This paper examines the information content in Moody's rating action reports, which Moody's releases concurrently with its rating actions. Using a topic modeling approach, we identify two informative topics after controlling for rating characteristics and report tones. We find that unfavorable discussion of the topic (about issuers' financial performance) generates a significant positive market reaction, while unfavorable discussion of the topic (about issuers' liquidity profile) generates a significant negative market reaction around rating actions. Together, these two topics increase the explanatory power of market reaction around rating actions by over 10%. Further analysis reveals significant associations between these two topics and future default likelihood and debt-paying ability, and the associations are consistent with market reaction to these topics. Although investors have less confidence in rating reports following the Dodd-Frank Act, these two topics are more predictive of future default probabilities. Overall, we find that rating reports topics provide important information to investors as they significantly predict future default likelihood and financial performance.

中文翻译：

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评级行动报告的信息内容：主题建模方法


本文研究了穆迪评级行动报告中的信息内容，该报告是穆迪与评级行动同时发布的。使用主题建模方法，我们在控制评级特征和报告语气后识别出两个信息丰富的主题。我们发现，对主题（关于发行人的财务业绩）的不利讨论会产生显着的积极市场反应，而对主题（关于发行人的流动性状况）的不利讨论则会对评级行动产生显着的负面市场反应。这两个主题共同将评级行动的市场反应的解释力提高了 10% 以上。进一步的分析揭示了这两个主题与未来违约可能性和偿债能力之间的显着关联，并且这些关联与市场对这些主题的反应一致。尽管投资者对多德弗兰克法案之后的评级报告信心不足，但这两个主题更能预测未来的违约概率。总体而言，我们发现评级报告主题为投资者提供了重要信息，因为它们可以显着预测未来的违约可能性和财务业绩。