Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 32 - 43 |
| Number of pages | 12 |
| Journal | Research in International Business and Finance |
| Volume | 33 |
| DOIs | |
| Publication status | Published - 2015 |
Cite this
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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 journal › Article › Research › peer-review
TY - JOUR
T1 - Do asset backed securities ratings matter on average?
AU - Bissoondoyal-Bheenick, Emawtee
AU - Brooks, Robert Darren
AU - Treepongkaruna, Sirimon
PY - 2015
Y1 - 2015
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.
U2 - 10.1016/j.ribaf.2014.05.004
DO - 10.1016/j.ribaf.2014.05.004
M3 - Article
VL - 33
SP - 32
EP - 43
JO - Research in International Business and Finance
JF - Research in International Business and Finance
SN - 0275-5319
ER -