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We propose a model in which sovereign credit news from multiple rating agencies interacts with market heterogeneity. The model illustrates that the first messenger discloses new information while additional messengers play an important role of coordinating heterogeneous beliefs. Empirical investigations based on sovereign credit ratings, foreign exchange and equity markets confirm that rating news coordinates investors’ beliefs. Sovereign credit rating news from both types of messenger induces a significant impact on exchange rates and stock indices. Volatility measures increase in response to news from the first messenger while ex-post volatility reduces following news from an additional messenger.


  • Sovereign credit ratings, information content, market heterogeneity, price volatility
Original languageEnglish
Pages (from-to)1211-1233
JournalEuropean Journal of Finance
Issue number13
Early online date14 Mar 2019
Publication statusPublished - 2 Sep 2019

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