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Regulatory versus Informational Value of Bond Ratings: Hints from History

Ludovic Moreau

No 2009-41, EconomiX Working Papers from University of Paris Nanterre, EconomiX

Abstract: A multivariate analysis can be used in order to investigate the relationship between bond yields, ratings and standard control variables. Replicating such a test on a number of cross-sections may evidence a possible impact of financial regulations relying on ratings. Datasets for American corporate bond issues allow a focus on two key events of the development of rating driven regulations: the valuation of bank and life insurance portfolios introduced in the 1930’s and the net capital requirements for broker dealers introduced in the 1970’s. The “value” of bond ratings does show some improvement once these regulations have been passed.

Keywords: Bond ratings; bond yields; financial regulation. (search for similar items in EconPapers)
JEL-codes: G12 G18 G24 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2009
New Economics Papers: this item is included in nep-his
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