Journal
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
Volume 33, Issue -, Pages 32-43Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ribaf.2014.05.004
Keywords
Structured finance; Credit ratings; Asset -backed securities; Commercial asset backed securities
Categories
Funding
- Department Grant at Monash University
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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. (C) 2014 Elsevier B.V. All rights reserved.
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