This paper seeks to investigate the reaction of credit ratings and credit markets in response to accounting restatements. Accounting restatements can often be perceived as a precursor to fraudulent activity, which could lead to a more negative credit rating, or a heightened credit default swap (CDS) price. CDS prove to be a useful measuring tool as they adjust to changes relatively quickly; much more quickly than the assessment of a credit rating agency. My results suggest that restatements do indeed have an effect on credit rating. It does, however take longer for credit ratings to be updated after the restatement, but CDS quotes move faster and are just as, if not more accurate. I also find that credit default swaps do not anticipate restatements, showing that while the credit markets are beating the rating agencies, they do not appear to be beating the accountants.

Thesis (M.A.)--University of Missouri-Columbia, 2007. / The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on April 17, 2008) Includes bibliographical references.

Thesis (Ph. D.)--University of Texas at Austin, 2008. / Vita. Includes bibliographical references.

Thesis (Ph. D.)--University of Texas at Austin, 2008. / Vita. Includes bibliographical references.

Thesis (Ph. D.)--University of Washington, 2004. / Vita. Includes bibliographical references (leaves 99-104).

Thesis (M. Econ.)--University of Hong Kong, 2000. / Includes bibliographical references.

Thesis (M.Econ.)--University of Hong Kong, 2000. / Includes bibliographical references. Also available in print.

Submitted by Danilo do Nascimento Augusto (danilo.nasct@gmail.com) on 2015-02-21T01:03:06Z No. of bitstreams: 1 D N Augusto - Impacto das Classificações de Rating no Valor das Empresas Brasileiras.pdf: 3461397 bytes, checksum: b748edf5305e385fee056a2b38224b12 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Prezado Danilo, boa noite Seu trabalho foi rejeitado por não estar de acordo com as normas da ABNT. Segue abaixo o que deve ser alterado: - Os Títulos AGRADECIMENTOS, ABSTRACT e RESUMO, devem estar centralizados. Aguardamos correção e nova submissão. Att Renata on 2015-02-23T23:09:35Z (GMT) / Submitted by Danilo do Nascimento Augusto (danilo.nasct@gmail.com) on 2015-02-24T00:33:45Z No. of bitstreams: 1 D N Augusto - Impacto das Classificações de Rating no Valor das Empresas Brasileiras.pdf: 3613666 bytes, checksum: bfd2f56db1e8614d1f45588b36b2bd59 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-02-24T00:35:53Z (GMT) No. of bitstreams: 1 D N Augusto - Impacto das Classificações de Rating no Valor das Empresas Brasileiras.pdf: 3613666 bytes, checksum: bfd2f56db1e8614d1f45588b36b2bd59 (MD5) / Made available in DSpace on 2015-02-24T13:41:40Z (GMT). No. of bitstreams: 1 D N Augusto - Impacto das Classificações de Rating no Valor das Empresas Brasileiras.pdf: 3613666 bytes, checksum: bfd2f56db1e8614d1f45588b36b2bd59 (MD5) Previous issue date: 2015-02-03 / The present study examines how the announcements of credit rating changes affect the market value of the Brazilian companies. It was considered the announcements made in a period of 3 years for the universe of companies that integrate the Bovespa equity index. The methodology chosen is the Event Study, using the Market Model to estimate the equity normal returns for a 1 year estimation window. The conclusion is that the announcements have influence in the price of the equities and that this effect is stronger in the case of ratings decrease announcements (downgrades): investors tend to anticipate the downgrade announcements as the accumulate return of equities is negative before the date of the announcement and positive after it. This conclusion is similar to the ones that studies using American and European equities have made. Another conclusion was that separating the downgrades sample into investment grade and non-investment grade companies, the effect of the ratings disclosure is more pronounced in the second group. / Este trabalho tem como objetivo estudar como os anúncios de alterações nos ratings de crédito afetam o valor de mercado das empresas brasileiras. Isso foi feito considerando as divulgações de rating pelo período de 3 anos para o universo de empresas que compõem o índice Bovespa de ações. A metodologia escolhida foi a de Estudo de Evento, utilizando o Market Model como forma de estimação dos retornos normais das ações para uma janela de estimação de 1 ano. Como resultado verificou-se que as divulgações dos ratings têm influência no preço das ações, sendo esse efeito mais acentuado no caso dos rebaixamentos de rating (downgrades): os investidores tendem a antecipar a divulgação do downgrade já que o preço das ações cai antes dessa data e volta a subir depois dela. Essa conclusão está em linha com a de estudos semelhantes feitos com ações europeias e americanas. Outra conclusão foi a de que separando a amostra de downgrades entre empresas investment grade e non-investment grade o efeito dos anúncios de rating é mais acentuado no segundo grupo.

abstract: While credit rating agencies use both forward-looking and historical information in evaluating a firm's credit risk, the role of forward-looking information in their rating decisions is not well understood. In this study, I examine the association between management earnings guidance news and future credit rating changes. While upward earnings guidance is not informative for credit rating changes, downward earnings guidance is significantly and positively associated with both the likelihood and speed of rating downgrades. In cross-sectional analyses, I find that downward guidance is especially informative in two important circumstances: (i) when a firm's current credit rating is overly optimistic compared to a model predicted rating, and (ii) when the relevance or reliability of alternative information sources is lower. In addition, I find that downward guidance is associated with lower future cash flows, as well as a higher volatility of future cash flows. Overall, the results are consistent with credit rating agencies incorporating voluntary bad news disclosures into their decisions about whether and when to downgrade a firm. / Dissertation/Thesis / Doctoral Dissertation Accountancy 2015

This dissertation introduces a general framework modeling common rating processes in order to aggregate rating information stemming from a variety of raters or rating sources. Ratings play an increasingly important role in our life. They are used to evaluate a variety of objects and activities all over the world. Here we apply our model framework to two different ratings, the credit ratings and the bookmakers odds. Whereas credit ratings represent the evaluation of credit customers or firms by banks or external rating agencies, bookmakers odds are prospective ratings of the performance of the participating players or teams in a sports competition. Despite the fact that these ratings are used in different kind of areas, both rating systems have a very similar underlying rating process. In both rating processes each rater estimates an underlying numerical variable which represent a probability or is directly related to a probability. In the case of credit ratings this probability is the probability of default (PD) of a credit customer or a firm and in the case of bookmakers odds this probability is the probability of winning a specifc sports competition. The proposed model framework is then used to solve the aggregation problem of the two rating processes for different applications yielding different model specifcations. Finally, the model results are used to validate the different underlying rating systems as well as for forecasting. (author's abstract)