The impact of ESMA regulatory identifiers on the quality of ratings

Allbwn ymchwil: Cyfraniad at gyfnodolynErthygl

Fersiynau electronig

Dogfennau

  • IRFA-R&R-ESMA identifiers 110419

    Llawysgrif awdur wedi’i dderbyn, 148 KB, dogfen-Word

    Embargo yn dod i ben: 12/12/20

    Trwydded: CC BY-NC-ND Dangos trwydded

Dangosydd eitem ddigidol (DOI)

This paper investigates the impact of the introduction of ESMA credit rating identifiers on the quality of ratings. These identifiers form part of the disclosure requirements placed upon credit rating agencies (CRAs) since 2012 under a new EU regulatory regime and have not featured in any prior empirical literature. Rating informativeness is gauged from bond market data. Using a rich dataset of sovereign rating actions by the three major CRAs for 70 countries during the period 2006–2016, we find that the ESMA requirement for identifiers yields varying outcomes across downgrades and upgrades. The rating quality associated with downgrades by Moody's improves, whereas upgrades by S&P, Moody's and Fitch are of lower quality. These results are consistent with greater conservatism in rating policies after the regulatory reforms. ESMA's additional focus on analyst location does not reveal any consistent difference in the quality of ratings.

Allweddeiriau

Iaith wreiddiolSaesneg
CyfnodolynInternational Review of Financial Analysis
Dyddiad ar-lein cynnar12 Meh 2019
Dynodwyr Gwrthrych Digidol (DOIs)
StatwsE-gyhoeddi cyn argraffu - 12 Meh 2019
Gweld graff cysylltiadau