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dc.contributor.authorChen, Zhongfeien_UK
dc.contributor.authorMatousek, Romanen_UK
dc.contributor.authorStewart, Chrisen_UK
dc.contributor.authorWebb, Roben_UK
dc.description.abstractWe assess the presence of herding by considering the lead-lag relationship of sovereign ratings assigned by the three main rating agencies at the individual country level. Given that different rating agencies may have different levels of expertise (reputation) for different countries it is not obvious that the lead-lag relationship is homogeneous across countries. We therefore conduct poolability tests within this context to assess this assumption and find evidence of heterogeneity. This leads us to conduct country-by-country time-series tests to assess the lead-lag relationship among agencies. To our knowledge we are the first to do this and thereby extend the literature on herding among rating agencies' sovereign assignments. We also consider changes in the lead-lag relationship through time by splitting the sample into pre-crisis and crisis periods to assess the extent to which any herding is intentional and our results indicate some degree of heterogeneity through time. To the extent that there is herding we find that it is generally towards Standard and Poor's ratings confirming our expectations given that this agency is regarded as possessing the greatest reputational capital. However, our results do not support the expectation that Fitch is a follower for more (a leader for less) countries than Moody's.en_UK
dc.publisherElsevier BVen_UK
dc.relationChen Z, Matousek R, Stewart C & Webb R (2019) Do rating agencies exhibit herding behaviour? Evidence from sovereign ratings. International Review of Financial Analysis, 64, pp. 57-70.
dc.rightsThis item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study. Accepted refereed manuscript of: Chen Z, Matousek R, Stewart C & Webb R (2019) Do rating agencies exhibit herding behaviour? Evidence from sovereign ratings. International Review of Financial Analysis, 64, pp. 57-70. DOI: © 2019, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
dc.subjectSovereign ratingsen_UK
dc.subjectCross-country heterogeneityen_UK
dc.titleDo rating agencies exhibit herding behaviour? Evidence from sovereign ratingsen_UK
dc.typeJournal Articleen_UK
dc.rights.embargoreason[Cheng_Matousek_Stewart_Webb_R1-1.pdf] Publisher requires embargo of 18 months after formal publication.en_UK
dc.citation.jtitleInternational Review of Financial Analysisen_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.contributor.funderUniversity of Nottinghamen_UK
dc.contributor.affiliationJinan Universityen_UK
dc.contributor.affiliationUniversity of Nottinghamen_UK
dc.contributor.affiliationKingston Universityen_UK
dc.contributor.affiliationUniversity of Nottinghamen_UK
Appears in Collections:Accounting and Finance Journal Articles

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