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dc.contributor.advisorLamoureux, Christopheren_US
dc.contributor.authorCurti, Filippo*
dc.creatorCurti, Filippoen_US
dc.date.accessioned2014-07-16T17:43:20Z
dc.date.available2014-07-16T17:43:20Z
dc.date.issued2014
dc.identifier.urihttp://hdl.handle.net/10150/323225
dc.description.abstractThe question of whether ratings agencies convey new information to financial markets when they assign new ratings or change previous ratings has been debated for at least 40 years. In this study I first examine equity market, bond market and CDS market reactions to long and short term rating changes from S&P, Fitch and Moody's. I find that not all the credit rating changes affect the market but only those classified as unanticipated. Subsequently, I study whether the regulatory setting, in which the Credit Ratings Agencies work, can possibly affect the financial markets reactions. Lastly I show that the probability of a future rating change is severely affected by different factors proportional hazard rate models.
dc.language.isoen_USen
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en_US
dc.subjectcredit risken_US
dc.subjectManagementen_US
dc.subjectcredit rating agenciesen_US
dc.titleThe Rating Game: an Empirical Assessmenten_US
dc.typetexten
dc.typeElectronic Dissertationen
thesis.degree.grantorUniversity of Arizonaen_US
thesis.degree.leveldoctoralen_US
dc.contributor.committeememberSias, Richarden_US
dc.contributor.committeememberLitov, Lubomir P.en_US
dc.contributor.committeememberHirano, Keisukeen_US
dc.contributor.committeememberLamoureux, Christopheren_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.disciplineManagementen_US
thesis.degree.namePh.D.en_US
refterms.dateFOA2018-07-06T01:41:31Z
html.description.abstractThe question of whether ratings agencies convey new information to financial markets when they assign new ratings or change previous ratings has been debated for at least 40 years. In this study I first examine equity market, bond market and CDS market reactions to long and short term rating changes from S&P, Fitch and Moody's. I find that not all the credit rating changes affect the market but only those classified as unanticipated. Subsequently, I study whether the regulatory setting, in which the Credit Ratings Agencies work, can possibly affect the financial markets reactions. Lastly I show that the probability of a future rating change is severely affected by different factors proportional hazard rate models.


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