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Disagreement between rating agencies and bond opacity: A theoretical perspective

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  • Hauck, Achim
  • Neyer, Ulrike

Abstract

In this paper, we explicitly model a bond rating process under varying degrees of bond opacity and derive conditions under which disagreements between rating agencies (rating splits) can serve as a useful proxy for opacity in empirical analyses.

Suggested Citation

  • Hauck, Achim & Neyer, Ulrike, 2014. "Disagreement between rating agencies and bond opacity: A theoretical perspective," Economics Letters, Elsevier, vol. 123(1), pages 82-85.
  • Handle: RePEc:eee:ecolet:v:123:y:2014:i:1:p:82-85
    DOI: 10.1016/j.econlet.2014.01.027
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    References listed on IDEAS

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    1. Miles Livingston & Jie (Diana) Wei & Lei Zhou, 2010. "Moody's and S&P Ratings: Are They Equivalent? Conservative Ratings and Split Rated Bond Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1267-1293, October.
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    1. repec:bla:pbudge:v:37:y:2017:i:4:p:47-73 is not listed on IDEAS
    2. Krämer, Walter & Neumärker, Simon, 2016. "Comparing the accuracy of default predictions in the rating industry for different sets of obligors," Economics Letters, Elsevier, vol. 145(C), pages 48-51.
    3. Walter Kraemer & Simon Neumärker, 2016. "Comparing Default Predictions in the Rating Industry for Different Sets of Obligors," CESifo Working Paper Series 5768, CESifo Group Munich.

    More about this item

    Keywords

    Opaque assets; Ratings; Rating agencies; Rating splits;

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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