Do investors care about credit ratings? An analysis through the cycle

► We investigate the link between bond spreads and ratings throughout the credit cycle. ► We proxy market opaqueness by the spread between Aaa and Baa-rated bonds. ► We show that rating performance worsens as market opaqueness increases. ► We analyze the spreads at issuance of a large sample of corporate bonds. ► We find that, as market opaqueness increases, investors rely less on ratings, and more on private information.