142 4.3.2 Independent Variables Our first key independent variable is the market share of CRAs. Following Bo fe crka et irnagns da sMai l bmoeuarsnu(r2e0o1f1c)oamn dp eBt iatei oent afal .c(e2d0b1y9 )o, twh ee ruCs eR Aa sC. R A’ s m a r ke t s h a re 42 Consistent with tphuebslei c sl yt uadviaeisl a, bwl ee dbaatsae. Wo uer dmo asrok ef ot rs thwa or er emaes aosnusr. eFsi ros nt , wo uer asraemi nptleer er as tt ehde ri nt ht ah ne Rf i nMaBnSc emma ra kr ke te ts pi ne cgief incearl layl (aEnUd ) pour btl hi ce dMa Bt aS o( Un lSy) rme pa or kr et st , dbaut ta noont st hp ee csi tf ircuacl tl yu rf eodr tshheo wR Mr eBl aS t mi v ea lryk edti v. Se er sc eo nmda, rt kheet ms haar rkeest bs he tawr eese np eCrRpArso wd ui tcht i tny pt heei nd i tf hf eer eUnSt mt yaprek oe tf structured finance product (i.e., for RMBS, CMBS, collateralized loan obligations, and asset-backed securities). Hence, using the market shares of the structured fminaarnkceet smpaerckifeictailnlyg. eneral might not provide an accurate measure of the RMBS We calculate the market share of CRAs before we apply any filters to our deaactahsCetRaAs. we are interested in the total market share for the RMBS market for Bloomberg reports credit ratings of five CRAs for the RMBS tranches issued between 2017 and 2020. The credit ratings in our dataset are assigned by My eoaor di ny ’ as , sSp&e Pc ,i fFi ci t mc ha, rDkBe Rt . SW, aenodb Kt aBi nReAd. WR Me Bc aSl ct rual an tceh tehs ef omr at hr keeUt Ss haanrde EoUf CmRaArsk ep tesr. We compute the market shares in two ways: (1) based on the total tranche value that has been rated by a CRA in a specific market per year (MS by Balance) and (2) based on the number of tranches that has been rated by a CRA in a specific market per year (MS by Frequency).43 42coTmhpeemtitaiorkneftoprrsemseanllcCeRoAf st.he large CRA may vary across industries and time periods and impacts the intensity of 43s t uOduyr, wmea rukseet psrhiamr ea rmy emaas ur kreeti sd actaal counl al yt eadn du stihnegr et hf oercerde od int or at tainnaglsyaz sesdi gant ae do vbeyr Ct iRmAes. a t t h e t i m e o f i s s u a n c e . I n o u r
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