The Market Impact of Relative Agency Activity in the Sovereign Ratings Market
基于1990-2006年101个国家的数据，研究了三大评级机构（标普、穆迪、惠誉）的相对活动及其评级行动（评级变化、观察和展望）的市场影响，发现标普更活跃且信息更及时，穆迪在发达经济体中领先，评级展望和观察比降级/升级更具信息量，危机期间市场反应更强。
Abstract: Using a sample of 101 countries, over the period 1990 to 2006, we assess the relative credit‐rating activity of the major agencies at the sovereign level. Informed by this preliminary analysis, we then examine the market impact of rating actions (ratings changes, watch procedures and outlooks), allowing for various interactions across raters and rating events. Additionally, we carry out a separate analysis of crisis periods. We find that Standard and Poor's tend to be more active, provide more timely rating assessments and offer more new information than either Fitch or Moody’s. We find evidence of specialisation, however, among agencies, with Moody’s, for example, being the ‘leading’ agency among IMF ‘advanced economies’. In line with our rating activity analysis, we find some evidence of stronger reaction to changes in Standard and Poor's rating assessments than in those of the other agencies. We also find evidence that credit‐outlook and credit‐watch events are more timely and more informative than downgrades and upgrades, and that, as anticipated, reactions are stronger during crisis periods, but that events remain informative outside crisis periods.