Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/293640 
Year of Publication: 
2010
Citation: 
[Journal:] Kredit und Kapital [ISSN:] 1865-5734 [Volume:] 43 [Issue:] 3 [Year:] 2010 [Pages:] 349-374
Publisher: 
Duncker & Humblot, Berlin
Abstract: 
Stabilität versus Aktualität – Wann sind stabile Agency-Ratings marktbasierten Bewertungen vorzuziehen? Die Arbeit analysiert auf theoretischer Basis Vor- und Nachteile einer langfristig stabilen versus aktuellen, volatileren Informationsbasis anhand strategischer Portfolioentscheidungen. Die Effekte einer Bewertungsmethode hängen von den Charakteristika der beurteilten Vermögenswerte (Assets), insbesondere ihrer Spezifität und Laufzeit, ab. Stabile Agency-Ratings mindern die Preisvolatilität unspezifischer Assets. Der Handel mit kurzlaufenden Assets erfolgt dagegen effizienter unter Verwendung marktbasierter Ratings. Für langlaufende Assets sind sowohl der Spezifitätsgrad, das Upside-/Downside-Risiko sowie das Rating-Niveau entscheidend. Insbesondere für spezifische Assets dominieren Agency-Ratings bei hinreichend hohen Rating-Levels sowie geringen Transaktionkosten. Rating-Herabstufungen können zu sprunghaft ansteigender Handelsineffizienz führen. (JEL D82, G14, G24)
Abstract (Translated): 
Stability versus Topicality – When are Stable Agency Ratings to be Preferred to Market-Based Evaluations? This article analyses in theoretical terms on the basis of strategic portfolio decisions the pros and cons of an information basis that is stable in the long term versus one that is topical, but more volatile. The effects of an evaluation method depend on the characteristics of the assets evaluated, notably their specificity and lifetime. Stable agency ratings mitigate the volatility of unspecific asset prices. On the other hand, the trade in short-term assets is more efficient when marked-based ratings are applied. For long-term assets, the degree of specificity, the upside/downside risk and the rating level are decisive. For specific assets, in particular, agency ratings are dominant where rating levels are sufficiently high and where transaction costs are low. Downgrading of ratings may result in trading inefficiencies increasing by leaps and bounds.
JEL: 
D82
G14
G24
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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