Does the disclosure of unsolicited sovereign rating status affect bank ratings?
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- 2016 Does the disclosure
Accepted author manuscript, 801 KB, PDF document
Licence: CC BY-NC-ND Show licence
DOI
This paper integrates three themes on regulation, unsolicited credit ratings, and the sovereign-bank rating ceiling. We reveal an unintended consequence of the EU rating agency disclosure rules upon rating changes, using data for S&P-rated banks in 42 countries between 2006 and 2013. The disclosure of sovereign rating solicitation status for 13 countries in February 2011 has an adverse effect on the ratings of intermediaries operating in these countries. Conversion to unsolicited sovereign rating status transmits risk to banks via the rating channel. The results suggest that banks bear a penalty if their host sovereign does not solicit its ratings.
| Original language | English |
|---|---|
| Pages (from-to) | 194-210 |
| Journal | British Accounting Review |
| Volume | 49 |
| Issue number | 2 |
| Early online date | 20 Aug 2016 |
| DOIs | |
| Publication status | Published - Mar 2017 |
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