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Credit Ratings across Asset Classes

Jess Cornaggia

Georgetown University

Kimberly Rodgers Cornaggia

American University - Kogod School of Business

John Hund

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, G32

working papers series

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Date posted: August 15, 2011 ; Last revised: April 1, 2014

Suggested Citation

Cornaggia, Jess and Cornaggia, Kimberly Rodgers and Hund, John, Credit Ratings across Asset Classes (March 31, 2014). Available at SSRN: http://ssrn.com/abstract=1909091 or http://dx.doi.org/10.2139/ssrn.1909091

Contact Information

Jess Cornaggia
Georgetown University ( email )
3700 O Street, NW
Washington, DC 20057
United States
HOME PAGE: http://www.jesscornaggia.com
Kimberly Rodgers Cornaggia (Contact Author)
American University - Kogod School of Business ( email )
4400 Massachusetts Avenue NW
Washington, DC 20816-8044
United States
John Hund
Rice University - Jesse H. Jones School of Management ( email )
6100 South Main Street
P.O. Box 1892
Houston, TX 77005-1892
United States
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References:  42
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