8/12/2019 Data Sources From Papers

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Difference between RatingsDirect, RatingsXpress and Ratings IQuery Database from S&P? Which one is

better for us?

Commercial Paper

Paper - Commercial Paper and Financial Flexibility by Shivdasani

Looks at CP issuance and variability in investments and performance

Datafrom Moodys and S&P for 1971 to 2005, 10 K filings for a small subset of firms

Paper - A multiple discriminant analysis of BHC commercial paper ratings by John W. PEAVY, III and S. Michael

EDGAR

Looks at a predictive model that tries to predict Moodys CP ratings for BHCs

DataCP ratings for BHCs from Moodys

Barclay, Michael J., and Clifford W. Smith, Jr., 1995, The Maturity Structure of Corporate Debt

Looks at Maturity Structure of Corporate Debt at signaling by firms

DataCompustat, SP Ratings from Compustat combined for Bonds, CPs

The term structure of commercial paper rates by Chris Downing, Stephen Oliner

Has chart of Term premiums for 30-day commercial paper. From 1998 to 2005

The data source for term premia is the Federal Reserve Board (based on data from the Federal Reserve Bank

of New York dealer survey through 1997 and data from the Depository Trust Company after 1997).

Lemons and CDOs by Christopher Mayer, Oliver Faltin-Traeger

Looks at Why Did So Many Lenders Issue Poorly Performing CDOs?

DataS&Ps RatingsXpress database of structured finance ratings for ABS and CDOs

The Effect of a Rating Downgrade on Outstanding Commercial Paper by LELAND CRABBE AND MITCHELL A.

POST (1994)

Looks at different behavior of CP and CD post downgrades

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Data - Looks only at BHC CPs because only that microdata was available, Data on outstanding CP and CD of

BHCs and Large Banks were obtained from the report form FR 2416, "Weekly Report of Assets and Liabilities

for Large Banks." Rating History of BHCs from Moody's Global Short-Term Market and Moody's Bond Survey

Paper - Evolution of Financial CrisisCollapse of ABCP market by Covitz, Suarez

Looks at ABCP market in 2007 financial crisis

DataDeposit Trust and Clearing Corporation

Other Related

Paper - Are Mutual Funds sitting ducks? By Sophie Shive, Huyang Yun

Looks Hedge Funds making money of trading due to predictable flows by MFs

DataCRSP Mutual Fund Database for MF flows, 13FSEC from Thomson Reuters that has portfolioholdings (Long only) of Investment Mgrs with assets > 100 mn USD, Lipper TASS hedge fund database

Paper - The real consequences of Market Segmentation by Sundaram and Cherenenko

Looks at costs of Investment Grade Cut-off by Credit Rating Agencies

DataRating Outlooks and Bank Loan Ratings from S&P RatingsDirect and Ratings Iquery Databases. But

looks at Long Term Ratings and not CP Ratings

Paper - How Safe are Money Market Funds? By Marcin Kacperczyk, Philipp Schnabl (2013 JFE)

Looks at examine the risk-taking behavior of money market funds during the financial crisis of 2007-2010.

Best Data on Mutual Funds in Academia compiled from 5 sources

iMoneyNet for money market funds' holdings, CRSP Mutual Fund Database for assets undermanagement of the fund sponsor, COMPUSTAT and companies' websites for information on fundsponsor characteristics, Ratings of Sponsors of Mutual Funds from S&P Ratingsxpressand LehmanBrothers Bond Database,data on no-action letters issued by the SEC - an indication that a sponsorprovided financial support to its fund

Credit Lines

Paper - Debt Specialization by PAOLO COLLA, FILIPPO IPPOLITO, and KAI LI*

Looks at debt structure of public US firms

Data - Capital IQ2002 onwards - only 16,115 firm-year observations from 2002 to 2009

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Capital IQ has both rated and unrated firmstypes of debt commercial paper, drawn credit lines (also known

as revolving credit facilities), term loans, senior and subordinated bonds and notes, and capital leases.

Paper - Corporate Liquidity by Filippo Ippolito, Ander Perez

Looks at evidence on undrawn credit in U.S. public corporations

Data - CIQfrom 2002 to 2008

CIQ compiles detailed information on capital structure and debt structure by going through Financial

footnotes contained in Firms 10K Securities and Exchange Commission (SEC) Filings. Firms provide detailed

information on the drawn and undrawn portions of their lines of credit in the liquidity and capital resources

section under the management discussion, or in the Financial footnotes explaining debt obligations, and CIQ

compiles this data. 10K Filings typically also contain information on pricing and maturity of lines of credit, but

this data is not collected by CIQ.