The impact of short‐selling threats on credit rating performance and usage: Evidence from a natural experiment
利用SHO规则作为自然实验，研究发现卖空威胁促使评级机构提高评级准确性但降低稳定性，且债务合同在面临卖空威胁时更重视评级稳定性而非准确性。
Abstract Using Regulation SHO as a controlled experiment, we examine the impact of short‐selling threats on credit rating performance and credit rating usage in debt contracts. We find that when short‐selling constraints are removed for pilot firms, rating accuracy increases, but rating stability decreases for these firms relative to non‐pilot firms. This result suggests that short‐selling threats push rating agencies to enhance rating accuracy at the cost of rating stability. We also find less rating usage in debt contracts for pilot firms than for non‐pilot firms when short‐selling constraints are removed for pilot firms, suggesting that in the presence of short‐selling threats, debt contracting parties emphasize rating stability over rating accuracy. Overall, our study informs academics, practitioners and regulators about short sellers’ disciplining effect on rating agencies and provides novel evidence on the rating property trade‐off and its implication for rating usage.