Investors’ understanding of Emerging Markets (EMs) is central to debates about global capital allocation, risk pricing, and financial stability. In particular, the ability of investors to interpret and respond to evolving credit signals has become increasingly important in a world of heightened volatility and rapid information flow. In more recent years, the proliferation of market-based indicators—particularly Market-Implied Ratings (MIRs)—has offered new tools for assessing sovereign credit risk, supplementing or challenging traditional agency ratings from the likes of S&P, Fitch and Moody’s. This paper examines the relationship between MIRs and agency ratings across twelve EM sovereigns, analysing how rating gaps evolved before, during, and after recent global shocks. By comparing these dynamics over a twenty-year horizon, the paper provides a longitudinal perspective on investor behaviour. It documents that while MIRs can often diverge significantly from agency ratings—reflecting market skepticism or exuberance—these gaps have narrowed in the post-pandemic period. Such convergence suggests a maturing of investor perspectives and a deeper integration of EMs into global financial frameworks. More importantly, the volatility of gaps between MIRs and ratings has changed significantly for EMs, moving towards that seen for major advanced economies. These findings suggest that although investors’ grasp of EM fundamentals has improved, market pricing continues to reflect both structural information asymmetries and episodic sentiment-driven deviations.