Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset‐Backed Securities
研究了1999年至2007年间欧洲非抵押资产支持证券的发行利差，发现投资者在定价时不仅依赖信用评级，还考虑其他信用因素。
Abstract In this paper, we empirically investigate what credit factors investors rely upon when pricing the spread at issue for European asset‐backed securities. More specifically, we investigate how credit factors affect new issuance spreads after taking into account credit rating. We do so by investigating primary market spreads for tranches of non‐mortgage‐related asset‐backed securities issued from 1999 to the year prior to the subprime mortgage crisis, 2007. We find that although credit ratings play a major role in determining spreads, investors appear to not rely exclusively on these ratings. Our findings strongly suggest that investors do not ignore other credit factors beyond the assigned credit rating.