This paper analyses lead–lag relationships in sovereign ratings across five agencies, and
finds evidence of interdependence in rating actions. Upgrade (downgrade) probabilities are …

The ongoing financial crisis has drawn considerable attention to the role of credit rating
agencies in the financial system. We examine how the foreign exchange market reacts to …

We analyse sovereign watch and outlook signals from Moody's, S&P and Fitch. Prior
literature shows strong market reactions to these signals, which arguably contain more new …

This paper examines the relationship between returns and dividend yield in the UK stock
market, and introduces earnings‐related data to the asset pricing model in the form of payout …

Sovereign credit ratings are becoming increasingly important both within a financial regulatory
context and as a necessary prerequisite for the development of emerging capital markets. …

This paper analyses the effects of sovereign rating actions on the credit ratings of banks in
emerging markets, using a sample from three global rating agencies across 54 countries for …

We investigate the rating channel for the transmission of changes in sovereign risk to the
banking sector, analysing data from Moody's, S&P and Fitch before and during the European …

Motivated by the European debt crisis and the new European Union regulatory regime for
the credit rating industry, we analyse differences of opinion in sovereign credit signals and …

Price clustering and optimal tick sizes have recently been topics of substantial public policy
interest, and this paper presents evidence which is relevant to both debates. Around 98% of …

We analyse the reaction of the foreign exchange spot market to sovereign credit signals by
Fitch, Moody’s and S&P during 1994–2010. We find that positive and negative credit news …