Are Unsolicited Bank Credit Ratings Biased Downward? --- A Matching Approach
Resource
經濟論文叢刊, 40(2), 149-188
Journal
經濟論文叢刊
Journal Volume
40
Journal Issue
2
Pages
149-188
Date Issued
2012-06
Date
2012-06
Author(s)
Huang, Y.L.
Chang, Y.
Shen, C.H.
Abstract
This paper examines whether there is downward bias in Fitch's unsolicited bank credit ratings relative to solicited ratings using a matching approach. The sample for this study consists of those banks that had Fitch's Bank Individual Ratings (FBRs) during 2002--2005. There are 3,881 observations from 91countries, including 3,433 solicited ratings and 448 unsolicited ratings. By employing matching methods developed by Rubin (1973) and Rosenbaum and Rubin (1983, 1985a,b), four matching algorithms, Nearest, Caliper, Mahala and Mahala Caliper, are used to match the financial characteristics of two groups of banks in order to correct for sample selection bias. Our evidence shows that before sample matching, banks received unsolicited ratings have weaker financial profiles and this could partially explain why they also get lower ratings. Based on after-matching samples, most of the evidence suggests that unsolicited ratings are still biased downward after controlling for differences in key financial characteristics.
Subjects
不請自來的銀行信評(Unsolicited Bank Credit Ratings), 選擇偏誤(Self-selection Bias), 配對方法(Matching)
Type
journal article
File(s)![Thumbnail Image]()
Loading...
Name
4002_201206_1.pdf
Size
21.35 MB
Format
Adobe PDF
Checksum
(MD5):a9321923b154cb76e67e18f80e737aea