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MBS Ratings and the Mortgage Credit Boom

Citations

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Cited by:

  1. Rzeznik, Aleksandra & Weiss-Hanley, Kathleen, 2021. "The Salience of ESG Ratings for Stock Pricing: Evidence From (Potentially) Confused Investors," CEPR Discussion Papers 16334, C.E.P.R. Discussion Papers.
  2. Kempf, Elisabeth, 2020. "The job rating game: Revolving doors and analyst incentives," Journal of Financial Economics, Elsevier, vol. 135(1), pages 41-67.
  3. Charoontham, Kittiphod & Amornpetchkul, Thunyarat (Bam), 2018. "Performance-based payment scheme to hedge against credit rating inflation," Research in International Business and Finance, Elsevier, vol. 44(C), pages 471-479.
  4. Thomas L. Hogan, 2021. "A Review of the Regulatory Impact Analysis of Risk-Based Capital and Related Liquidity Rules," JRFM, MDPI, vol. 14(1), pages 1-29, January.
  5. Efing, Matthias & Hau, Harald, 2015. "Structured debt ratings: Evidence on conflicts of interest," Journal of Financial Economics, Elsevier, vol. 116(1), pages 46-60.
  6. Rajan, Uday & Seru, Amit & Vig, Vikrant, 2015. "The failure of models that predict failure: Distance, incentives, and defaults," Journal of Financial Economics, Elsevier, vol. 115(2), pages 237-260.
  7. Jed J. Neilson & Stephen G. Ryan & K. Philip Wang & Biqin Xie, 2022. "Asset‐Level Transparency and the (E)valuation of Asset‐Backed Securities," Journal of Accounting Research, Wiley Blackwell, vol. 60(3), pages 1131-1183, June.
  8. Keser, Claudia & Özgümüs, Asri & Peterlé, Emmanuel & Schmidt, Martin, 2017. "An experimental investigation of rating-market regulation," Journal of Economic Behavior & Organization, Elsevier, vol. 144(C), pages 78-86.
  9. Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2013. "A Model of Shadow Banking," Journal of Finance, American Finance Association, vol. 68(4), pages 1331-1363, August.
  10. Neil Crosby & Steven Devaney & Colin Lizieri & Patrick McAllister, 2018. "Can Institutional Investors Bias Real Estate Portfolio Appraisals? Evidence from the Market Downturn," Journal of Business Ethics, Springer, vol. 147(3), pages 651-667, February.
  11. Marco Pagano, 2013. "Finance: Economic Lifeblood or Toxin?," World Scientific Book Chapters, in: Viral V Acharya & Thorsten Beck & Douglas D Evanoff & George G Kaufman & Richard Portes (ed.), The Social Value of the Financial Sector Too Big to Fail or Just Too Big?, chapter 8, pages 109-146, World Scientific Publishing Co. Pte. Ltd..
  12. Braun, Tobias, 2011. "Wie interagieren Banken und Ratingagenturen? Eine ökonomische Analyse des Bewertungsmarktes für strukturierte Finanzprodukte," Discussion Papers 2011-17, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
  13. Kotchen, Matthew J. & Potoski, Matthew, 2014. "Conflicts of interest distort public evaluations: Evidence from NCAA football coaches," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PA), pages 51-63.
  14. Efing, Matthias, 2015. "Arbitraging the Basel securitization framework: Evidence from German ABS investment," Discussion Papers 40/2015, Deutsche Bundesbank.
  15. Brendan Daley & Brett Green & Victoria Vanasco, 2020. "Securitization, Ratings, and Credit Supply," Journal of Finance, American Finance Association, vol. 75(2), pages 1037-1082, April.
  16. Adelino, Manuel & Scott Frame, W. & Gerardi, Kristopher, 2017. "The effect of large investors on asset quality: Evidence from subprime mortgage securities," Journal of Monetary Economics, Elsevier, vol. 87(C), pages 34-51.
  17. Klein, Philipp & Mössinger, Carina & Pfingsten, Andreas, 2021. "Transparency as a remedy for agency problems in securitization? The case of ECB’s loan-level reporting initiative," Journal of Financial Intermediation, Elsevier, vol. 46(C).
  18. Sean Flynn & Andra Ghent, 2018. "Competition and Credit Ratings After the Fall," Management Science, INFORMS, vol. 64(4), pages 1672-1692, April.
  19. Du, Julan & Li, Chang & Wang, Yongqin, 2017. "A comparative study of shadow banking activities of non-financial firms in transition economies," China Economic Review, Elsevier, vol. 46(S), pages 35-49.
  20. Manuel Adelino & Kristopher Gerardi & Barney Hartman-Glaser, 2016. "Are Lemons Sold First? Dynamic Signaling in the Mortgage Market," FRB Atlanta Working Paper 2016-8, Federal Reserve Bank of Atlanta.
  21. Matthias Bodenstedt & Daniel R�sch & Harald Scheule, 2013. "The path to impairment: do credit-rating agencies anticipate default events of structured finance transactions?," The European Journal of Finance, Taylor & Francis Journals, vol. 19(9), pages 841-860, October.
  22. Anton Tsoy, 2016. "Liquidity and Prices in Decentralized Markets with Almost Public Information," 2016 Meeting Papers 8, Society for Economic Dynamics.
  23. Jiahe Lin & George Michailidis, 2019. "Approximate Factor Models with Strongly Correlated Idiosyncratic Errors," Papers 1912.04123, arXiv.org.
  24. Bar-Isaac, Heski & Shapiro, Joel, 2013. "Ratings quality over the business cycle," Journal of Financial Economics, Elsevier, vol. 108(1), pages 62-78.
  25. Broer, Tobias, 2016. "Securitisation Bubbles: Structured finance with disagreement about default correlations," CEPR Discussion Papers 11145, C.E.P.R. Discussion Papers.
  26. Holden, Steinar & Natvig, Gisle James & Vigier, Adrien, 2012. "An Equilibrium Model of Credit Rating Agencies," Memorandum 01/2013, Oslo University, Department of Economics.
  27. Spyros Pagratis, 2013. "Ratings Hardwiring and Asset Prices," Economica, London School of Economics and Political Science, vol. 80(320), pages 621-649, October.
  28. Nickerson, Jordan & Griffin, John M., 2017. "Debt correlations in the wake of the financial crisis: What are appropriate default correlations for structured products?," Journal of Financial Economics, Elsevier, vol. 125(3), pages 454-474.
  29. repec:ehu:cuader:15475 is not listed on IDEAS
  30. Richard Stanton & Nancy Wallace, 2018. "CMBS Subordination, Ratings Inflation, and Regulatory†Capital Arbitrage," Financial Management, Financial Management Association International, vol. 47(1), pages 175-201, March.
  31. Bond, Philip & Leitner, Yaron, 2015. "Market run-ups, market freezes, inventories, and leverage," Journal of Financial Economics, Elsevier, vol. 115(1), pages 155-167.
  32. Kisgen, Darren J. & Nickerson, Jordan & Osborn, Matthew & Reuter, Jonathan, 2020. "Analyst Promotions within Credit Rating Agencies: Accuracy or Bias?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(3), pages 869-896, May.
  33. John M Griffin & Jordan Nickerson, 2023. "Are CLO Collateral and Tranche Ratings Disconnected?," The Review of Financial Studies, Society for Financial Studies, vol. 36(6), pages 2319-2360.
  34. repec:dau:papers:123456789/15245 is not listed on IDEAS
  35. Thomas Mählmann, 2016. "Market share and risk taking: the role of collateral asset managers in the collapse of the arbitrage CDO market," Review of Quantitative Finance and Accounting, Springer, vol. 47(2), pages 273-303, August.
  36. Biswas, Sonny & Koufopoulos, Kostas & Thakor, Anjan V., 2024. "Can information imprecision be valuable? The case of credit ratings," Journal of Financial Intermediation, Elsevier, vol. 60(C).
  37. Gabriel Jiménez & Atif R. Mian & José-Luis Peydró & Jesús Saurina, 2010. "Local Versus Aggregate Lending Channels: The Effects Of Securitization On Corporate Credit Supply In Spain," NBER Working Papers 16595, National Bureau of Economic Research, Inc.
  38. Dan Immergluck, 2015. "A look back: what we now know about the causes of the US mortgage crisis," International Journal of Urban Sciences, Taylor & Francis Journals, vol. 19(3), pages 269-285, November.
  39. Mariano, Beatriz, 2012. "Market power and reputational concerns in the ratings industry," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1616-1626.
  40. Broer, Tobias & Kero, Afroditi, 2021. "Collateralization and asset price bubbles when investors disagree about risk," Journal of Banking & Finance, Elsevier, vol. 128(C).
  41. Chernenko, Sergey & Hanson, Samuel Gregory & Sunderam, Adi, 2014. "The Rise and Fall of Demand for Securitizations," Working Paper Series 2014-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  42. Terovitis, Spyros, 2022. "Information disclosure and the feedback effect in capital markets," Journal of Financial Intermediation, Elsevier, vol. 49(C).
  43. Daniel Bergstresser & Randolph Cohen & Siddharth Shenai, 2015. "Skin in the game: The Performance of Insured and Uninsured Municipal Debt," Working Papers 88, Brandeis University, Department of Economics and International Business School.
  44. Yao, Zhiyong & Gu, Dingwei & Chen, Yongmin, 2017. "Rating deflation versus inflation: On procyclical credit ratings," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 46-64.
  45. Kai Ding & Enoch Hill & David Perez-Reyna, 2021. "Optimal capital requirements with noisy signals on banking risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(4), pages 1649-1687, June.
  46. David Luttrell & Harvey Rosenblum & Jackson Thies, 2012. "Understanding the risks inherent in shadow banking: a primer and practical lessons learned," Staff Papers, Federal Reserve Bank of Dallas, issue Nov.
  47. Valentina Bruno & Jess Cornaggia & Kimberly J. Cornaggia, 2016. "Does Regulatory Certification Affect the Information Content of Credit Ratings?," Management Science, INFORMS, vol. 62(6), pages 1578-1597, June.
  48. Rakotoarisoa, Manitra A., 2017. "Path dependent and heterogeneity effects in investment risk ratings: A cross-country evidence," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 19-35.
  49. Philip Bond & Yaron Leitner, 2013. "Market run-ups, market freezes, inventories, and leverage," Working Papers 13-14, Federal Reserve Bank of Philadelphia.
  50. Andrew Hertzberg, 2018. "A Theory of Disclosure in Speculative Markets," Management Science, INFORMS, vol. 64(12), pages 5787-5806, December.
  51. Lugo, Stefano, 2014. "Discretionary ratings and the pricing of subprime mortgage-backed securities," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 248-260.
  52. Lawrence J. White, 2013. "Credit Rating Agencies: An Overview," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 93-122, November.
  53. Chen, Yongmin & Gu, Dingwei & Yao, Zhiyong, 2013. "Rating Inflation versus Deflation: On Procyclical Credit Ratings," MPRA Paper 51159, University Library of Munich, Germany.
  54. Kraft, Pepa, 2015. "Do rating agencies cater? Evidence from rating-based contracts," Journal of Accounting and Economics, Elsevier, vol. 59(2), pages 264-283.
  55. Bae, Kee-Hong & Driss, Hamdi & Roberts, Gordon S., 2019. "Does competition affect ratings quality? Evidence from Canadian corporate bonds," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 605-623.
  56. James A Kahn & Benjamin S Kay, 2020. "The impact of credit risk mispricing on mortgage lending during the subprime boom," BIS Working Papers 875, Bank for International Settlements.
  57. Tao Wang, 2016. "Time-Varying Rating Standards and the Distorted Incentives of Credit Rating Agencies," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 21-39.
  58. Carbó-Valverde, Santiago & Marques-Ibanez, David & Rodríguez-Fernández, Francisco, 2012. "Securitization, risk-transferring and financial instability: The case of Spain," Journal of International Money and Finance, Elsevier, vol. 31(1), pages 80-101.
  59. Schröder, Michael & Riedler, Jesper & Jaroszek, Lena & Lang, Gunnar & Hommel, Paul & Voll, Sebastian Simon, 2011. "Assessment of the cumulative impact of various regulatory initiatives on the European banking sector: Study," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 110523.
  60. Opp, Christian C. & Opp, Marcus M. & Harris, Milton, 2013. "Rating agencies in the face of regulation," Journal of Financial Economics, Elsevier, vol. 108(1), pages 46-61.
  61. Andréas Heinen & James B. Kau & Donald C. Keenan & Mi Lim Kim, 2021. "Spatial Dependence in Subprime Mortgage Defaults," The Journal of Real Estate Finance and Economics, Springer, vol. 62(1), pages 1-24, January.
  62. Bertaut, Carol & DeMarco, Laurie Pounder & Kamin, Steven & Tryon, Ralph, 2012. "ABS inflows to the United States and the global financial crisis," Journal of International Economics, Elsevier, vol. 88(2), pages 219-234.
  63. Deku, Solomon Y. & Kara, Alper & Zhou, Yifan, 2019. "Securitization, bank behaviour and financial stability: A systematic review of the recent empirical literature," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 245-254.
  64. Carol Bertaut & Laurie Pounder DeMarco & Steven B. Kamin & Ralph W. Tryon, 2011. "ABS Inflows to the United States and the Global Financial Crisis," NBER Working Papers 17350, National Bureau of Economic Research, Inc.
  65. Carol C. Bertaut & Steven B. Kamin & Laurie Pounder DeMarco & Ralph W. Tryon, 2011. "ABS inflows to the United States and the global financial crisis," International Finance Discussion Papers 1028, Board of Governors of the Federal Reserve System (U.S.).
  66. Adelino, Manuel & Gerardi, Kristopher & Hartman-Glaser, Barney, 2019. "Are lemons sold first? Dynamic signaling in the mortgage market," Journal of Financial Economics, Elsevier, vol. 132(1), pages 1-25.
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