Economics, Econometrics and Finance
8 years ago

Stock market predicts credit rating changes during financial crises, not CDS market.

The Journal of Fixed Income
Do Investors Still Rely on Credit Rating Agencies? <i>Evidence from the Financial Crisis</i>
Florian Kiesel

Paper Summary

Investors no longer rely on credit rating agencies during financial crises. Stock markets predict downgrades before they happen, but credit default swaps don't react to rating changes.

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