Structured debt ratings: Evidence on conflicts of interest

Efing, Matthias; Hau, Harald

doi:10.1016/j.jfineco.2014.11.009

Scientific article

English

Structured debt ratings: Evidence on conflicts of interest

Contributors

Efing, Matthias; Hau, Harald

Published in

Journal of financial economics, vol. 116, no. 1, p. 46-60

Publication date

2015

Abstract

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.

UNIGE affiliation entities

Citation (ISO format)

EFING, Matthias, HAU, Harald. Structured debt ratings: Evidence on conflicts of interest. In: Journal of financial economics, 2015, vol. 116, n° 1, p. 46–60. doi: 10.1016/j.jfineco.2014.11.009

Article (Submitted version)

Identifiers

PID : unige:45308
DOI : 10.1016/j.jfineco.2014.11.009

Additional URL for this publication

http://www.sciencedirect.com/science/article/pii/S0304405X14002554

Journal ISSN

0304-405X

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8downloads

Creation

15/01/2015 11:09:00

First validation

15/01/2015 11:09:00

Update

14/03/2023 22:41:53

Status update

14/03/2023 22:41:53

Last indexation

30/10/2024 22:16:03

Structured debt ratings: Evidence on conflicts of interest

Contributors

Published in

Publication date

Abstract

UNIGE affiliation entities

Citation (ISO format)

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Identifiers

Additional URL for this publication

Journal ISSN

Technical informations

Creation

First validation

Update

Status update

Last indexation