46 find a coefficient of 45.14 (t-stat=2.79) in the model for the US market and 50.91 (t-stat=2.40) in that for the EU market, and for Tranche Size we find a coefficient of 7.28 (t-stat=2.45) for the US market, significant at the 5% level, and 8.56 (t-stat=3.17) in the EU market but only significant at the 1% level. Rating Discrepancy is another significant factor, albeit only in the EU market. Columns (3) and (4) of Panels A and B show results for the period 2004–2007. We now find a significantly higher credit rating coefficient for the US market than ff oo rr ot huer EmUo dmeal rckoent t, abi on ti nh gwahl le cnolnotorko il nvga raita cbrl ee sd iitn r caot ilnugmanl o( n4 e) . iWn ictohl uc mr end i (t 3r)a tai nn dg coefficients of 33.63 (t-stat=54.24) in the US and 22.93 (t-stat=21.85) in the EU market, compared to the preceding period the coefficient in the US increased and iann tihnec rEeUa sde eicnr et ahseei rd .i mT hpiasc mt oena nt sh et hfautncdri endgi tc or as tt ,i nwghs ei rne at hs ei nU St hme aErUk ewt er espeoer tt ehde opposite. Furthermore, looking at column (3), the R² of 0.766 in the US market in 2004-2007 is significantly higher compared to the R² in the previous period, whereas the R2 in the model for the EU of 0.635 remained similar to the previous pu pe r itohde .i rI t rtehl iearnecf oe r oe na pcpr eeda irts rtahtai nt gi ns tahni sd , t iomne t po pe r ioof dt hUaSt ,i nt vhees tcor er sd iwt erraet i nb ug i li dt si enlgf determined a larger portion of the funding cost at issue than in the EU market. If we look at the security design factors, we find similar results for the EU market compared to the time subset 1997–2003. The only difference is that for the US market we find that Tranche Count turns significant at the 5% level with a coefficient of –1.7 (t-stat=–1.96) in column (4) of Panel A. We now turn to the period 2008–2011 in columns (5) and (6) of Panels A and B. We find that for the US market the credit rating coefficient with 28.44 (t-stat=13.16) in Panel A column (6) decreased slightly compared to the previous pwearsiomdus.chHomwoerveedrr, athsteicd, ewcirtehaasecoineftfhiceiecnrteodfit8r.1at0in( g coefficient in the EU market t-stat=5.26) in Panel B column
RkJQdWJsaXNoZXIy MTk4NDMw