Vivian van Breemen

50 o “ n the number of tranches issued by the issuer. For these simple comparisons, Frequent” issuers refer to those tranches of an issuer that is among the top 1t r0a%n c hmeesaissusrueedd bgyl onbuaml l yb e( 1r 9o9f 7t-r2a0n1c h5e) si nc ocnotlruimb untse d( 5t)o atnhde (t o6 t)a, la nn ud m“ b e r o f C L O Infrequent” refers to all other CLOs in columns (7) and (8). Wc oel usmt anrst (b1y) ctoom(p8a) r oi nf gP tahnee lcsr eAd iatnrda tBi n. gWceo ef ifnf idc i er onut sg hf ol yr st hi me iUl aSr wmi at hg ntiht ue dEeUs ionf carcerdeidt ictoreaftfiincigencotseffofircitehnetfoofu3r 2su.0b3se(ts in the US market. For example, we observe t-stat=83.85) for large issuers in column (2) aa nt df r ea qcuoeenf fti cvieernstuosf i3n1f r. 7e q2 u(e=n9t7i.s9s1u)efrosr ws me aa ll sl oi s sf iunedr sr oi nu gchollyu ms i mn (i l4a)r. cWo he fefni c li oe no kt si nogf 31.47 (t-stat=90.37) in column (6) and 32.22 (t-stat=90.99) in column (8). In the EU market, however, our results suggest that investors do differentiate between issuers based on size. For example, we find credit rating coefficients for the large issuers in the EU of 14.54 (t-stat=12.40) in column (2) and 25.67 (t-stat=26.82) for small issuers in column (4). Comparing frequent with infrequent issuers, in column (6), we observe a substantially lower credit rating coefficient of 16.54 (t-stat=14.47) for frequent issuers, compared to 22.91 (t-stat=19.24) in column (8) for infrequent issuers. These findings suggest that on average investors in the Uo fS i sms ua rekr esti zdeo, bnuo tt idnivf feesrteonr tsi ai nt et ht heeEfUu nddoi ,nagl scoo sbta bs ea ds eodnobno bt ho tohf oo fu or umr ema seuarseusr eosf ibsassui es rosf i cz ree. dI ni t trhaet i En Ug s, ifnovr etsrtaonr cs hael sl otchaat te aorne ai svseur ea dg ebay lloawr geerr f aunndd imn go rceo sf rt eoqnu et hnet issuers compared to those issued by small and infrequent issuers. Next, turning to the explanatory values in Table 2.6, we find results consistent with Tables 2.3 to 2.5, that is, the R² is on average higher and more consistent omvoedredliffoferrethnet sUuSbmsaamrkpelets, winetohbesUeSrvme arket compared to the EU market. For the R²s ranging from 0.65 to 0.69 in Panel A,

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