The Relevance of Credit Ratings in Transparent Bond Markets
研究发现，TRACE系统强制公开场外公司债交易后，评级下调的市场反应大幅减弱，评级对违约的预测更准确，但在透明市场中，评级相比信用利差没有提供额外的违约信息。
Mandated public dissemination of over-the-counter transactions in corporate debt securities via the TRACE system dramatically reduces the average short-term market reaction to rating downgrades by both issuer-paid and investor-paid rating agencies. Ratings become relatively more accurate predictors of default and more sensitive to innovations in credit spreads after the introduction of dissemination. However, in transparent markets, they provide no significant information about future defaults beyond that provided by credit spreads. Dissemination increases the efficiency of information aggregation and transmission in bond markets, thereby reducing the incremental information content of ratings and the price impact of rating revisions.