Do Rating Agencies Behave Defensively for Higher Risk Issuers?
研究发现，随着发行人违约风险上升，评级机构的软性评级调整更准确，能更好预测违约和损失，且市场反应更大；同时机构会指派更资深的分析师处理高风险发行人，表明声誉威胁缓解了发行人付费模式带来的策略行为。
We examine whether rating agencies act defensively toward issuers with a higher likelihood of default. We find that agencies’ qualitative soft rating adjustments are more accurate as issuers’ default risk grows, as evidenced by the adjustments leading to lower type I and type II error rates and better prediction of default and default recovery losses. We also find that soft adjustments’ relevance increases with issuers’ default risk, as evidenced by the adjustments being more predictive of initial offering yields and leading to a greater market reaction to rating changes. Further, we find that the rating agencies assign better educated and more experienced analysts to higher-risk issuers, providing evidence of one mechanism used by the rating agencies to generate more accurate and relevant soft adjustments. Overall, our study suggests that as the likelihood of issuer default grows, the threat of reputational harm from discovered rating failures increasingly mitigates the rating agencies’ strategic behavior incentivized by the issuer-pay model. This paper was accepted by Brian Bushee, accounting. Funding: P. Kraft and K. A. Muller gratefully acknowledge funding received from the HEC Paris Foundation and Labex Ecodec [Grant ANR-11-LABX-0047] and the Poole Faculty Fellowship, respectively. Supplemental Material: Data are available at https://doi.org/10.1287/mnsc.2022.4537 .