Credit Ratings across Asset Classes
Kimberly Rodgers Cornaggia
American University - Kogod School of Business
Rice University - Jesse H. Jones School of Management
March 31, 2014
We employ comprehensive credit rating histories to compare the performance of ratings across broad asset classes and within subcategories of those asset classes. Despite the rating agencies’ stated objective to produce comparable ratings, we observe significant differences in performance using an array of traditional and novel metrics. Many differences persist over our entire 30-year sample period. These results imply not only that outcomes of the rating process differ across asset classes, but that asset classes have fundamentally different underlying risk profiles and rating processes. Overall, our results suggest that the Dodd-Frank mandate to standardize credit ratings will prove unenforceable.
Number of Pages in PDF File: 51
Keywords: credit ratings, NRSROs, municipal bonds, sovereign bonds, CDOs, capital markets regulation
JEL Classification: G14, G24, G28, G32working papers series
Date posted: August 15, 2011 ; Last revised: April 1, 2014
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