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

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  • Schaetzle, Dominik
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    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. --

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

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    Date of creation: 2011
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    Handle: RePEc:zbw:wwuifg:110

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