search query: @author Cantor, R. / total: 3
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| Author: | Cantor, R. Packer, F. |
| Title: | Differences of opinion and selection bias in the credit rating industry |
| Journal: | Journal of Banking and Finance
1997 : OCT, VOL. 21:10, p. 1395-1417 |
| Index terms: | CREDIT RATING RISK BONDS INSTITUTIONAL INVESTORS EVALUATION |
| Language: | eng |
| Abstract: | Regulators use private sector ratings to determine investment prohibitions and capital requirements for institutional portfolio investments. The regulations implicitly assume that different agencies have equivalent rating scales despite the fact that some agencies assign systematically higher ratings than others. This study assesses the appropriateness of these practices by examining whether observed rating differences reflect different rating scales or a result from sample selection bias. The analysis reveals only limited evidence of selection bias. |
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