Using a sample of issuers rated by Moody’s and S&P, we find evidence that Moody’s rating change intensities are higher given a rating change by S&P. This seems to be tentative evidence that S&P assigns ratings in a timelier manner than Moody’s. Second, we find that the tendency towards...

We study rating shopping on the MBS market. Outside of AAA, losses were higher on single-rated tranches than multi-rated ones, and yields predict future losses for single-rated tranches but not for multi-rated ones. Conversely, ratings have less explanatory power for single-rated tranches. These...