When Do Differences in Credit Rating Methodologies Matter? Evidence from High Information Uncertainty Borrowers
研究了不同信用评级机构的方法论差异如何影响评级质量，发现当借款人信息不确定性高时，依赖定性分析和直接接触管理层的方法（标普）比受限方法（伊根琼斯）更准确、及时。
ABSTRACT This study investigates whether and when differences in the credit rating agencies' methodologies result in differences in rating properties. In particular, this study focuses on differences in information processing constraints between a rating agency that utilizes qualitative analysis and direct access to borrowers' management in its rating process (Standard & Poor's) compared to one that does not (Egan Jones Ratings Company) and how these differences affect rating quality. We find that as information uncertainty about borrowers increases, Egan Jones's rating accuracy, informativeness, and timeliness decrease relative to Standard & Poor's. Our findings suggest that Egan Jones's more restricted rating methodology can lead to limitations in information processing and, thus, reductions in Egan Jones's rating quality advantage for borrowers with greater information uncertainty. JEL Classifications: G10; G24.