Open AccessBond Ratings And Their Determinants In A Changing Environment
Author(s) -
Christina S. Ho,
Ramesh P. Rao
Publication year - 2011
Publication title -
journal of applied business research
Language(s) - English
Resource type - Journals
eISSN - 2157-8834
pISSN - 0892-7626
DOI - 10.19030/jabr.v9i1.6104
Subject(s) - solvency , bond , bond credit rating , econometrics , economics , stability (learning theory) , macro , actuarial science , cash flow , monetary economics , accounting , finance , computer science , credit risk , market liquidity , machine learning , programming language , credit reference
This study finds that bond rating agencies, to the extent that their behavior is captured in statistical rating models, tend to emphasize different variables over time and that this appears to be systematically related to the economic macro-environment. Specifically, the study finds that bond ratings are more sensitive to various measures of cashflow stability and solvency in an economically unstable period relative to a more stable period.