Do rating agencies exhibit herding behaviour? Evidence from sovereign ratings
Do rating agencies exhibit herding behaviour? Evidence from sovereign ratings
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DOI：
10.1016/j.irfa.2019.04.011
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发表时间：
2019-07-01
影响因子：
8.2
通讯作者：
Webb, Rob
中科院分区：
文献类型：
--
作者：
Chen, Zhongfei;Matousek, Roman;Webb, Rob
我们评估羊群效应的存在，考虑领先滞后关系的主权评级由三个主要评级机构在个别国家的水平。鉴于不同的评级机构可能对不同的国家有不同的专门知识（声誉），因此各国之间的领先-滞后关系并不明显。因此，我们在此背景下进行可合并性测试，以评估这一假设，并找到异质性的证据。这导致我们进行逐国时间序列测试，以评估机构之间的领先-滞后关系。据我们所知，我们是第一个这样做的，从而扩大了文献羊群效应之间的评级机构的主权转让。我们还考虑了通过将样本分为危机前和危机时期来评估任何羊群行为的程度，并通过时间将领先-滞后关系的变化进行评估，我们的结果表明了一定程度的异质性。就存在羊群效应而言，我们发现，它通常是针对标准普尔的评级，这证实了我们的预期，因为该机构被认为拥有最大的声誉资本。然而，我们的研究结果并不支持惠誉是一个追随者（领导者）比穆迪更多的国家的期望。
We assess the presence of herding by considering the lead-lag relationship of sovereign ratings assigned by the three main rating agencies at the individual country level. Given that different rating agencies may have different levels of expertise (reputation) for different countries it is not obvious that the lead-lag relationship is homogeneous across countries. We therefore conduct poolability tests within this context to assess this assumption and find evidence of heterogeneity. This leads us to conduct country-by-country time-series tests to assess the lead-lag relationship among agencies. To our knowledge we are the first to do this and thereby extend the literature on herding among rating agencies' sovereign assignments. We also consider changes in the lead-lag relationship through time by splitting the sample into pre-crisis and crisis periods to assess the extent to which any herding is intentional and our results indicate some degree of heterogeneity through time. To the extent that there is herding we find that it is generally towards Standard and Poor's ratings confirming our expectations given that this agency is regarded as possessing the greatest reputational capital. However, our results do not support the expectation that Fitch is a follower for more (a leader for less) countries than Moody's.