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dc.contributor.authorKlusak, Patrycja
dc.contributor.authorKraemer, Moritz
dc.contributor.authorVu, Huong
dc.date.accessioned2022-01-28T16:35:33Z
dc.date.available2022-01-28T16:35:33Z
dc.date.issued2022-02
dc.date.submitted2021-08-25
dc.identifier.citationFinancial Markets, Institutions & Instruments
dc.identifier.issn0963-8008
dc.identifier.otherfmii12155
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/333159
dc.description.abstractAbstract: Using 102 sovereigns rated by the three largest credit rating agencies (CRA), S&P, Moody's and Fitch between January 2000 and January 2019, we document that the first‐mover CRA (S&P) in downgrades falls into a commercial trap. Namely, each sovereign downgrade by one notch by the first‐mover CRA (S&P) results in 2.4% increase in the probability of a rating contract being cancelled by the sovereign client. The more downgrades S&P makes in a given month, the more their sovereign rating coverage falls relative to its rivals. Our results are more pronounced for downgrades on small sovereign borrowers than on large sovereign borrowers. This paper explores the interaction between three themes of the literature: herding behaviour amongst CRAs, issues of conflict of interest and ratings quality. Our empirical evidence gives credence to, and underscores the need for sovereign ratings to be made in an impartial way and independent of their commercial ramifications elsewhere in the CRA.
dc.languageen
dc.publisherWiley
dc.subjectG15
dc.subjectG24
dc.subjectORIGINAL ARTICLE
dc.subjectSovereign credit ratings
dc.subjectherding behaviour
dc.subjectconflict of interest
dc.subjectsolicitation
dc.titleFirst‐mover disadvantage: the sovereign ratings mousetrap
dc.typeArticle
dc.date.updated2022-01-28T16:35:33Z
prism.publicationNameFinancial Markets, Institutions & Instruments
dc.identifier.doi10.17863/CAM.80582
dcterms.dateAccepted2021-12-15
rioxxterms.versionofrecord10.1111/fmii.12155
rioxxterms.versionAO
rioxxterms.versionVoR
rioxxterms.licenseref.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.contributor.orcidKlusak, Patrycja [0000-0001-5851-2461]
dc.identifier.eissn1468-0416
cam.issuedOnline2022-01-18


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