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Informational efficiency of credit ratings

Nidhi Aggarwal (), Manish Singh () and Susan Thomas

No 14, Working Papers from xKDR

Abstract: The timeliness of the credit rating of a firm has been frequently called into question over the previous two decades. This paper examines whether changes in credit ratings can be updated more frequently than at the frequency of updates in the accounting data. The paper finds that, when market equity prices of firms are readily available, changes in high frequency measures such as the Distance to Default, along with low frequency firm characteristics such as ownership structure and accounting data, can provide a more timely update on the probability of credit ratings downgrades.

JEL-codes: G21 G24 G32 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2022-09
New Economics Papers: this item is included in nep-acc, nep-ban and nep-rmg
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https://papers.xkdr.org/papers/2022Aggarwaletal_changeindtdandratings.pdf First version, 2022 (application/pdf)

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