Revolving Ratina Analysts and Ratings of Mortgage-Backed and Asset-Backed Securities: Evidence from LinkedIn

• 成果类型: Article
• 署名作者: Jiang, John (X. ); Wang, Isabel Y.; Wang, K. Philip
• 署名单位: Michigan State University; Michigan State University's Broad College of Business; State University System of Florida; University of Florida
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.2921
• 发表日期: 2018
• 页码: 5832-5854
• 关键词: credit ratings; rating analysis; Mortgage-backed securities; Asset-backed securities; MBS; ABS; Financial crisis; LinkedIn; revolving door Moody's; S&P; Fitch

摘要

This study examines whether revolving rating analysts who transition from major rating agencies to issuers are associated with any rating inflation in the issuers' mortgage-backed securities (MBS) or asset-backed securities (ABS). Using professional profiles posted on LinkedIn to identify revolving rating analysts with structured finance rating experience, we find that the more the issuers employ such analysts, the more likely that ratings of issuers' MBS and ABS new issuances are inflated compared with otherwise similarly rated securities. Additional analyses show that the impact of revolving rating analysts is more pronounced in complex deals and when the revolving analysts are more senior, indicating that rating expertise in structured finance may play a role in MBS and ABS rating inflation. Finally, we find that at least for AAA-rated MBS and ABS, investors fail to see through the rating inflation associated with revolving rating analysts.