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1.
Sovereign credit rating actions have attracted considerable attention recently. This study employs a rich and unique data set of ratings from six international agencies to investigate the causes of split sovereign ratings in emerging countries. Three reasons are identified in explaining the relatively high frequency of disagreement across agencies on emerging sovereign ratings. First, rating agencies use different economic factors and different weights on those factors. Second, rating agencies disagree to a greater extent about more opaque issuers. Third, for smaller rating agencies, issuers in their "home region" tend to be more favored. The findings should be of interest to a wide range of participants in global credit markets.  相似文献   

2.
The aim of this paper is to examine the main determinants of the rating likelihood of UK companies. We use a binary probit specification to model the main drivers of a firm's propensity to be rated. Using a sample of 245 non-financial UK companies over the period 1995–2006, representing up to 2872 firm years, the study establishes important differences in the financial profiles of rated and non-rated firms. The results of the rating likelihood models indicate that the decision to obtain a rating is driven by a company's financial risk, solvency, default risk, public debt issuance, R&D, and institutional ownership, thus identifying a wider range of determinants and extending the current literature. The study also finds that the rating decision can be modelled by means of a contemporaneous or predictive specification without any loss of efficiency or classification accuracy. This offers support to the argument that the rating process is fundamentally forward-looking.  相似文献   

3.
This article investigates the determinants of credit constraints: evidence from Sindh, Pakistan. Cross-sectional farm-level data is collected during November and December 2016. A sample of 180 farm households is selected for interviews by using a multistage, random sampling technique. This study employed a probit regression model, frequency counts, and percentages to analyze the data. Access to formal agricultural credit is relatively low in Sindh province of Pakistan, the findings of the study show that the major constraints comprise distance to the formal credit sources, lending procedure, time lag, and interest rate whereas land ownership has a negative association and reduces the constraints to access formal credit. The findings of this study also show that for efficient allocation of resources, institutional sources of credit preferred to disburse agricultural credits toward educated and young age farmers as they are more inclined to adopt new farm technology for better farm production.  相似文献   

4.
This paper examines the determinants of external credit ratings attained by insurance firms in the United Kingdom (UK) and of the likelihood that insurers will have such an assessment. Using panel data relating to A.M. Best‐rated and Standard and Poor's (S&P)‐rated insurers over the period 1993–1997, a trichotomous logit model and an ordered probit model with sample selection are employed to show that the factors which influence the likelihood of having external credit assessments not only vary between the two agencies but also differ from those which determine the ratings themselves. Our results are shown to be of potential interest to participants in the insurance industry and policy‐makers alike.  相似文献   

5.
基于中国工业企业数据库1998-2014年7032家企业的平衡面板数据,从银行信用风险内部评级的视角,研究融资约束对企业出口的影响.结果表明:银行信贷融资约束与企业的出口决策及出口强度间有显著负相关关系.同时,使用Heckman二阶段模型研究发现:不同形式的商业信用对企业出口决策及出口强度的影响和作用机制会因企业所处供求端位置的不同而存在差异.其中,需求端的商业信用仅与企业出口决策显著正相关,而与出口强度的相关性并不显著;供给端的商业信用则与企业出口强度显著负相关.  相似文献   

6.
2018年以来,作为债券融资支持工具的信用风险缓释凭证(CRMW)在我国得到了快速发展。本文采用基于倾向得分匹配的双重差分模型(PSM-DID),利用中国企业数据检验了CRMW产品对企业投资行为的影响。结果显示,我国信用风险缓释凭证的发行促进了非上市企业投资,并且这种促进作用对于融资约束较强的企业更为显著。本文还对CRMW产品通过缓解融资约束促进企业投资的渠道进行了检验,结果发现,CRMW产品对企业融资的促进作用主要体现在信贷融资渠道而非债券渠道。本文结论有助于深化对中国当前资本市场中信用风险缓释凭证的作用效果与作用机制的解读,为政策制定者利用该产品解决民营企业融资难、融资贵的问题提供了更充分的决策参考依据。  相似文献   

7.
We investigate the effect of debt financing on the voluntary adoption of the International Financial Reporting Standards (IFRS) by unlisted firms and such adoption’s effect on bond credit rating. We find that unlisted firms with public debts are more likely to voluntarily adopt IFRS. Subsequent to the voluntary application of IFRS, the unlisted firms exhibit, on average, enhanced credit ratings. These findings suggest that the public debt market’s demand for high-quality financial reporting may drive those unlisted firms to voluntarily adopt IFRS. Furthermore, rating agencies seem to reward such firms by elevating their bond credit ratings.  相似文献   

8.
    
Banks’ limited knowledge about borrowers’ creditworthiness constitutes an important friction in credit markets. Is this friction deeper in recessions, thereby contributing to cyclical swings in credit, or is the friction reduced, as bad times reveal information about firm quality? We test these alternative hypotheses using internal ratings data from a large Swedish cross-border bank and credit scores from a credit bureau. The ability to classify corporate borrowers by credit quality is greater during bad times and worse during good times. Soft and hard information measures both display countercyclical patterns. Our results suggest that information frictions in corporate credit markets are intrinsically countercyclical and not due to cyclical variation in monitoring effort. The presence of countercyclical information frictions provides a rationale for countercyclical provisions or capital in banks to smooth credit cycles.  相似文献   

9.
On cox processes and credit risky securities   总被引:44,自引:0,他引:44  
A framework is presented for modeling defaultable securities and credit derivatives which allows for dependence between market risk factors and credit risk. The framework reduces the technical issues of modeling credit risk to the same issues faced when modeling the ordinary term structure of interest rates. It is shown how to generalize a model of Jarrow, Lando and Turnbull (1997) to allow for stochastic transition intensities between rating categories and into default. This generalization can handle contracts with payments explicitly linked to ratings. It is also shown how to obtain a term structure model for all different rating categories simultaneously and how to obtain an affine-like structure. An implementation is given in a simple one factor model in which the affine structure gives closed form solutions.  相似文献   

10.
We examine whether the credit relevance of financial statements, defined as the ability of accounting numbers to explain credit ratings, is higher after firms are required to report under International Financial Reporting Standards (IFRS). We find an improvement in credit relevance for firms in 17 countries after mandatory IFRS reporting is introduced in 2005; this increase is higher than that reported for a matched sample of US firms. The increase in credit relevance is particularly pronounced for higher risk speculative-grade issuers, where accounting information is predicted to be more important; and for IFRS adopters with large first-time reconciliations, where the impact of IFRS is expected to be greater. These tests provide reassurance that the overall enhancement in estimated credit relevance is driven by accounting changes related to IFRS adoption. Our results suggest that credit rating analysts’ views of economic fundamentals are more closely aligned with IFRS numbers, and that analysts anticipate at least some of the effects of the IFRS transition.  相似文献   

11.
There has been a net propensity over the last decade for the dominant rating agency of the U.S. insurance industry, A.M. Best, to downgrade property-liability insurers. This could reflect a general deteriorating credit worthiness of the industry or an increase in the performance thresholds Best's has deemed necessary to achieve a given rating class. Consistent with a recent study of corporate bond ratings, we find evidence there has been an increase in rating stringency. Specifically, we show pressure for insurers to maintain their existing ratings provides a plausible explanation of the dramatic buildup of capital in the industry during the 1990s. In addition, our analysis suggests Best's raised the bar in terms of the capital required to maintain the highest ratings differentially relative to the increase in standards they required for lower rated categories. The actual pattern of capital buildup across firms in different rating categories is consistent with an attempt by high quality firms to defend these ratings.  相似文献   

12.
    
We examine the influence of credit rating changes on corporate excess cash holdings. We find that downgraded firms increase excess cash holdings by approximately 3% of total noncash assets, compared to a matched sample of firms without a rating change. We largely observe no significant cash policy change following upgrades. While our findings support existing studies on the value of precautionary cash hoarding in the face of increased financial constraint, we find hoarding is value‐decreasing for shareholders. The marginal value of excess cash declines by at least 40% for downgraded firms and much more so when firms have histories of excess cash hoarding.  相似文献   

13.
    
This study examines the impact of having a credit rating on earnings management (EM) through accruals and real activities manipulation by initial public offering (IPO) firms. We find that firms going public with a credit rating are less likely to engage in income‐enhancing accrual‐based and real EM in the offering year. The monitoring by a credit rating agency (CRA) and the reduced information asymmetry due to the provision of a credit rating disincentivise rated issuers from managing earnings. We also suggest that the participation of a reputable auditing firm is crucial for CRAs to effectively restrain EM. Moreover, we document that for unrated issuers, at‐issue income‐increasing EM is not linked to future earnings and is negatively related to post‐issue long‐run stock performance. However, for rated issuers, at‐issue income‐increasing EM is positively associated with subsequent accounting performance and is unrelated to long‐run stock performance following the offering. The evidence indicates that managers in unrated firms generally manipulate earnings to mislead investors, while managers in rated firms tend to exercise their accounting and operating discretion for informative purposes.  相似文献   

14.
    
The severity and complexity of the recent financial crisis has motivated the need for understanding the relationships between sovereign ratings and bank credit ratings. This is the first study to examine the impact of the “international” spillover of sovereign risk to bank credit risk through both a ratings channel and an asset holdings channel. In the first case, the downgrade of sovereign ratings in GIIPS (Greece, Italy, Ireland, Portugal, and Spain) countries leads to rating downgrades of banks in the peripheral countries. The second channel indicates that larger asset holdings of GIIPS debt increases the credit risk of cross‐border banks, and hence, the probabilities of downgrade.  相似文献   

15.
The question of whether banks are relatively more opaque than non-banking firms is empirically investigated by analyzing the disagreement between rating agencies (split ratings) on 2,473 bonds issued by European firms during the 1993–2003 period. Four main results emerge from the empirical analysis. First, fewer bank issues have split ratings overall, but the predicted probability of a split rating is higher for banks after controlling for risk and other issue characteristics. Second, subordinated bonds are subject to more disagreement between rating agencies. Third, bank opaqueness increases with financial assets and decreases with bank fixed assets. Fourth, bank opaqueness increases with bank size and capital ratio. The implications of these findings for regulatory policy are also discussed. All errors remain those of the author. This paper was prepared while the author was visiting the Department of Finance, Insurance and Real Estate at the Graduate School of Business Administration, University of Florida.  相似文献   

16.
基于Logistic模型的商业银行个人消费信贷风险评估研究   总被引:1,自引:0,他引:1  
在消费者“贷款消费”意识不断增强的今天,伴随而来的风险问题也不断显现出来,特别是个人信用风险首当其冲。基于商业银行个人消费信贷的实际操作数据和Logistic回归模型,利用SPSS17.0统计软件构建个人信用评分模型。通过实证,测得借款人的年龄、婚姻状况、受教育程度等六项指标是影响个人信用风险的关键因素。最后,提出了防范个人消费贷款风险的相关建议。  相似文献   

17.
We examine how a sample of publicly traded corporate bond issuers and institutional investors assess the four major nationally recognized rating agencies and their role in capital markets. The results show that issuers and investors differ dramatically in their assessments about rating agencies. Specifically, the majority of institutional investors require only one rating when they buy rated corporate bonds, but most issuers obtain two or more ratings. Issuers and investors also differ in their assessments about whether ratings accurately reflect creditworthiness and timeliness. The results suggest that differences reflect the different roles that rating agencies provide in the market place.  相似文献   

18.
Abstract:  In a world where firms pay for credit ratings and (because of regulatory requirements) where some investors must pay attention to the ratings of some specified set of raters, it may well be in the interests of a firm to seek a third 'optional' rating, beyond the standard 'mandatory' two ratings from Moody's and Standard and Poor's. The firm may get a better rating from the third major rater Fitch, which could save substantially on future debt issuance costs. In this paper I specify and estimate a structural self-selection model of the demand for optional credit ratings derived from their expected reduction effect on borrowing cost compared with the optional ratings' cost. Attention is focused on specifying the role of expected cost of debt savings in the derived demand for optional ratings; these are found to be empirically important determinants of the decision to request Fitch ratings.  相似文献   

19.
债务抵押凭证(CDO)是金融市场重要的风险转移工具,具有信用级别高、收益水平高的特征,其市场规模扩展迅速。但这种金融创新产品因较复杂的基础资产和分层结构,产生出异于传统公司债券的风险特征。很多投资者没有真正了解其潜在风险,且信用评级质量不佳,致使CDO投资者在次贷危机中遭受严重损失甚至破产。因此有必要深入了解CDO所具有的风险特征和CDO产品信用评级的一般方法,纠正现有评级方法的不足,分析其对次贷危机的影响。  相似文献   

20.
    
This paper investigates split credit ratings awarded by Moody's and Standard & Poor's (S&P) to U.S. corporations. Bivariate probit model estimates, analyzing 5,238 firm‐year observations from dual‐rated S&P 500/400/600 index‐constituent corporations, indicate firm‐specific financial and governance characteristics predict split ratings. Large, profitable companies with enhanced interest coverage, a greater percentage of independent directors, and more institutional investment are less likely to receive splits. Moody's appears more conservative in its evaluations, assigning lower ratings to smaller, less profitable companies with low interest coverage. Moody's also associates external, independent constraints on managerial autonomy with a higher corporate credit standing relative to S&P.  相似文献   

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