Does the disclosure of unsolicited sovereign rating status affect bank ratings?

Klusak, Patrycja, Alsakka, Rasha and Gwilym, Owain ap (2017) Does the disclosure of unsolicited sovereign rating status affect bank ratings? The British Accounting Review, 49 (2). 194–210. ISSN 0890-8389

[img]
Preview
PDF (Accepted manuscript) - Submitted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (741kB) | Preview

    Abstract

    This paper integrates three themes on regulation, unsolicited credit ratings, and the sovereign-bank rating ceiling. We reveal an unintended consequence of the EU rating agency disclosure rules upon rating changes, using data for S&P-rated banks in 42 countries between 2006 and 2013. The disclosure of sovereign rating solicitation status for 13 countries in February 2011 has an adverse effect on the ratings of intermediaries operating in these countries. Conversion to unsolicited sovereign rating status transmits risk to banks via the rating channel. The results suggest that banks bear a penalty if their host sovereign does not solicit its ratings.

    Item Type: Article
    Uncontrolled Keywords: bank ratings,rating agency regulation,unsolicited ratings,sovereign-bank rating channel
    Faculty \ School: Faculty of Social Sciences > Norwich Business School
    Related URLs:
    Depositing User: Pure Connector
    Date Deposited: 06 Oct 2016 13:00
    Last Modified: 05 Feb 2019 01:09
    URI: https://ueaeprints.uea.ac.uk/id/eprint/60766
    DOI: 10.1016/j.bar.2016.08.004

    Actions (login required)

    View Item