Asymmetric trading responses to credit rating announcements from issuer‐ versus investor‐paid rating agencies
研究发现投资者对两类评级机构的评级调整反应不对称：在投资者付费机构下调评级时异常卖出，在发行人付费机构上调评级时异常买入，且利用此信息的动态交易策略能获得显著超额收益。
Abstract The credit rating industry has traditionally followed the “issuer‐pays” principle. Issuer‐paid credit rating agencies (CRAs) have faced criticism regarding their untimely release of negative rating adjustments, which is attributed to a conflict of interests in their business model. An alternative model based on the “investor‐pays” principle is arguably less subject to the conflict of interest problem. We examine how investors respond to changes in credit ratings issued by these two types of CRAs. We find that investors react asymmetrically: They abnormally sell equity stakes around rating downgrades by investor‐paid CRAs, while abnormally buying around rating upgrades by issuer‐paid CRAs. Our study suggests that, through their trades, investors capitalize on value‐relevant information provided by both types of CRAs, and a dynamic trading strategy taking advantage of this information generates significant abnormal returns.