Rating Shopping or Catering? An Examination of the Response to Competitive Pressure for CDO Credit Ratings

• 成果类型: Article
• 署名作者: Griffin, John M.; Nickerson, Jordan; Tang, Dragon Yongjun
• 署名单位: University of Texas System; University of Texas Austin; University of Hong Kong
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht036
• 发表日期: 2013
• 页码: 2270
• 关键词: AGENCIES; debt

摘要

We examine whether rating shopping or rating catering is a more accurate characterization of rating agency interactions regarding collateralized debt obligations (CDOs). Although investors paid a premium for dual ratings, AAA CDO tranches rated by both Moody's and S&P defaulted more frequently than tranches rated by only one of them, which is inconsistent with pure rating shopping. Rating agencies made upward adjustments beyond their model when their competitor had more lenient assumptions. Finally, consistent with rating catering, S&P's and Moody's adjustments and disagreements at security issuance were reflected in subsequent rating downgrades, suggesting that adjustments were harmful.