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dc.contributor.authorDensmore, Mike
dc.date.accessioned2013-01-14T19:00:18Z
dc.date.available2013-01-14T19:00:18Z
dc.date.issued2013-01-14
dc.identifier.urihttp://hdl.handle.net/10464/4179
dc.description.abstractThis thesis examines the quality of credit ratings issued by the three major credit rating agencies - Moody’s, Standard and Poor’s and Fitch. If credit ratings are informative, then prices of underlying credit instruments such as fixed-income securities and credit default insurance should change to reflect the new credit risk information. Using data on 246 different major fixed income securities issuers and spanning January 2000 to December 2011, we find that credit default swaps (CDS) spreads do not react to changes in credit ratings. Hence credit ratings for all three agencies are not price informative. CDS prices are mostly determined by historical CDS prices while ratings are mostly determined by historical ratings. We find that credit ratings are marginally more sensitive to CDS than CDS are sensitive to ratings.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectCredit Ratingsen_US
dc.titleThe Informational Value of Corporate Credit Ratingsen_US
dc.typeElectronic Thesis or Dissertationen_US
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US
dc.embargo.termsNoneen_US
refterms.dateFOA2021-08-08T02:23:46Z


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