107 Panel B: Dependent Variable: Dual Rating and S&P Exclusively Sample (1) (2) (3) (4) (5) (6) (7) (8) Complexity Indicators Tranche Count -0.01 -0.03 * 0.01 -0.04** -0.02 -0.01 0.00 (-0.87) (-1.95) (0.43) (-2.35) (-0.97) (-0.84) (-0.28) Tranche Count*Post (40.2.134)*** Log Tranche Size 0.12 ** 0.14 *** 0.17 *** 0.15 *** 0.04 0.11 * 0.12 ** (2.12) (2.75) (3.53) (2.64) (0.58) (1.93) (2.11) Log Tranche Size*Post ( 10. 8. 175) * Capital Allocation 1.61 *** 1.52 *** 1.74 *** 1.49*** 1.57* ** 0.95 * 1.56 *** (3.45) (3.56) (3.80) (3.21) (3.37) (1.82) (3.41) Capital Allocation*Post (21.4.644)** Control Variables Euro Market -2.63*** -2.64*** -2.6 *** -2.56*** -2.55*** -2.64*** -2.61*** -2.87*** (-20.2) (-20.4) (-19.9) (-19.4) (-19.2) (-20.2) (-20.1) (-19.4) Euro Market*Post (30.1.945)*** Top Ten Issuer -0.19 ** -0.20 ** -0.20 ** -0.22 ** -0.22 ** -0.19* * -0.19 ** -0.19 ** (-2.12) (-2.15) (-2.19) (-2.39) (-2.43) (-2.04) (-2.12) (-2.06) Log Transaction Value 0.14 0.11 0.22 ** 0.01 0.12 0.15 0.12 0.11 (1.38) (1.19) (2.51) (0.08) (1.20) (1.47) (1.15) (1.15) Credit rating effects Y Y Y Y Y Y Y Y Year effects Y Y Y Y Y Y Y Y Observations 7,313 7,313 7,320 7,313 7,313 7,313 7,313 7,313 R2 0.478 0.478 0.475 0.474 0.480 0.478 0.479 0.479 Chapter 3 - Security Design and Credit Rating Risk
RkJQdWJsaXNoZXIy MTk4NDMw