The relation that may exist between rating announcements and bond spreads is unclear. Many event studies have been dedicated to that problem. Norden and Weber (2004 – p. 2816-2817) give a synthesis of these studies. It appears that upgradings have little effect on bond prices, while downgradings may correspond to a change in bond spreads; but, in many cases, the change in bond spreads is prior to the downgrading. Such results cast doubts on the utility and the function of credit rating agencies on bond markets, which usually are supposed to transmit information about issuer default risk. Theoretical analyses of the credit rating agencies ’ role are not numerous. Boot, Milbourn and Schmeits (2006) propose an interesting study about their function. They suggest their role is to provide a “focal point ” to investors, which allows an equalization of investor information and a coordination of their expectations. Moreover, they put forward the idea that credit rating agencies play an important role in monitoring issuing firms through their credit watch procedure. That is the reason why they expect an inscription on a watch list to be the most informative action of an agency. However, this analysis is carried out without taking into account the moral hazard problem which is inherent to the rating activity, since th
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