Ashcraft, A.; Goldsmith-Pinkham, P.; Vickery, J. - Tilburg University, Center for Economic Research - 2010
We study credit ratings on subprime and Alt-A mortgage-backed securities (MBS) deals issued between 2001 and 2007, the … credit risk (measured either ex-ante or ex-post), suggesting ratings contain useful information for investors. However, we … also find evidence of significant time-variation in risk-adjusted credit ratings, including a progressive decline in …