61 2.4.4 Rating Standards In this section, we test whether investors identify changes in credit rating swt ea npdraersdesn it nt ht hee rpe rs iuclitns g offo ro uCrL Oo rs di es sr eude dl oi ng i tt hme oEdUe la ng di v eUnS imn aEr qk eu ta ti ni o nt i sm(e2. . F1i)r st to, (in2.o3u) rthsaatmapllloew. us to estimate the level of the credit rating standard for each year 17 Second, we examine the impact of rating standards on funding costs for our full sample and triple A sample.18 TAa abnl ed 2f.o6rs thhoewEs Ut hme ar er skue ltt si no fPtahnee ol rBd. eCr oe dl ulmo gni t(m2 )o od fe lbfootrht hPea nUeSl smsahrokwe t ti nh aPta tnheel tranche-related characteristics are highly significant for both the EU and US mb oatrhkme t aar nk edt st haet rsai gnnc sh ea rwe i tcho na shi si gt ehne tr bc aept wi t ae le anl ltohcea ttiwo no lme vaerlkwe tisl l. oFno ra veexraamg ep lhea, vi ne ai nbteht et e cr rreadt ii tn gr a. tTi nh ge fmo ue ratshu rceodl uimn nt hi ne Tnaubml eb e2r. 6o, fs hnoowt csh we sh ga itvtehne ai mopnreo- vs teamn edna tr di s- di necvrieaat isoeni ni nccarpe iat sael ai nl l occaapt ii toanl lael vl oecl aot ni o anv. eFroarg ee xdaemc rpel ae s, eas ot nh ee - cs rt ae nd di t arradt-i dn eg vbi ayt i2o. n5 notch in the US market and 1.2 notch in the EU market.19 Nt i me xet , c tohnes irset seunltt sw ii nt h CAol lpu (m2n0 1( 35 )) . aWl leo wc o nuvs etrot tehset iyme aa trei nt hd ei c ar at ot irnsgt os tuannidt sa rodf sr aot vi negr notches by dividing the year coefficient estimates by the rating notch length. F2 i. 1g u( br )e d2i. s1p( laa)yps rtohvei dp el os ttfhoer pPlaont eol fBP caonleul mA nc o( 3l u) mt hne (E3U) fmo ra rt hk ee tU. ISnmt ear reks et itnagnl yd, tFriegnudr es 17 c hOa un rg essa imn prlaet ionng l ys t ai nncdl ua rddess oEvUe rt rt iamn ceh, we se tehxactl uadr ee ai sl sl uUeSdt rf ar onmc h e1s9 t9h9a tâ a2r 0e 1i s5s. uTeod mb eafkoer ea n1 9a9c9c ui nr atthei sc or emgpr ea sr si si oo nn . o n 18 ( 2W0 1e3u) .s eT ht he reet rairpel ea nA i snasmu fpf ilcei et no tt ne sutmi fbtehreoef fof ebcstesr av raet i oc onns sfiosrt etnhte iof twh ee rufsi xeead fri xa et idn gr actai nt egg coarti ee gs ot or ye, ni na bl ilnees twaittihs t iAclapl analyses. 19 The rating notch length in our sample is (3.75 â (-8.20))/19=0.63. The coefficient of rating discrepancy in Panel Ai n corfeTaasbe lien 2r.a5t iins g0d. 5i s7c rweipt ha nac ys tianncdr eaar ds eds etvhiea tciroend iot fr0a t. 5i n0g(bs ye e0 T. 5a7b*l0e . 520. 1/, 0P. 6a 3n =e l 0A. 4) .5H3 ennoctec,hae so. n e - s t a n d a r d - d e v i a t i o n Chapter 2 - How much do Investors Rely on Credit Ratings
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