信用评级
发行人
会计
债券信用评级
业务
精算学
代理(哲学)
资信证明
财务
信用风险
哲学
认识论
作者
Allen Huang,Pepa Kraft,Shiheng Wang
出处
期刊:The Accounting Review
[American Accounting Association]
日期:2023-08-01
卷期号:98 (7): 347-376
被引量:1
标识
DOI:10.2308/tar-2021-0874
摘要
ABSTRACT This study examines whether and when credit ratings are useful for accounting fraud prediction. We find that negative rating actions by Standard & Poor’s (S&P), an issuer-paid credit rating agency (CRA), have predictive ability for fraud incremental to fraud prediction models (e.g., F-score) and other market participants. In contrast, rating actions by Egan-Jones Rating Company (EJR), an investor-paid CRA relying on public information, have less predictive ability, which is subsumed by S&P and other market participants. Our results are robust to including firms not covered by EJR, using only rating downgrades, controlling for firm characteristics, and using alternative benchmarks. We also find that the ability of negative S&P rating actions to predict fraud becomes stronger after the 2008–2009 financial crisis. Last, compared with EJR, S&P is quicker to take negative rating actions against fraud firms. In sum, our results suggest that issuer-paid CRAs’ information advantage helps predict accounting fraud. Data Availability: Data are available from the public sources cited in the text. JEL classifications: G24; K22; M41.
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