2016年第十六期学术报告通讯

发布时间:2016-07-07

由上海财经大学会计与财务研究院主办的学术讨论会于201675日上午十点在会计学院楼322室召开。

本次讨论会邀请来自美国Fordham UniversityXie Yuan教授做学术报告,报告题目是《The Timing of Rating Change Announcements》。

讨论会由我院董慧老师主持,众多学者以及对学术有浓厚兴趣的在读博士生和硕士生参加了讨论。

讨论会气氛轻松而热烈,董慧老师首先将个人经历以及学术成就进行了介绍。教授现任职于美国Fordham University,已在国际顶尖期刊发表多篇论文。

This study examines the intraday timing of rating change announcements by credit rating agencies. It documents that rating downgrades are more likely to be announced after the market is closed than before and during trading hours. There are two potential channels to explain this phenomenon. The first is called opportunity hypothesis, which is that rating agencies opportunistically time their rating downgrades in an attempt to hide bad news during times of lower investor attention and to cater to their clients. The other is called information hypothesis, which is that it would be a benign strategic decision by credit rating analysts to more broadly disseminate the information and to give investors enough time to process the bad news. The further evidence is generally consistent with the later hypothesis, as they find that credit rating agencies are more likely to announce downgrades afterhours when downgrades have relatively larger adverse consequences and are unexpected.

For cross-sectional tests, they find that downgrades for financial firms, whose business model is dependent on high ratings, and downgrades that are not preceded by a watch list addition are more likely to be announced afterhours. They also find downgrades are more likely to be announced afterhours when investors need more time to process an individual firms rating change, more specifically when they occur on busy days with more concurrent rating change announcements.

谢老师的报告引发了与会学者与同学的兴趣。众多学者都与嘉宾进行了热烈的探讨。从研究角度到变量选取,从影响机制到经济后果等,学者们各抒己见,与嘉宾的思想进行交流碰撞(有关讨论具体问答见文后的附录部分)。与会者也针对谢老师的论文提出了一些有趣的意见,他也表示会根据这些意见对文章进行进一步拓展。在场同学们更是在老师与嘉宾的交流中了解到了做学问的种种细节,感受到锤炼求真的学术精神,获益匪浅。

最后,在一篇热烈的掌声中,此次学术报告会圆满落幕。

 

附录:

QIf CRAs choose to time the downgrade announcement to cater to the client, we should observe that the market reactions are better for afterhours downgrade announcement?

AEx-post, yes. But when CRAs make this decision, it’s ex-ante.

 

QWhether the rating is corporate rating or ratings on financial instruments?

ACorporate rating.

 

QWhy CRAs choose to time the downgrade for some firms but not others?

AResults show that when the impact of downgrade is static, CRAs are more likely to time the downgrade.

 

QEven if the market reactions for the different timing of downgrade announcement are similar, whether the volatilities are different?

AWe will check that.