Do asset backed securities ratings matter on average?

Emawtee Bissoondoyal-Bheenick, Robert Darren Brooks, Sirimon Treepongkaruna

Research output: Contribution to journalArticleResearchpeer-review

4 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)32 - 43
Number of pages12
JournalResearch in International Business and Finance
Volume33
DOIs
Publication statusPublished - 2015

Cite this

Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert Darren ; Treepongkaruna, Sirimon. / Do asset backed securities ratings matter on average?. In: Research in International Business and Finance. 2015 ; Vol. 33. pp. 32 - 43.
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Do asset backed securities ratings matter on average? / Bissoondoyal-Bheenick, Emawtee; Brooks, Robert Darren; Treepongkaruna, Sirimon.

In: Research in International Business and Finance, Vol. 33, 2015, p. 32 - 43.

Research output: Contribution to journalArticleResearchpeer-review

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N2 - 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.

AB - 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.

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