Structured debt ratings: Evidence on conflicts of interest

• 成果类型: Article
• 署名作者: Efing, Matthias; Hau, Harald
• 署名单位: University of Geneva
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.11.009
• 发表日期: 2015
• 页码: 46-60
• 关键词: credit ratings; Ratings inflation; Conflict of interest; Structured debt

摘要

We test if issuers of asset- and mortgage-backed securities receive rating favors from agencies with which they maintain strong business relationships. Controlling for issuer fixed effects and a large set of credit risk determinants, we show that agencies publish better ratings for those issuers that provide them with more bilateral securitization business. Such rating favors are larger for very complex structured debt deals and for deals issued during the credit boom period. Our analysis is based on a new deal-level rating statistic that accounts for the full distribution of tranche ratings below the AAA cut-off point of a structured debt deal. (C) 2014 Elsevier B.V. All rights reserved.