Multiple Credit Ratings, Cost of Debt and Self‐Selection
构建并估计了一个结构性自我选择模型，分析企业为何在穆迪和标普的强制评级之外，寻求第三家评级机构（如惠誉）的“可选”评级，并发现预期的债务成本节约是决定是否申请惠誉评级的关键因素。
Abstract: In a world where firms pay for credit ratings and (because of regulatory requirements) where some investors must pay attention to the ratings of some specified set of raters, it may well be in the interests of a firm to seek a third ‘optional’ rating, beyond the standard ‘mandatory’ two ratings from Moody's and Standard and Poor's. The firm may get a better rating from the third major rater Fitch, which could save substantially on future debt issuance costs. In this paper I specify and estimate a structural self‐selection model of the demand for optional credit ratings derived from their expected reduction effect on borrowing cost compared with the optional ratings' cost. Attention is focused on specifying the role of expected cost of debt savings in the derived demand for optional ratings; these are found to be empirically important determinants of the decision to request Fitch ratings.