The debt crisis in several European Union nations has resulted in a set of downgrades in sovereign ratings, sparking a lively debate whether these opinions actually matter. Ratings and bond spreads may both be considered as noisy signals of fundamentals. Ratings only add value if, controlling for spreads and observable country fundamentals, they help explain other market variables. We employed a unique dataset of over 75 000 daily observations on emerging countries around rating actions by the three major agencies. We found that ratings do indeed add information, and this finding is robust to a variety of different tests. Copyright © 2012 John Wiley & Sons, Ltd.