Does the Market Understand Rating Shopping? Predicting MBS Losses with Initial Yields

• 成果类型: Article
• 署名作者: He, Jie (Jack); Qian, Jun (Q. J. ); Strahan, Philip E.
• 署名单位: University System of Georgia; University of Georgia; Shanghai Jiao Tong University; Boston College; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv067
• 发表日期: 2016
• 页码: 457
• 关键词: credit ratings

摘要

We study rating shopping on the MBS market. Outside of AAA, losses are higher on single-rated tranches than on multi-rated ones, and yields predict future losses for single-rated tranches, but not for multi-rated ones. Conversely, ratings have less explanatory power for single-rated tranches. These results suggest that single-rated tranches have been shopped, whereby pessimistic ratings never reach the market. For AAA-rated MBS, by contrast, 93% receive two or three such ratings, and those ratings agree 97% of the time. This ratings convergence suggests that agencies cater to investors, who cannot purchase a tranche unless it has multiple AAA ratings.