全球智库信息集成服务系统(G2TT): Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-backed Securities

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w17238
来源ID	Working Paper 17238
	Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-backed Securities
	Jie (Jack) He; Jun '; QJ'; Qian; Philip E. Strahan
发表日期	2011-07-21
出版年	2011
语种	英语
摘要	We examine whether rating agencies (Moody's, S&P, and Fitch) reward large issuers of mortgage-backed securities, who bring substantial business, by granting them unduly favorable ratings. The initial yield on both AAA-rated and non-AAA rated tranches sold by large issuers is higher than that on similar tranches sold by small issuers during the market boom years of 2004-2006. Moreover, the prices of MBS sold by large issuers drop more than those sold by small issuers, and the differences are concentrated among tranches issued during 2004-2006. We conclude that large issuers receive more favorable ratings and that the market prices the risk of inflated ratings, especially during booming periods.
主题	Financial Economics ; Financial Institutions
URL	https://www.nber.org/papers/w17238
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/574913
推荐引用方式 GB/T 7714	Jie ,Jun ',QJ',et al. Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-backed Securities. 2011.