Do Credit Rating Agencies Learn from the Options Market?

Do credit rating agencies (CRAs) learn from the options market? We examine this question by exploring the relation between options trading activity and credit rating accuracy. We find that as options trading volume increases, credit ratings become more responsive to expected credit risk and exhibit...

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Veröffentlicht in:	Management science 2024-11, Vol.70 (11), p.7851-7867
Hauptverfasser:	Brockman, Paul, Subasi, Musa, Wang, Jeff, Zhang, Eliza
Format:	Artikel
Sprache:	eng
Schlagworte:	Accuracy credit rating credit rating accuracy Credit ratings Credit risk Credit unions default probability options market Options markets Options trading Rating services Trading Uncertainty
Online-Zugang:	Volltext
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