The Information Value of Bond Ratings

By Doron Kliger, O. Sarig. 2000

488 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/3a4ff35187ebb491c8853563f40c0c8c568ee320

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Citations in the corpus

Do Regulations Based on Credit Ratings Affect a Firm's Cost of Capital? (2010, unknown): “Like Kliger and Sarig (2000), we exploit a natural experiment, but our set-up varies the regulatory status of the rating agency holding information constant, exactly the reverse of their empirical design.”
Credit Ratings as Coordination Mechanisms (2006, unknown): “Kliger and Sarig (2000) seek to mitigate the possibility of this interpretation by isolated the issue by focussing on a change in reported credit ratings categories.”
Credit Rating Agencies in Capital Markets: A Review of Research Evidence on Selected Criticisms of the Agencies (2007, unknown): “More generally, some have proposed that issuers use the credit rating process as a way to incorporate inside information into assigned ratings without disclosing specific details to the public (for example, Kliger and Sarig 2000 ).”
Understanding the Securitization of Subprime Mortgage Credit (2008, unknown): “These ratings are costly: $25,000 for issues up to $500 million, ½ bp for issues greater than $500 million (Kliger and Sarig, 2000).”
Fair Value Accounting for Liabilities and Own Credit Risk (2008, background): “Structural debt valuation models are based on Merton’s (1974) insight that equity can be viewed as a call option on the value of underlying assets with a strike price equal to the face amount of the outstanding debt.”
Measuring and Managing Credit Risk (2004, background): “Kliger and Sarig (2000) find such an overall neutral effect in their experiment.”
Ratings Quality Over the Business Cycle (2013, unknown): “Define A := −πD,s(1−λs) ∂zs ∂w −1+∂zs ∂w δ(1−λs)ps [(1− (1− λs)(1− zs)ps)E(V ∗D) + (1− λs)(1− zs)psE(V ∗M )] (55) then dA dw = −πD,s(1− λs)∂ 2zs ∂w2 + ∂ 2zs ∂w2 δ(1− λs)ps(1− (1− λs)(1− zs)ps)E(V ∗D) +(1− λs)(1− zs)psE(V ∗M )] + δ(∂zs∂w ) 2(1− λs)2p2s [E(V ∗D)− E(V ∗M )] 0 (56) where the…”
Information Asymmetry, the Cost of Debt, and Credit Events: Evidence from Quasi-Random Analyst Disappearances (2016, background): “Kliger and Sarig (2000) find that the cost of debt increases by 41-64 basis points (depending on the event window) for firms with higher credit ratings after refinement compared to firms with lower credit ratings after refinement.”
Quality Disclosure and Certification: Theory and Practice (2010, background): “Many insurers refuse to reimburse for services performed at non- 2 See Bagwell (2007) for a summary of advertising literature.”
Have Rating Agencies Become More Conservative? Implications for Capital Structure and Debt Pricing (2013, background): “Extant research indicates that ratings are useful in debt pricing and that rating changes convey information to capital markets (e.g., Hand, Holthausen and Leftwich, (1992); Kliger and Sarig (2000)).”
Market Discipline in Property/Casualty Insurance: Evidence from Premium Growth Surrounding Changes in Financial Strength Ratings (2006, unknown): “Bond rating change studies also point out that downgrades need not reduce equity value because they tend to reduce the market value of debt (e.g., Kliger and Sarig 2000).”
Information Asymmetry and Firms' Credit Market Access: Evidence from Moody's Credit Rating Format Refinement (2009, methodology): “13 This is consistent with the estimation methodology used in Hand et al. (1992), Kliger and Sarig (2000), and Cremers, Nair, and Wei (2004). maturity, duration, convexity, and (coarse) rating class.”