Credit Ratings and the Evolution of the Mortgage-Backed Securities Market
By Jie He, J. Qian, Philip E. Strahan. 2011
125 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/55bffd6b71a65e2ef79aa6bcfafc3f4f89e80121
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In Economics and Econometrics
In Finance
Citations in the corpus
- The Credit Ratings Game (2012, unknown): “On the relationship between current payo¤s and ratings in‡ation, He, Qian, and Strahan (2009) …nd that MBS tranches sold by larger issuers38 performed signi…cantly worse (market prices decreased) than those sold by small issuers during the boom period of 2004-2006.”
- Rating Agency Adjustments to GAAP Financial Statements and Their Effect on Ratings and Credit Spreads (2015, methodology): “Rating predictions models are estimated in Horrigan (1966), West (1970), Pogue and Soldofsky (1969), Pinches and Mingo (1973), Kaplan and Urwitz (1979), Ederington (1985), and Blume et al.”
- Rating Shopping or Catering? An Examination of the Response to Competitive Pressure for CDO Credit Ratings (2013, unknown): “He, Qian, and Strahan (2011, 2012) find that while larger issuers received more favorable MBS ratings at issuance and experienced subsequent worse performance, deals from larger issuers also sold at higher yields, suggesting that investors were at least partially aware of the additional risk.”
- Ratings Quality Over the Business Cycle (2013, background): “First, consider that a CRA’s primary expenditure is in skilled human capital.”
- Feedback effects of credit ratings (2013, background): “In contrast, He, Qian, and Strahan (2010) find that rating agencies reward large issuers of mortgage-backed securities by granting them unduly favorable ratings.”
- Accounting for financial stability: Bank disclosure and loss recognition in the financial crisis (2021, unknown): “considered to be very safe but then experienced large price decreases and many were downgraded over the course of the crisis (e.g., Benmelech and Dlugosz, 2009; Ashcraft et al., 2011; He et al., 2011).”
- Do Rating Agencies Cater? Evidence from Rating-Based Contracts (2015, unknown): “Indeed, the literature on ratings of structured finance products has not resolved the debate whether rating inflation is due to explicit catering for business reasons or whether credit risk is underestimated because of implicit catering due to erroneous judgments (Coval et al. 2009; Ashcraft et al. ”