Do Credit Ratings Affect Spread and Return? A Study of Structured Finance Products (Digest Summary):F. Moreira and S. Zhao, International Journal of Finance & Economics, Vol. 23, No. 2 (April 2018): 205-217

Jackson, Antony (2018) Do Credit Ratings Affect Spread and Return? A Study of Structured Finance Products (Digest Summary):F. Moreira and S. Zhao, International Journal of Finance & Economics, Vol. 23, No. 2 (April 2018): 205-217. In: UNSPECIFIED CFA Institute.

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Abstract

Using a structural equation modeling technique, the authors find causality from the ratings assigned by credit rating agencies to the credit spreads of asset-backed securities at issuance. The relationship is weaker in the secondary market, where investor attention quickly turns to the performance of stock and bond markets. These results suggest that regulators should focus their efforts on credit ratings at the time of the issuance.

Item Type: Book Section
Additional Information: CFA Digest Summary of 'Do Credit Ratings Affect Spread and Return'; F. Moreira and S. Zhao, International Journal of Finance & Economics, Vol. 23, No. 2 (April 2018): 205-217.
Faculty \ School: Faculty of Science > School of Computing Sciences
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Depositing User: LivePure Connector
Date Deposited: 12 Oct 2018 13:30
Last Modified: 08 Mar 2019 00:56
URI: https://ueaeprints.uea.ac.uk/id/eprint/68511
DOI:

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