Do asset backed securities ratings matter on average?

Bissoondoyal-Bheenick, E, Brooks, R and Treepongkaruna, S 2015, 'Do asset backed securities ratings matter on average?', Research in International Business and Finance, vol. 33, pp. 32-43.


Document type: Journal Article
Collection: Journal Articles

Title Do asset backed securities ratings matter on average?
Author(s) Bissoondoyal-Bheenick, E
Brooks, R
Treepongkaruna, S
Year 2015
Journal name Research in International Business and Finance
Volume number 33
Start page 32
End page 43
Total pages 12
Publisher Elsevier
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.
Subject Finance
Keyword(s) Asset-backed securities
Commercial asset backed securities
Credit ratings
Structured finance
DOI - identifier 10.1016/j.ribaf.2014.05.004
Copyright notice © 2014 Elsevier B.V. All rights reserved.
ISSN 0275-5319
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