Do asset backed securities ratings matter on average? |
| |
| Institution: | 1. Department of Finance, Monash University, Australia;2. Faculty of Business and Economics, Monash University, Australia;3. The University of Western Australia, Australia;1. Institut Camille Jordan, UMR 5208 CNRS, University Lyon 1, 69622 Villeurbanne, France;2. Institute of Problems of Mechanical Engineering, Russian Academy of Sciences, 199178 Saint Petersburg, Russia;3. Faculté des Sciences, University Hassan II of Casablanca, Casablanca 20100 Maroc, Morocco;1. Georgetown University School of Medicine, Washington, DC;2. Memorial Healthcare System, Hollywood, FL;1. Key Laboratory of National Education Ministry for Nonferrous Metals and Materials Processing Technology, College of Physics Science and Technology, Guangxi University, Nanning 530004, China;2. College of Petroleum and Environmental Engineering, Yan''an University, Yan''an 716000, China |
| |
| Abstract: | This paper assesses the impact of asset backed ratings on the Merrill Lynch US Asset Backed Securities and Commercial Mortgage Backed Securities Index (CABs index) over a period January 1998 through to February 2010. In particular, we examine the relationship between ratings changes of the asset backed securities and the CABS index return. We further investigate how macroeconomic variables affect the relation between change in ratings and the CABS index return. We find that on their own, ratings of assets backed securities do matter to the CABS index return. However, controlling for economic factors appears to reduce the impact of the ratings changes on the CABS index return. |
| |
| Keywords: | Structured finance Credit ratings Asset-backed securities Commercial asset backed securities |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
