Securitization, Credit Rating and Issuers’ Characteristics
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | , |
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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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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1754732237488652288 |