Milidonis, Andreas.
Journal of Banking & Finance, Volume 37 (9), 3716–3732.
Publication year: 2013
  • We conduct lead-lag analysis of insurance bond ratings (BRs) and financial strength ratings (FSRs).
  • Ratings by both investor-paid and issuer-paid rating agencies are used.
  • We find a bi-directional relationship between issuer-paid BRs and issuer-paid FSRs.
  • Investor-paid BRs predict issuer-paid FSRs.
  • Predictability is associated with a 30-day, post-downgrade cumulative abnormal return of -4%.
  • This article won the SCOR/EGRIE Best Paper Award (2012).