Competition and Credit Ratings After the Fall
研究了新评级机构进入结构化金融产品市场后，在原有机构声誉极差且虚高评级收益低的情况下，新机构评级更高，且原有机构随新机构市场份额增加而提高评级，评级购物也推高原有机构评级。
We analyze the entry of new credit rating agencies into structured finance products. Our setting is unique as we study a period in which the incumbents’ reputation was extremely poor and the benefit of more fee income from inflating ratings was low. We find entrants issue higher ratings than incumbents, particularly for interest-only tranches. Using measures of market share that are exogenous to incumbent ratings, we provide suggestive evidence that incumbent rating levels become more generous as entrant market share in a product type increases. We also exploit a feature of structured finance that identifies rating shopping and find that incumbent ratings increase in shopping. The online appendix is available at https://doi.org/10.1287/mnsc.2016.2604 . This paper was accepted by Gustavo Manso, finance.