48 Lastly, we move to the period 2012–2015 and find some substantial differences between Panels A and Panel B, columns (7) and (8). First, in line with the pc rreedviito ur sa tyi ne ag r csouebf fsiecti se n2t0 0i n4 –t 2h 0e 0U7Sa nmda 2r k0e0t8 c–o2m0 1p1a,r we de toon cteh ea gEaUi n mf i na dr kae th, i wg hi et hr a credit rating coefficient of 30.84 (t-stat=143.9) for the US market and 25.12 (t-stat=11.74) for the EU market (column (8) of both panels). Having examined all year subsets, we can now see that the size of the credit rating coefficient in the US market is more stable over time than in the EU market. For example, looking at the EU market across time we find credit rating coefficients ranging from 6.76 (t-stat=6.18) in column (5) to 29.35 (t-stat=14.98) in column (2) of Panel B, while for the US we are looking at a much smaller range from 24.49 (t-stat=19.17) in column (1) to 33.63 (t-stat=54.24) in column (4). Second, when looking at credit rating alone in column (7) of Panels A and B, we observe a significantly and dramatically higher R² of 0.902 in the model for the US market compared to a R² of 0.292 in the model for the EU market. This dalitfhfeoruegnhcethies less pronounced when we turn to our full model in column (8), R² in the US market remains higher with 0.945 compared to 0.818 in the EU market, in the final period 2012-2015. Hence, our results not only sbuy gt gheesct rtehdai tt roant ianvgesr iang teh ae Uh iSg hmearr kp eotr tcioomn poaf rfeudn tdoi nt hg ec Eo sUt ma ta irskseut e, bi us tdael tseor tmh iant ei nd tchoen sUi sSt emnatrwk ei tthi nt hv ee spt or er vs iionucsr et awsoe dt i mt hee ipr errei loi adns c2e0o0n4 –c2r e0d0i7t raantdi n2g0s 0i n8 –t 2h 0i s1p1e. r i o d , Third, we find security design factors that significantly determine the funding cost at issue in the US market compared to the EU market. In fact, Tranche Count, Capital Allocation, Log Transaction Value and Rating Discrepancy all are statistically significant at the 1% level in the US market. For the EU market, beyond credit rating, only Rating Discrepancy turns out significant, and only at a 5% significance level in the 2012-2015 period.
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