The information content of Australian credit ratings: A comparison between subscription and non-subscription credit rating agencies

Chan, PT; Edwards, V; Walter, TS

The information content of Australian credit ratings: A comparison between subscription and non-subscription credit rating agencies

Chan, PT Edwards, V Walter, TS

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Economic Systems, 2009, 33 (1), pp. 22 - 44
Issue Date:: 2009-01

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Field	Value	Language
dc.contributor.author	Chan, PT	en_US
dc.contributor.author	Edwards, V	en_US
dc.contributor.author	Walter, TS	en_US
dc.date.issued	2009-01	en_US
dc.identifier.citation	Economic Systems, 2009, 33 (1), pp. 22 - 44	en_US
dc.identifier.issn	0939-3625	en_US
dc.identifier.uri	http://hdl.handle.net/10453/9949
dc.description.abstract	We classify credit rating agencies into two groups: subscribing and non-subscribing. Investors can access (non-subscribing) credit reports released to the public for no charge, or investors can subscribe to the fee-paying (subscribing) credit reports from agencies. Our results suggest that the information content of non-subscribing credit agencies is very low, whereas positive excess returns exist up to eight months after the announcement of credit upgrades from the subscription-only agencies. We support the hypothesis proposed in Grossman and Stiglitz [Grossman, S.J., Stiglitz, J.E., 1976. Information and competitive price systems. The American Economic Review 66, 246253; Grossman, S.J., Stiglitz, J.E., 1980. On the impossibility of informationally efficient markets. The American Economic Review 70, 393408]. Investors who spend resources on information acquisition should receive compensation for their information advantage, or there would be no incentive for such activity.	en_US
dc.publisher	Elsevier	en_US
dc.relation.ispartof	Economic Systems	en_US
dc.relation.isbasedon	10.1016/j.ecosys.2008.09.002	en_US
dc.subject.classification	Economics	en_US
dc.title	The information content of Australian credit ratings: A comparison between subscription and non-subscription credit rating agencies	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	33	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1499 Other Economics	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1503 Business and Management	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	1	en_US
pubs.volume	33	en_US

Abstract:

We classify credit rating agencies into two groups: subscribing and non-subscribing. Investors can access (non-subscribing) credit reports released to the public for no charge, or investors can subscribe to the fee-paying (subscribing) credit reports from agencies. Our results suggest that the information content of non-subscribing credit agencies is very low, whereas positive excess returns exist up to eight months after the announcement of credit upgrades from the subscription-only agencies. We support the hypothesis proposed in Grossman and Stiglitz [Grossman, S.J., Stiglitz, J.E., 1976. Information and competitive price systems. The American Economic Review 66, 246253; Grossman, S.J., Stiglitz, J.E., 1980. On the impossibility of informationally efficient markets. The American Economic Review 70, 393408]. Investors who spend resources on information acquisition should receive compensation for their information advantage, or there would be no incentive for such activity.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/9949