Agarwal, Sumit; Chang, Yan; Yavas, Abdullah - In: Journal of Financial Economics 105 (2012) 3, pp. 640-660
Using several large data sets of mortgage loans originated between 2004 and 2007, we find that in the prime mortgage market, banks generally sold low-default-risk loans into the secondary market while retaining higher-default-risk loans in their portfolios. In contrast, these lenders retained...
