en
Scientific article
English

Structured debt ratings: Evidence on conflicts of interest

Published inJournal of financial economics, vol. 116, no. 1, p. 46-60
Publication date2015
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.

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
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ISSN of the journal0304-405X
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Creation01/15/2015 11:09:00 AM
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