Market‐implied ratings and their divergence from credit ratings
研究了信用评级与穆迪市场隐含评级之间的差异，发现评级差距能提供关于发行人违约风险的增量信息，短期预测能力优于信用评级，且对更不透明和波动性大的发行人预测能力更强。
Abstract In this article, we investigate the divergence between credit ratings (CRs) and Moody's market‐implied ratings (MIRs). Our evidence shows that rating gaps provide incremental information to the market regarding issuers' default risk over CRs alone in the short horizon and outperform CRs over extended horizons. The predictive ability of rating gaps is greater for more opaque and volatile issuers. Such predictability was more pronounced during the 2008 financial crisis but weakened in the post–Dodd–Frank Act period. This finding is consistent with credit rating agencies’ efforts to improve their performance when facing regulatory pressure. Moreover, our analysis identifies rating‐gap signals that do (do not) lead to subsequent Moody's actions to place issuers on negative outlook and watchlists. We find that negative signals from MIR gaps have a real economic impact on issuers’ fundamentals such as profitability, leverage, investment, and default risk, thus supporting the recovery‐efforts hypothesis.