Do Credit Ratings Affect Spread and Return? A Study of Structured Finance Products (Digest Summary): F. Moreira and S. Zhao, International Journal of Finance & Economics, Vol. 23, No. 2 (April 2018): 205-217

Research output: Contribution to specialist publicationBook/Film/Article review


Using a structural equation modeling technique, the authors find causality from the ratings assigned by credit rating agencies to the credit spreads of asset-backed securities at issuance. The relationship is weaker in the secondary market, where investor attention quickly turns to the performance of stock and bond markets. These results suggest that regulators should focus their efforts on credit ratings at the time of the issuance.
Original languageEnglish
Specialist publicationCFA Digest
PublisherCFA Institute
Publication statusPublished - Sep 2018

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