Securitization, Credit Rating and Issuers’ Characteristics

Detalhes bibliográficos
Autor(a) principal: Fernandes, Mauricio Palmada
Data de Publicação: 2014
Outros Autores: Sheng, Hsia Hua, Lora, Mayra Ivanoff
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/180
Resumo: Given the growth of securitization through Credit Receivables Investment Funds (Fundos  de Investimento em Direitos Creditórios - FIDCs) in Brazil in recent years, this work aims to investigate empirically the relationship between securitization and credit rating in the Brazilian market. All issues of FIDCs held by banks and registered in the CVM from 2005 to July 2010 were analyzed. The two hypotheses discussed by Gorton and Souleles (2005) were confirmed to Brazilian financial institutions. There is evidence of an implied contract between the transferor companies and investors in securitizations made via FIDCs. Companies with higher credit risk, worst ratings, tend to securitize more. However no relationship was found between securitization and asset value, amount of loans or capital ratio.
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spelling Securitization, Credit Rating and Issuers’ CharacteristicsSecuritização, Rating de Crédito e Características dos EmissoresSecuritizationRatingImplicit contractFIDCsSpreadSecuritizaçãoRatingContrato implícitoFIDCsSpreadGiven the growth of securitization through Credit Receivables Investment Funds (Fundos  de Investimento em Direitos Creditórios - FIDCs) in Brazil in recent years, this work aims to investigate empirically the relationship between securitization and credit rating in the Brazilian market. All issues of FIDCs held by banks and registered in the CVM from 2005 to July 2010 were analyzed. The two hypotheses discussed by Gorton and Souleles (2005) were confirmed to Brazilian financial institutions. There is evidence of an implied contract between the transferor companies and investors in securitizations made via FIDCs. Companies with higher credit risk, worst ratings, tend to securitize more. However no relationship was found between securitization and asset value, amount of loans or capital ratio.Dado o crescimento da securitização via Fundos de Investimento em Direitos Creditórios no Brasil, nos últimos anos, este trabalho visa a investigar empiricamente a relação entre securitização e rating de crédito no mercado brasileiro. Foram analisadas todas as emissões de FIDCs realizadas por bancos e registradas na CVM de 2005 a julho de 2010. As duas hipóteses discutidas por Gorton e Souleles (2005) foram confirmadas para instituições financeiras brasileiras. Há evidências de um contrato implícito entre as empresas cedentes e os investidores nas securitizações feitas via FIDCs. As empresas com maior risco de crédito, piores ratings, tendem a securitizar mais. No entanto não foi encontrada uma relação entre securitização e valor dos ativos, quantidade de operações de crédito ou capital ratio.FUCAPE Business Shool2014-11-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/18010.15728/bbr.2014.11.6.1Brazilian Business Review; Vol. 11 No. 6 (2014): November to December 2014; 1-21Brazilian Business Review; v. 11 n. 6 (2014): Novembro a Dezembro de 2014; 1-211808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/180/269http://www.bbronline.com.br/index.php/bbr/article/view/180/270Fernandes, Mauricio PalmadaSheng, Hsia HuaLora, Mayra Ivanoffinfo:eu-repo/semantics/openAccess2018-11-06T19:49:51Zoai:ojs.pkp.sfu.ca:article/180Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:49:51BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv Securitization, Credit Rating and Issuers’ Characteristics
Securitização, Rating de Crédito e Características dos Emissores
title Securitization, Credit Rating and Issuers’ Characteristics
spellingShingle Securitization, Credit Rating and Issuers’ Characteristics
Fernandes, Mauricio Palmada
Securitization
Rating
Implicit contract
FIDCs
Spread
Securitização
Rating
Contrato implícito
FIDCs
Spread
title_short Securitization, Credit Rating and Issuers’ Characteristics
title_full Securitization, Credit Rating and Issuers’ Characteristics
title_fullStr Securitization, Credit Rating and Issuers’ Characteristics
title_full_unstemmed Securitization, Credit Rating and Issuers’ Characteristics
title_sort Securitization, Credit Rating and Issuers’ Characteristics
author Fernandes, Mauricio Palmada
author_facet Fernandes, Mauricio Palmada
Sheng, Hsia Hua
Lora, Mayra Ivanoff
author_role author
author2 Sheng, Hsia Hua
Lora, Mayra Ivanoff
author2_role author
author
dc.contributor.author.fl_str_mv Fernandes, Mauricio Palmada
Sheng, Hsia Hua
Lora, Mayra Ivanoff
dc.subject.por.fl_str_mv Securitization
Rating
Implicit contract
FIDCs
Spread
Securitização
Rating
Contrato implícito
FIDCs
Spread
topic Securitization
Rating
Implicit contract
FIDCs
Spread
Securitização
Rating
Contrato implícito
FIDCs
Spread
description Given the growth of securitization through Credit Receivables Investment Funds (Fundos  de Investimento em Direitos Creditórios - FIDCs) in Brazil in recent years, this work aims to investigate empirically the relationship between securitization and credit rating in the Brazilian market. All issues of FIDCs held by banks and registered in the CVM from 2005 to July 2010 were analyzed. The two hypotheses discussed by Gorton and Souleles (2005) were confirmed to Brazilian financial institutions. There is evidence of an implied contract between the transferor companies and investors in securitizations made via FIDCs. Companies with higher credit risk, worst ratings, tend to securitize more. However no relationship was found between securitization and asset value, amount of loans or capital ratio.
publishDate 2014
dc.date.none.fl_str_mv 2014-11-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/180
10.15728/bbr.2014.11.6.1
url http://www.bbronline.com.br/index.php/bbr/article/view/180
identifier_str_mv 10.15728/bbr.2014.11.6.1
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/180/269
http://www.bbronline.com.br/index.php/bbr/article/view/180/270
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 11 No. 6 (2014): November to December 2014; 1-21
Brazilian Business Review; v. 11 n. 6 (2014): Novembro a Dezembro de 2014; 1-21
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
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