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Effect of Market Share and Sales of Credit Rating Agencies on Corporate Bonds’ Default Rates
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2013 (English)Independent thesis Advanced level (degree of Master (One Year)), 40 credits / 60 HE creditsStudent thesis
Abstract [en]

This paper mainly explores how and if sales and increased competition among financial certifiers, namely Fitch, Standard & Poor’s and Moody’s, affect the default rate of corporate bonds. The postulated idea is that distorted credit ratings are created when competing credit rating agencies want to increase their market share or revenue. Data for econometric regressions was taken from three market leaders who have approximately 95% of total market share - Fitch, Moody’s and S&P. The data was collected from each company’s annual balance sheets and bond default rate reports. Two panel data models are constructed to test how corporate bond default rates are affected by sales and market share of credit rating companies. While market share indicated no significance on the bond default rate, the sales proved to be significant enough to increase the bond default rate in the future years. Based on these results, policy recommendations were made.

Place, publisher, year, edition, pages
2013.
Keywords [en]
Credit rating agencies, Credit ratings, Business cycle, Bond de-fault rates, Market share, Sales, Panel data, Regression, Granger causality
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-21417OAI: oai:DiVA.org:hj-21417DiVA, id: diva2:627258
Examiners
Available from: 2013-06-25 Created: 2013-06-11 Last updated: 2013-06-25Bibliographically approved

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Effect of Market Share and Sales of Credit Rating Agencies on Corporate Bonds’ Default Rates(1174 kB)314 downloads
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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • vancouver
  • Other style
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Language
  • de-DE
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  • en-US
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  • nn-NO
  • nn-NB
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  • Other locale
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Output format
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