49 To summarize, first, looking at the size of the R², investors in the US market ca os sme ps samr eedn tt oo ft ht he eEfUu ntdeinndg tcoo srte al yt issusbusatnacnet .i aTl hl ye sme orrees uolnt s carreed mi t or sa tt i pn rgos nionu tnhceeidr iSne ct oh ne dp, eor ui ord r leesaudl ti ns gs hu op wt o at hs eu bc sr ti sa ins t iaanl ldy i an ntdh ec or encsoi svteernyt lpy e hr ii og dh earf tcerre tdhi te rcar ti si ni sg. coefficient for the US compared to the EU market. This means that for the US on ar avtei rnaggse. Ta hs eu bssatma net ai apl pl yl iheisg ht oe rt hpeo rsteicounroi tfyt hdee sf ui gnnd fi ancgt oc or ss tains dd et ht eeri mr iimn epda cbty ocnr etdhiet funding cost. Third, the size of the credit rating coefficient in the US market idsr ammoartei csatlal yb lree douvceerdt ti mh ee dtehgarne ei nt ot wh eh iEc hU tmh eayr kr ee tl i. eIdn otnh ec r Ee dUi tmr aatriknegts, iinn vpersi ct oi nrgs CLOs during the aftermath of the structured finance markets collapse in the period 2008-2011. This is far less the case for the US market. 2.4.3 The impact of issuer size In this section, we test whether the credit rating and the other identified factors hc oa nv es i dd ief rf ea rt ieonnt be fef he ci nt sd ot nh i tshies ftuhne dni on tgi oc no stthda et pi ne vnedsi tnogr so nmtahye psri zi cee oCf Lt hOes ids isf uf eerre. nOtul yr fHoer ei sts aule. r(s2 t0h1a2t ) aar ne de iitnh el irn lea rwg iet ha nCdo/rodre ltl aept tahl e. (m2 0a 2r k0e) t, wf r he qo ufeonc tul ys , oi nn lmi naen wa gi et hr st yi zpei ,c wa l hl yi crhu ni s tbhreoi ra do lnyl yt hoen seaCmLeO ai ss si us saunecre spi rz oe gi rnatmh e. WC Le Oe xma ma rikneet iws shueerresmi z ae ni na gt ewros ways: by market share value and by frequency of issuance. In columns (1) to (4) of Table 2.5, we split our sample into Large and Small. Tranches fit into “Large” if they are issued and sold by an issuer who is among tt hh ee tpoepr i1o0d%o fo f1i9s9s u7e- 2r s0 1b5a siend coonl ugml onbsa l(C1 L) Oa nmda(r2k)e,tasnhda re b y i s s u a n c e a m o u n t f o r Small refers to all others in columns (3) and (4). In columns (5) to (8), we show regression results based Chapter 2 - How much do Investors Rely on Credit Ratings
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