Do asset backed securities ratings matter on average?

Emawtee Bissoondoyal-Bheenick, Robert Brooks and Sirimon Treepongkaruna

Research in International Business and Finance, 2015, vol. 33, issue C, 32-43

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 (search for similar items in EconPapers)
JEL-codes: G15 G24 G28 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:33:y:2015:i:c:p:32-43

DOI: 10.1016/j.ribaf.2014.05.004

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