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Abstract Cornaggia, Cornaggia and Israelsen (2017) construe positive investor reactions to Moody's 2010 recalibration as evidence that credit ratings matter. However, the purpose of recalibration was officially discussed by Moody's… Click to show full abstract
Abstract Cornaggia, Cornaggia and Israelsen (2017) construe positive investor reactions to Moody's 2010 recalibration as evidence that credit ratings matter. However, the purpose of recalibration was officially discussed by Moody's as early as 2002. Furthermore, for most bonds, the implementation of recalibration presented no new information and followed an algorithm which was published prior to the implementation date. We interpret investor reactions on the implementation of recalibration as more consistent with evidence of investor fixation towards credit ratings.
Journal Title: Finance Research Letters
Year Published: 2020
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