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The causes and extent of split sovereign credit ratings in emerging markets.

Alsakka, R. and Ap Gwilym, O. (2012) The causes and extent of split sovereign credit ratings in emerging markets. Emerging Markets Finance and Trade, 48 ((1)). pp. 4-24. DOI: 10.2753/REE1540-496X480101

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Abstract

Sovereign credit rating actions have attracted considerable attention recently. This study employs a rich and unique data set of ratings from six international agencies to investigate the causes of split sovereign ratings in emerging countries. Three reasons are identified in explaining the relatively high frequency of disagreement across agencies on emerging sovereign ratings. First, rating agencies use different economic factors and different weights on those factors. Second, rating agencies disagree to a greater extent about more opaque issuers. Third, for smaller rating agencies, issuers in their "home region" tend to be more favored. The findings should be of interest to a wide range of participants in global credit markets.

Item Type: Article
Subjects: Research Publications
Departments: College of Business, Law, Education and Social Sciences > Bangor Business School
Date Deposited: 09 Dec 2014 16:58
Last Modified: 15 Apr 2016 02:24
URI: http://e.bangor.ac.uk/id/eprint/1599
Identification Number: DOI: 10.2753/REE1540-496X480101
Publisher: Taylor & Francis
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