This paper discusses the role of the credit rating agencies during the recent financial crises. In particular, it examines whether the agencies can add to the dynamics of emerging market crises. Academics and investors often argue that sovereign credit ratings are responsible for pronounced...

We develop an instrumental variables methodology to obtain consistent estimates of risk premiums using individual stocks as test assets. Simulation evidence indicates that this methodology yields unbiased estimates of risk premiums and that the associated tests are well specified in small...