This paper investigates the incentive of credit rating agencies (CRAs) to bias ratings using a semiparametric, ordered-response model. The proposed model explicitly takes conflicts of interest into account and allows the ratings to depend flexibly on risk attributes through a semiparametric index structure. Asymptotic normality for the estimator is derived after using several bias correction techniques. Using Moody’s rating data from 2001 to 2016, I found that firms related to Moody’s shareholders were more likely to receive better ratings. Such favorable treatments were more pronounced in investment grade bonds compared with high yield bonds, with the 2007–2009 financial crisis being an exception. Parametric models, such as the ordered-probit, failed to identify this heterogeneity of the rating bias across different bond categories.

中文翻译：

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公司债券评级模型的半参数估计

本文使用半参数、有序响应模型研究了信用评级机构 (CRA) 偏向评级的动机。所提出的模型明确考虑了利益冲突，并允许评级通过半参数索引结构灵活地依赖于风险属性。在使用几种偏差校正技术之后，得出估计量的渐近正态性。使用穆迪 2001 年至 2016 年的评级数据，我发现与穆迪股东相关的公司更有可能获得更好的评级。与高收益债券相比，投资级债券的这种优惠待遇更为明显，2007-2009 年金融危机是个例外。参数模型（例如有序概率）未能识别不同债券类别之间评级偏差的这种异质性。