DID THE LEHMAN SHOCK HAVE AN IMPACT ON CONSISTENCY OF RATING INFORMATION?

 

Motohiro Hagiwara

 

Abstract

 

The purpose of this research is to test the informational consistency of long-term bond rating information and sovereign ratings information by main four rating agencies in Japan and America. This study attempts to rate the ratings and compare rating information by each agency from the perspective of informational consistency. Informational time consistency is an important characteristic that an ideal rating information should fulfill. Consistency means that, if factors that determine the rating information are the same, each rating agency publish the same rating in different time and sectors. The most important point of analysis is to test the time consistency of rating before and after the Lehman Shock and verify quantitatively the validity of appraisal and doubts on the method of determining the rating that occurred after the Lehman Shock. As most important finding, the down-grading during the period that experienced increased international credit risks after the Lehman Shock in 2008, is due to changes in the fundamental, and consistency of the rating character was maintained. However, only in the case of corporate ratings by JCR was there a downward bias in rating for the same characteristic values after Lehman Shock.

 

Lecture Notes in Management Science (2011) Vol. 3: 13-26

3rd International Conference on Applied Operational Research, Proceedings

© Tadbir Operational Research Group Ltd. All rights reserved.

www.tadbir.ca

 

ISSN 2008-0050 (Print)

ISSN 1927-0097 (Online)

 

ARTICLE OUTLINE

 

·         Introduction

·         Method Of Analysis

·         Quantifying The Characteristics Of The Rating Structure Of Rating Agencies

·         Consistency Of Rating Information

·         Data And Results Of The Analysis

·         Data

·         Results Of The Analysis

·         Rating Characteristics Of Rating Agencies

·         Time Consistency Of Rating Characteristics Around The Lehman Shock

·         Conclusions

·         References  

 

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