Credit Ratings and the Evolution of the Mortgage-Backed Securities Market
比较2000-2006年间大型与小型发行人销售的私人抵押贷款支持证券的结构和表现，发现大型发行人获得更有利的评级，其证券在2004-2006年发行的部分在市场下行时跌幅更大。
We compare the structure and performance of private (non-GSE) mortgage-backed securities sold by large issuers vs. those sold by small issuers over the period 2000–2006. Securities sold by large issuers have less subordination—a greater fraction of the deal receiving AAA rating—than those sold by small issuers. Prices for AAA-rated and non-AAA rated tranches sold by large issuers fell more when the market turned down than those sold by small issuers, and this difference was concentrated among tranches issued between 2004 and 2006. These results suggest that rating agencies grant favorable ratings to large issuers, especially during market booms.