Does rating shopping exist in spanish securitization issues?

  1. Miguel Á. Peña Cerezo 1
  2. Arturo Rodríguez Castellanos 1
  3. Francisco J. Ibáñez Hernández 1
  1. 1 Universidad del País Vasco/Euskal Herriko Unibertsitatea
    info

    Universidad del País Vasco/Euskal Herriko Unibertsitatea

    Lejona, España

    ROR https://ror.org/000xsnr85

Journal:
Management Letters / Cuadernos de Gestión

ISSN: 1131-6837

Year of publication: 2015

Volume: 15

Issue: 1

Pages: 119-144

Type: Article

DOI: 10.5295/CDG.130429MP DIALNET GOOGLE SCHOLAR lock_openOpen access editor

More publications in: Management Letters / Cuadernos de Gestión

Abstract

Debt issue credit ratings can lead to conflicts of interest as the issuer itself is entrusted with contracting and compensating the rating agency. Into the bargain, the credit rating agency may be involved in designing the issues that the same agency subsequently rates. Credit rating agencies thus could have incentives to rate issues advantageously. Given the economic importance of this issue, in this paper we have proposed to analyze this phenomenon, known as rating shopping in academic literature, for Spanish market securitization issues for the period of time comprehensive from January 1993 to December 2011. In sum 3,665 published ratings are been analysed, for an issued nominal amount of 791,090 million Euros. The results show an association between the credit rating agency contracted and the mean rating awarded. Significant differences are observed in the ratings associated to the contracting manager (or special purpose vehicle SPV- manager firm), to the number of ratings or to the type of collateral. Furthermore, a pattern compatible with rating shopping was observed for some types of collateral: abnormally high market shares associated with certain agencies awarding unusually generous ratings. However, this phenomenon is not seen to be widespread on the rating market associated to Spanish securitization issues.

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