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Non-U.S. Asset-Backed Securities : Spread Determinants and Over-Reliance on Credit Ratings
Vink, Dennis - 2012
In this paper, we empirically investigate two economic issues (1) the factors that affect the primary market spread on non-U.S. asset-backed securities and (2) whether investors rely solely on credit ratings and ignore other credit-related factors. We do so by using a panel-data fixed-effects...
Persistent link: https://www.econbiz.de/10013116948
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The Regulation of Credit Rating Agency Across USA and EU : Different Systems, Same Concerns
conte, elisabetta - 2013
Credit Rating Agencies (CRAs) have been a market entity relatively neglected by regulators and commenters, despite the increasing importance they have had in the 20th century financial markets development. Different legal system as United States of America and European Union have both recently...
Persistent link: https://www.econbiz.de/10013086957
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Who Transfers Credit Risk? Determinants of the Use of Credit Derivatives by Large US Banks
Ashraf, Dawood - 2013
the motivation for bank participation in credit derivative markets and, conditional on participation, the factors that …
Persistent link: https://www.econbiz.de/10013074971
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Insider Trading and Credit Rating : Evidence from the US
Kiwia, Bill M. - 2016
In this paper I examine the relationship between credit rating and insider trading of 301 firms from 2000-2006 for S&P 500 Index firms. I argue that changes to the firm credit rating may increase (decrease) informed trading activities. This investigation is essential since insiders with private...
Persistent link: https://www.econbiz.de/10013007580
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Corporate credit risk premia
Berndt, Antje; Douglas, Rohan; Duffie, Darrell; … - 2017
We measure credit risk premia---prices for bearing corporate default risk in excess of expected default losses---using Markit CDS and Moody's Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during the global financial crisis of 2008-09, and in...
Persistent link: https://www.econbiz.de/10011873159
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Consistent valuation of project finance and LBO's using the flows-to-equity method
Cooper, Ian; Nyborg, Kjell G. - 2010
A common method of valuing the equity in highly leveraged transactions is the flows-to-equity method. When applying this method various formulas can be used to calculate the time-varying cost of equity. In this paper we show that some commonly used formulas are inconsistent with the assumptions...
Persistent link: https://www.econbiz.de/10008797682
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Hidden liquidity : determinants and impact
Cebiroglu, Gökhan; Horst, Ulrich - 2012
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...
Persistent link: https://www.econbiz.de/10009506557
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Securitization and moral hazard : evidence from a lender cutoff rule
Bubb, Ryan; Kaufman, Alex - 2009
perapplicant fixed costs in screening. We then demonstrate that our theory fits the data better than the main alternative theory … already in the literature, which supposes cutoff rules are exogenously used by securitizers. Furthermore, we use our theory to …
Persistent link: https://www.econbiz.de/10003941871
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Statistical properties and stability of ratings in a subset of US firms
Matthies, Alexander B. - 2013
Standard explanatory variables that determine credit ratings do not achieve significant effects in a sample of 100 US non-financial firms in an ordered probit panel estimation. Sample size and selection as well as the distribution of explanatory variables across rating classes may be the cause...
Persistent link: https://www.econbiz.de/10009681829
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Securitization and moral hazard : evidence from credit score cutoff rules
Bubb, Ryan; Kaufman, Alex - 2011 - This version: August 30, 2011
research has hypothesized that these cutoff rules result from a securitization rule of thumb. Under this theory, an observed … model that rationalizes such an origination rule of thumb. Under this alternative theory, jumps in default are not evidence … securitization rule-of-thumb theory but consistent with the origination rule-of-thumb theory. There are jumps in the number of loans …
Persistent link: https://www.econbiz.de/10009298472