktpraxis auseinanderzusetzen. Das Arbeitspapier entstammt dem IfG-Forschungscluster I: Institutionenökonomische Analysen. --

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://econstor.eu/bitstream/10419/55755/1/687809053.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Westfälsche Wilhelms-Universität Münster (WWU), Institut für Genossenschaftswesen in its series Arbeitspapiere with number 110.

    as in new window
    Length:
    Date of creation: 2011
    Date of revision:
    Handle: RePEc:zbw:wwuifg:110

    Contact details of provider:
    Postal: Am Stadtgraben 9, 48143 Münster
    Phone: +49 (0)251 83-2 28 90
    Fax: +49 (0)251 83-2 28 04
    Web page: http://www.ifg-muenster.de/
    More information through EDIRC

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    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.:
    as in new window
    1. Ederington, Louis H. & Goh, Jeremy C., 1998. "Bond Rating Agencies and Stock Analysts: Who Knows What When?," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 33(04), pages 569-585, December.
    2. Arnoud W. A. Boot & Todd T. Milbourn, 2002. "Credit Ratings as Coordination Mechanisms," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan 457, William Davidson Institute at the University of Michigan.
    3. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, American Finance Association, vol. 29(2), pages 449-70, May.
    4. Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, American Economic Association, vol. 66(2), pages 246-53, May.
    5. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1575-617, December.
    6. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration, University of Munich, Munich School of Management 4231, University of Munich, Munich School of Management.
    7. Grier, Paul & Katz, Steven, 1976. "The Differential Effects of Bond Rating Changes among Industrial and Public Utility Bonds by Maturity," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 49(2), pages 226-39, April.
    8. Norden, Lars & Weber, Martin, 2004. "Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(11), pages 2813-2843, November.
    9. Lawrence Fisher, 1959. "Determinants of Risk Premiums on Corporate Bonds," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 67, pages 217.
    10. Steiner, Manfred & Heinke, Volker G, 2001. "Event Study Concerning International Bond Price Effects of Credit Rating Actions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 6(2), pages 139-57, April.
    11. Jorion, Philippe & Liu, Zhu & Shi, Charles, 2005. "Informational effects of regulation FD: evidence from rating agencies," Journal of Financial Economics, Elsevier, Elsevier, vol. 76(2), pages 309-330, May.
    12. Pinches, George E & Singleton, J Clay, 1978. "The Adjustment of Stock Prices to Bond Rating Changes," Journal of Finance, American Finance Association, American Finance Association, vol. 33(1), pages 29-44, March.
    13. Norden, Lars & Weber, Martin, 2004. "Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4250, C.E.P.R. Discussion Papers.
    14. Fama, Eugene F, 1976. "Efficient Capital Markets: Reply," Journal of Finance, American Finance Association, American Finance Association, vol. 31(1), pages 143-45, March.
    15. Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(11), pages 2789-2811, November.
    16. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
    17. Richard Cantor & Frank Packer, 1996. "Determinants and impacts of sovereign credit ratings," Research Paper, Federal Reserve Bank of New York 9608, Federal Reserve Bank of New York.
    18. May, Anthony D., 2010. "The impact of bond rating changes on corporate bond prices: New evidence from the over-the-counter market," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(11), pages 2822-2836, November.
    19. Lamy, Robert E. & Thompson, G. Rodney, 1988. "Risk premia and the pricing of primary issue bonds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 12(4), pages 585-601, December.
    20. Thompson, G Rodney & Vaz, Peter, 1990. "Dual Bond Ratings: A Test of the Certification Function of Rating Agencies," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 25(3), pages 457-71, August.
    21. Ilia D. Dichev, 1998. "Is the Risk of Bankruptcy a Systematic Risk?," Journal of Finance, American Finance Association, American Finance Association, vol. 53(3), pages 1131-1147, 06.
    22. Cantor, Richard & Packer, Frank, 1997. "Differences of opinion and selection bias in the credit rating industry," Journal of Banking & Finance, Elsevier, Elsevier, vol. 21(10), pages 1395-1417, October.
    23. Christina E. Bannier & Patrick Behr & Andre Güttler, 2010. "Rating opaque borrowers: why are unsolicited ratings lower?," Review of Finance, European Finance Association, European Finance Association, vol. 14(2), pages 263-294.
    24. Doron Kliger & Oded Sarig, 2000. "The Information Value of Bond Ratings," Journal of Finance, American Finance Association, American Finance Association, vol. 55(6), pages 2879-2902, December.
    25. Miles Livingston & Lei Zhou, 2010. "Split Bond Ratings and Information Opacity Premiums," Financial Management, Financial Management Association International, Financial Management Association International, vol. 39(2), pages 515-532, 06.
    26. Perraudin, William & Taylor, Alex P., 2004. "On the consistency of ratings and bond market yields," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(11), pages 2769-2788, November.
    27. Eleswarapu, Venkat R. & Thompson, Rex & Venkataraman, Kumar, 2004. "The Impact of Regulation Fair Disclosure: Trading Costs and Information Asymmetry," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 39(02), pages 209-225, June.
    28. Reinhart, Carmen & Levich, Richard & Majoni, Giovanni, 2002. "Ratings, rating agencies and the global financial system: Summary and policy implications," MPRA Paper 13249, University Library of Munich, Germany.
    29. Richard Followill & Terrence Martell, 1997. "Bond review and rating change announcements: An examination of informational value and market efficiency," Journal of Economics and Finance, Springer, Springer, vol. 21(2), pages 75-82, June.
    30. Ho, Thomas S. Y. & Michaely, Roni, 1988. "Information Quality and Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 23(01), pages 53-70, March.
    31. Holthausen, Robert W. & Leftwich, Richard W., 1986. "The effect of bond rating changes on common stock prices," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(1), pages 57-89, September.
    32. Edith S. Hotchkiss & Tavy Ronen, 2002. "The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 15(5), pages 1325-1354.
    33. Liu, Pu & Moore, William T, 1987. "The Impact of Split Bond Ratings on Risk Premia," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 22(1), pages 71-85, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:zbw:wwuifg:110. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.