How do Rating Agencies Score in Predicting Firm Performance

We use dynamic panel analysis to examine whether credit rating agencies achieve what they claim to achieve, namely, look into the future when assigning their ratings. We find that Moodey's ratings help predict individual financial ratios over a horizon of up to five years. Ratings also predict a multivariate credit score, again over five years. The contribution of ratings appears to be economically significantand robust for different specifications.

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Year of publication:	2007-07-30
Authors:	Löffler, Gunter ; Posch, Peter N.
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Prognose \| Rating \| Ratingagentur \| credit rating agencies \| Kreditwürdigkeit \| credit scoring models

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Extent:	483328 bytes 29 p. application/pdf
Series:	Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere Diskussionspapier ; 2007-043
Type of publication:	Book / Working Paper
Language:	English
Classification:	C33 - Models with Panel Data ; G20 - Financial Institutions and Services. General ; G33 - Bankruptcy; Liquidation ; Accounting and auditing. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005860997