HOW DO RATING AGENCIES’ DECISIONS IMPACT STOCK MARKETS? A META‐ANALYSIS
通过元回归分析62项实证研究，发现评级机构的负面决策会显著导致股票负异常收益，而正面决策影响不显著，并揭示了出版偏误和研究设计因素的影响。
Abstract The purpose of this study is to examine how credit rating agencies’ decisions impact the stock market using a systematic and quantitative review of existing empirical studies. Specifically, we employ a meta‐regression analysis (MRA) to investigate the extent and nature of the effect of rating agencies’ decisions on the stock market. We survey 62 studies published between 1978 and 2015. Our first finding is that the cumulative average abnormal returns calculated from this empirical literature are affected by publication bias. After controlling for publication bias, the main findings of our meta‐analysis indicate that negative rating decisions cause statistically significant negative abnormal returns. This evidence suggests an informational effect. Our results also indicate that positive rating decisions do not have a significant effect. Finally, the MRA results reveal the importance of several factors related to primary study design, as well as to the nature of the data.