Understanding sovereign credit ratings: Text-based evidence from the credit rating reports

We apply a novel approach to identifying the qualitative judgment of the rating committee in sovereign credit ratings by extending the traditional regression with new measures – sentiment and subjectivity scores – obtained by textual sentiment analysis methods. Using an ordered logit with random eff...

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Bibliographic Details
Published in:Journal of international financial markets, institutions & money institutions & money, 2023-10, Vol.88, p.101838, Article 101838
Main Authors: Slapnik, Ursula, Lončarski, Igor
Format: Article
Language:English
Subjects:
Bias
Soft information
Sovereign credit rating reports
Sovereign credit ratings
Subjectivity
Textual sentiment analysis
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