45 2.4.2 Time period differences It ni mt eh i ps esreicotdi os n. Wwee rdeips cour ts st ht he er er es gu rl tess sf oi or ne raecshu ol tfs tshheo fwo lnl oi wn iTnagb lf eo u2r. 4i nf ot er rdviaf lf se:r e( 1n )t 1a g9a9i7n- 2c o0m0 3p, a(r2e) t2h0e 0U4S- 2( 0P 0a n7 e, (l 3A)) 2w0i0t h8 -t2h0e1E1U, a(nPda n( 4e l) B2)0 a1n2d- 2o0b1s5e ri nv eTaa bnl ue m2 .b4e. rWoef differences across time periods. We have chosen these particular time intervals to reflect the impact of the credit rating on the funding cost under prevailing market circumstances in the global CLO market over time. Ti shs ue apnec rei, of od l l 1o 9w9e7d- 2i n0 t0h3e yc ea an r sb 2e 0c0o4n- s2i0d0e 7r ebdy ar a pp iedr igordo wo tf hs. tTahbel ey egarrosw2t0h0 8i n- 2 C0 L1O1 ar er se utl ht ien gy ei anr sa ddur ar imn ga t iwc hsilcohwtdhoewf ni n ai nn cni ae lwc ri si ssius a snecvee. rTe hl ye df ii ns raul ppt ee rdi ot dh ei smoanrek eotf, mboatrhktehterUecSoavnedryE, Ucoainftceirditnhge cwriitshis.the period of key legislation implemented in Let us examine Table 2.4. We first look at the time period 1997–2003 in columns (s1ig)naifnidca(n2t)corfedPiatnrealtAingancdoeBf.fiIcniecnotluomf 3n0(.122) o(f both panels we find a statistically t-stat=18.01) in the US market and 29.35 (t-stat=14.98) in the EU market. This means that in the time period 1997- 2003, in both markets, credit ratings were a significant factor in determining t(h1e) tfhuantdtihneg costs. In our model without control variables, we see in column R² reveals roughly the same explanatory power to credit rating in both markets, with a R² of 0.616 for the model of the US market and 0.614 in tehxaptl afionre dt hfeo rE rUo umgahrl yk e6t .1 %H e nb yc et, hteh ec rpe rdoi tp or ar tt ii no gn foofr vbaortiha t mi o na r ki ne tfsu innd itnhge cpoesrti oids 1997 to 2003. In column (2) of Panels A and B we further find that beyond credit rating, Capital Allocation and Tranche Size were significant factors in determining the funding cost in both markets in that time period. For Capital Allocation we Chapter 2 - How much do Investors Rely on Credit Ratings
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