Unsolicited ratings are credit ratings of rms that have not requested rating evaluation and therefore do not pay fees. Accordingly, unsolicited ratings are issued solely by the discretion of rating agencies based on public information. Given the controversial biasedness of unsolicited ratings raised by Japanese rms and some studies, we examine whether the market extracts any new information from unsolicited ratings. We find that unsolicited ratings typically are of speculative grade rather than investment grade; induce signi cant announcement period abnormal returns for downgrades; and have greater impact for speculative-grade ratings than investment-grade ratings. Keiretsu affliation of Japanese frms does not mitigate the negative market reaction to unsolicited rating downgrades. Our results suggest that high-quality rms signal through solicited ratings while low-quality
rms are revealed through unsolicited ratings.
JEL Classi cation: G10 G14 G15
Keywords: Unsolicited rating; Asymmetric information; Signaling
학회소식
공지사항
[2011년 제 4차] Information Content of Unsolicited Ratings: Evidenc
작성자 : 관리자
조회수 : 1008
게시일 :
2011-12-07