据TAR官网显示，来自宾夕法尼亚州立大学的Samuel B. Bonsall, IV、圣母大学的John B. Donovan、印第安纳大学伯明顿分校的Eric R. Holzman、俄亥俄州立大学的Xue Wang、香港科技大学的梁健熙，合作的论文“Do Credit Ratings Reflect Private Information about SEC Investigations?”在国际会计学顶刊《The Accounting Review》线上正式发表。
Title: Do Credit Ratings Reflect Private Information about SEC Investigations?
信用评级是否反映了关于SEC调查的私人信息？
Samuel B. Bonsall, IV
宾夕法尼亚州立大学
John B. Donovan
圣母大学
Eric R. Holzman
印第安纳大学伯明顿分校
Xue Wang
俄亥俄州立大学
梁健熙
香港科技大学
Despite private access to managers, issuer-paid credit rating agencies (CRAs) are often criticized for failing to promptly reflect material negative private information in their ratings and being ineffective corporate watchdogs. We utilize a novel dataset of private SEC investigations to examine the timeliness and informativeness of CRAs’ rating adjustments in response to material negative private information. Our evidence suggests that CRAs adjust ratings downward within a quarter following the opening of an SEC investigation. Moreover, these adjustments are over three times larger for those investigations that ultimately yield an enforcement action than for those that do not, suggesting that CRAs quickly form sophisticated expectations about the materiality of the private information. Additionally, rating downgrades during the investigations are more informative to the stock market than other rating downgrades. Overall, our evidence suggests that CRAs reduce information asymmetry in the capital markets by timely incorporating material private information in their ratings.
尽管能够私下接触到管理层，但发行人付费的信用评级机构（CRAs）常常因为未能及时反映其评级中的实质性负面私人信息，以及作为公司监管者的效果不佳而受到批评。我们利用一个关于私人SEC调查的新数据集，来检验CRAs在面对实质性负面私人信息时，其评级调整的及时性和信息量。我们的证据表明，CRAs在SEC调查开始后的一季度内会下调评级。此外，对于那些最终导致执行行动的调查，评级调整的幅度是那些没有导致执行行动的调查的三倍以上，这表明CRAs能够迅速形成关于私人信息重要性的复杂预期。此外，在调查期间的评级下调对股票市场的信息量比其他评级下调更大。总体而言，我们的证据表明，CRAs通过及时将实质性私人信息纳入其评级中，减少了资本市场中的信息不对称。
