The adjustment of credit ratings in advance of defaults

The Causes and Economic Consequences of Patent Litigation

“…This is an indication that raters may take into account the engagement-specific expertise of auditors in their rating decisions. This contributes to an understanding of the economic consequences of litigation and determinants of credit rating (Güttler and Wahrenburg, 2007;Jorion et al, 2009;Güntay and Hackbarth, 2010;Afonso et al, 2011). Our findings also address the debate as to whether credit ratings provide useful information to investors (Crabtree and Maher, 2005;Yi and Mullineaux, 2006;Cheng and Neamtiu, 2009; U.S. Department of Justice, 2013).…”

Underwriter Reputation and the Quality of Certification: Evidence from High-Yield Bonds

“…The use of these variables is motivated by the literature on credit ratings. Lando and Skødeberg (2002) and Güttler and Wahrenburg (2007), among others, show credit ratings to exhibit a positive serial correlation when the initial rating change is a downgrade. We further find, when we scan our sample, a strong tendency towards subsequent rating changes in the direction of the initial change.…”

Predicting issuer credit ratings using a semiparametric method

“…First, in this paper, we only used cross-sectional data to study the performance of OSPM. The model can also be applied to panel data with independence assumption (Blume et al, 1998;Poon, 2003;Güttler and Wahrenburg, 2007). Secondly, to account for the autocorrelations among panel data, we may introduce a dynamic OLPM or OSPM with autocorrelation structure (Lipsitz et al, 1994;Müller and Czado, 2005) to study credit ratings.…”

“…Thirdly, the performance of OSPM for predicting credit ratings was only studied in this paper using firm-specific variables including market-driven variables, accounting variables, and industry effects. The macroeconomic variables such as change in GDP and unemployment rate have been considered in Güttler and Wahrenburg (2007) as major determinants of credit ratings. It is of interest to study the effects of macroeconomic variables on our OSPM for predicting credit ratings in the future research.…”

“…Furthermore, to assess biases in credit ratings assigned by Moody's and S&P's for near-to-default issuers, Güttler and Wahrenburg (2007) used accounting and macroeconomic variables as major determinants of issuer credit ratings.…”