The Effect of Business and Financial Market Cycles on Credit Ratings: Evidence from the Last Two Decades
研究分析了1986-2012年间罗素3000指数公司样本，发现信用评级机构在商业和金融市场低迷期给出更低评级、上升期给出更高评级，且投资者对负面评级行动在低迷期反应更强。
We analyze the effect of business and financial market cycles on credit ratings using a sample of firms from the Russell 3000 index that are rated by Standard and Poor's over the period 1986–2012. We also examine investor reaction to credit rating actions in different stages of business and financial market cycles. We document that credit rating agencies are influenced by business and financial market cycles; they assign lower credit ratings during downturns of business and financial market cycles and higher ratings during upturns. Our study is the first to find strong evidence of pro-cyclicality in credit ratings using a long window. We also document stronger investor reaction to negative credit rating actions during downturns. Our results confirm theoretical predictions and inform regulators.