Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage‐Backed Securities
研究发现，2004-2006年市场繁荣期，大型发行人出售的AAA级和非AAA级MBS的初始收益率高于小型发行人，且其价格下跌更多，表明投资者认为大型发行人获得了更膨胀的评级。
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 to 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 to 2006. These results suggest that investors price the risk that large issuers received more inflated ratings than small issuers, especially during boom periods.