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Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-Backed Securities
| Content Provider | Semantic Scholar |
|---|---|
| Author | Qian, Jun “ Qj” Strahan, Philip E. |
| Copyright Year | 2011 |
| Abstract | Initial yields on both AAA-rated and non-AAA rated mortgage-backed security (MBS) tranches sold by large issuers are higher than yields on similar tranches sold by small issuers during the market boom years of 2004-2006. Moreover, the prices of MBS sold by large issuers drop more than those sold by small issuers, and the differences are concentrated among tranches issued during 2004-2006. These patterns suggest that investors priced the risk that large issuers received more inflated ratings than small issuers, especially during booming periods. |
| Starting Page | 2097 |
| Ending Page | 2137 |
| Page Count | 41 |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.1512732 |
| Volume Number | 67 |
| Alternate Webpage(s) | http://www.saif.sjtu.edu.cn/sites/default/files/images/ymzhou/mbs_ratings_jf12.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.1512732 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |