The Information Value of Disaggregated Credit Ratings
研究了晨星信用研究提供的分解评级（包括业务风险、违约距离、现金流缓冲和偿付能力评分）是否比综合评级更能预测企业未来信用风险和财务基本面，并发现其预测能力受发行人财务约束和信息环境影响。
ABSTRACT This study examines whether disaggregated credit ratings offer incremental information about corporate credit risk beyond what is conveyed by aggregated ratings. Using a novel hand‐collected dataset of ratings by Morningstar Credit Research, we examine the information value of four disaggregated rating components—business risk, distance to default, cash flow cushion, and solvency score. Controlling for aggregated credit ratings, we find that disaggregated components add value by predicting both the magnitude of future credit risk and key aspects of issuers’ future financial fundamentals. Our results further show that the predictive ability of disaggregated ratings depends on issuer‐level characteristics, including ex ante financial constraints and the surrounding information environment.