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Did investors outsource their risk analysis to rating agencies? Evidence from ABS-CDOs


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Mählmann, Thomas:
Did investors outsource their risk analysis to rating agencies? Evidence from ABS-CDOs.
In: Journal of banking & finance. 36 (2012) 5. - S. 1478-1491.
ISSN 0378-4266


Based on a sample of 3254 floating rate tranches from 617 ABS-CDOs (collateralized debt obligations backed by asset-backed securities), this paper tests the “rating overdependence” hypothesis – i.e., that ratings of structured products are a sufficient statistic (in terms of predicting future credit performance) for yield spreads at origination. The paper’s findings are fourfold. First, yield spreads at issuance predict future performance of ABS-CDO tranches even after controlling for the information contained in ratings. Second, the ability of yield spreads to predict future performance, however, is driven exclusively by ratings below AAA (and, to a lesser extent, also by the lowest priority AAA tranches), whereas spreads of super senior AAA tranches show no information content. Third, the predictive ability of yield spreads is lower for tranches from later vintages and for tranches from deals with more complex collateral pools. Fourth, the conditional correlation between ratings and spreads, in turn, is increasing in time and higher for tranches from complex deals. In sum, the evidence indicates that investors in (especially AAA) tranches from later and more complex deals have avoided performing costly due diligence on the securities they bought.

Weitere Angaben

Institutionen der Universität:Wirtschaftswissenschaftliche Fakultät > Betriebswirtschaftslehre > Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzierung und Banken
Titel an der KU entstanden:Ja
Eingestellt am:28. Aug 2012 17:17
Letzte Änderung:04. Sep 2012 18:51
URL zu dieser Anzeige:http://edoc.ku-eichstaett.de/11723/