{"id":{"repo_id":"brock","oai_identifier":"oai:brocku.scholaris.ca:10464/4179"},"canonical_url":"https://search.dev.ndltd.org/etd/brock/oai:brocku.scholaris.ca:10464/4179","repository":{"repo_id":"brock","name":"Brock University","base_url":"https://brocku.scholaris.ca/server/oai/request"},"display":{"title":"The Informational Value of Corporate Credit Ratings","abstract":"This thesis examines the quality of credit ratings issued by the three major credit rating agencies - Moody’s, Standard and Poor’s and Fitch. If credit ratings are informative, then prices of underlying credit instruments such as fixed-income securities and credit default insurance should change to reflect the new credit risk information. Using data on 246 different major fixed income securities issuers and spanning January 2000 to December 2011, we find that credit default swaps (CDS) spreads do not react to changes in credit ratings. Hence credit ratings for all three agencies are not price informative. CDS prices are mostly determined by historical CDS prices while ratings are mostly determined by historical ratings. We find that credit ratings are marginally more sensitive to CDS than CDS are sensitive to ratings.","abstract_html":"This thesis examines the quality of credit ratings issued by the three major credit rating agencies - Moody’s, Standard and Poor’s and Fitch. If credit ratings are informative, then prices of underlying credit instruments such as fixed-income securities and credit default insurance should change to reflect the new credit risk information. Using data on 246 different major fixed income securities issuers and spanning January 2000 to December 2011, we find that credit default swaps (CDS) spreads do not react to changes in credit ratings. Hence credit ratings for all three agencies are not price informative. CDS prices are mostly determined by historical CDS prices while ratings are mostly determined by historical ratings. We find that credit ratings are marginally more sensitive to CDS than CDS are sensitive to ratings.","abstract_has_math":false,"creators":["Densmore, Mike"],"institution":"Brock University","degree_name":"M.Sc. Management","degree_level":"Masters","degree_discipline":"Faculty of Business","degree_department":"Faculty of Business Programs","school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2013,"date_issued":"2013-01-14","date_published":"2013-01-14","updated_at":"2026-07-24T01:23:16Z","subjects":["Credit Ratings"],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/10464/4179","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.department","label":"Department","values":["Faculty of Business Programs"]},{"key":"dc:creator","label":"Author","values":["Densmore, Mike"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2013-01-14T19:00:18Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2013-01-14T19:00:18Z"]},{"key":"dc:date.issued","label":"Date","values":["2013-01-14"]},{"key":"dc:type","label":"Dc Type","values":["Electronic Thesis or Dissertation"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Faculty of Business"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Masters"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.Sc. 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If credit ratings are informative, then prices of underlying credit instruments such as fixed-income securities and credit default insurance should change to reflect the new credit risk information. Using data on 246 different major fixed income securities issuers and spanning January 2000 to December 2011, we find that credit default swaps (CDS) spreads do not react to changes in credit ratings. Hence credit ratings for all three agencies are not price informative. CDS prices are mostly determined by historical CDS prices while ratings are mostly determined by historical ratings. We find that credit ratings are marginally more sensitive to CDS than CDS are sensitive to ratings."]},{"key":"dc:title","label":"Title","values":["The Informational Value of Corporate Credit Ratings"]}]}],"canonical_facts":{"dc:contributor.department":["Faculty of Business Programs"],"dc:creator":["Densmore, Mike"],"dc:date.accessioned":["2013-01-14T19:00:18Z"],"dc:date.available":["2013-01-14T19:00:18Z"],"dc:date.issued":["2013-01-14"],"dc:description.abstract":["This thesis examines the quality of credit ratings issued by the three major credit rating agencies - Moody’s, Standard and Poor’s and Fitch. If credit ratings are informative, then prices of underlying credit instruments such as fixed-income securities and credit default insurance should change to reflect the new credit risk information. Using data on 246 different major fixed income securities issuers and spanning January 2000 to December 2011, we find that credit default swaps (CDS) spreads do not react to changes in credit ratings. Hence credit ratings for all three agencies are not price informative. CDS prices are mostly determined by historical CDS prices while ratings are mostly determined by historical ratings. We find that credit ratings are marginally more sensitive to CDS than CDS are sensitive to ratings."],"dc:identifier.uri":["http://hdl.handle.net/10464/4179"],"dc:language.iso":["eng"],"dc:subject":["Credit Ratings"],"dc:title":["The Informational Value of Corporate Credit Ratings"],"dc:type":["Electronic Thesis or Dissertation"],"thesis:degree_discipline":["Faculty of Business"],"thesis:degree_level":["Masters"],"thesis:degree_name":["M.Sc. Management"],"thesis:institution_name":["Brock University"]},"updated_at":"2026-07-24T01:23:16Z"}