It's the tone, stupid! Soft information in credit rating reports and financial markets
研究了2004至2019年间6110份穆迪评级报告，发现报告文本的负面语气显著影响信用违约互换和股票市场，尤其负面观察名单报告会导致CDS利差扩大和股票异常收益下降。
Abstract Using a unique, comprehensive data set of 6110 Moody's rating reports from 2004 to 2019, I find that the textual tone of credit rating reports has a significant effect on the credit default swap (CDS) and stock markets. This effect is driven by negative watchlist reports. The results show that the negative tone of these watchlist reports, in particular, leads to a widening in CDS spreads and lower abnormal stock returns. It also indicates that the rating is likely to be downgraded. These findings show the importance of credit rating agencies as information sources for financial markets.