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On the information content of sovereign credit rating reports : improving the predictability of rating transitions
ID Slapnik, Ursula (Avtor), ID Lončarski, Igor (Avtor)

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Izvleček
In order to identify novel qualitative determinants of transitions in sovereign credit ratings, we construct six different textual sentiment and subjectivity measures using dictionary-based, and machine learning approaches on sovereign credit rating reports issued by Moody's and Fitch in the period from 2002 to 2017. After controlling for macroeconomic and fiscal strength, soft information, as well as known sources of proximity biases, we find that, on average, these novel text-based measures improve the classification accuracy of downgrades and upgrades. The improvement is more notable for sentiment than subjectivity measures, and for downgrades compared to upgrades. Next, we find evidence that credit rating agencies seem to follow the through-the-cycle rating philosophy by taking a longer horizon into account. Finally, to the best of our knowledge, we offer the most comprehensive analysis of textual sentiment measures and their effect on sovereign credit ratings thus far.

Jezik:Angleški jezik
Ključne besede:financial market, financial instruments, investments, price policy, models, sovereign credit rating reports, rating transitions, textual sentiment analysis, subjectivity, predictability, rating philosophy
Vrsta gradiva:Članek v reviji
Tipologija:1.01 - Izvirni znanstveni članek
Organizacija:EF - Ekonomska fakulteta
Status publikacije:Objavljeno
Različica publikacije:Objavljena publikacija
Leto izida:2021
Št. strani:19 str.
Številčenje:Vol. 73, art. 101344
PID:20.500.12556/RUL-127484 Povezava se odpre v novem oknu
UDK:336
ISSN pri članku:1042-4431
DOI:10.1016/j.intfin.2021.101344 Povezava se odpre v novem oknu
COBISS.SI-ID:60523267 Povezava se odpre v novem oknu
Datum objave v RUL:10.06.2021
Število ogledov:1157
Število prenosov:250
Metapodatki:XML DC-XML DC-RDF
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Gradivo je del revije

Naslov:Journal of international financial markets, institutions & money
Založnik:Elsevier
ISSN:1042-4431
COBISS.SI-ID:2234908 Povezava se odpre v novem oknu

Licence

Licenca:CC BY 4.0, Creative Commons Priznanje avtorstva 4.0 Mednarodna
Povezava:http://creativecommons.org/licenses/by/4.0/deed.sl
Opis:To je standardna licenca Creative Commons, ki daje uporabnikom največ možnosti za nadaljnjo uporabo dela, pri čemer morajo navesti avtorja.

Sekundarni jezik

Jezik:Slovenski jezik
Ključne besede:finančni trg, finančni instrumenti, investicije, politika cen, modeli

Projekti

Financer:ARRS - Agencija za raziskovalno dejavnost Republike Slovenije
Številka projekta:P5-0161
Naslov:Izzivi vlagateljev, podjetij, finančnih institucij in države v negotovem evropskem gospodarskem okolju

Financer:ARRS - Agencija za raziskovalno dejavnost Republike Slovenije
Program financ.:Young researchers

Financer:Drugi - Drug financer ali več financerjev
Program financ.:CELSA

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