The adverse effects of systematic leakage ahead of official sovereign debt rating announcements
研究发现评级机构在主权债务评级变更公告前数日与地方政府官员磋商，导致信息泄露，表现为降级公告前股票指数出现显著负异常回报，且在制度质量较低的国家更严重，对资本市场监管构成政策关切。
Rating agencies consult with local government officials several days prior to official announcements of sovereign debt rating changes, making information leakage likely. Using cross-country data from 1988 to 2012, we find evidence of information leakage. In particular, we find statistically and economically significant negative daily abnormal stock index returns prior to downgrade announcements. These effects are more pronounced in countries with lower institutional quality, and they persist during times with no downgrade rumors and no concurrent bad news in general. A mild post-announcement reversal consistent with overreaction to pre-event downgrade rumors highlights the adverse effects of such leakage and, thus, should be a policy concern for capital market regulators.