Purpose – The purpose of this paper is to illustrate the limitations and potential bias in securitized residential mortgage data and examine the importance of such data issues for typical studies of residential mortgage-backed security (RMBS) market and the financial crisis....

The present analysis estimates Markowitz portfolio correlations for retail loan portfolios. The correlations are derived from almost $1 trillion of asset backed security pools originated by more than five hundred issuers between January 2000 and September 2003. Such a broad sample, comprised of...

Literature to date has identified three main aspects of liquidation time: Firm size, asset specificity, and industry concentration. The present paper unifies the theory behind these three aspects of bankruptcy costs by treating them as components of a broader option valuation problem faced by...

This paper explores the motivations and desirability of off-balance sheet financing of credit card receivables by banks. We explore three related issues: the degree to which securitizations result in the transfer of risk out of the originating bank, the extent to which securitization permits...

The puzzle of underissuance of national bank notes disappears when one disaggregates data, takes account of regulatory limits, and considers differences in opportunity costs. Banks with poor lending opportunities maximized their issuance. Other banks chose to limit issuance. Redemption costs do...

This paper explores the motivations and desirability of off-balance-sheet financing of credit card receivables by banks. The authors explore three related issues: the degree to which securitizations result in the transfer of risk out of the originating bank, the extent to which securitization...

The present paper uses data from revolving credit card securitizations to show that, conditional on being in a position where implicit recourse has become necessary and actually providing that recourse, recourse to securitized debt may benefit short- and long-term stock returns, and long-term...

We examine the social costs of asymmetric-information-induced bank panics in an environment without government deposit insurance. Our case study is the Chicago bank panic of June 1932. We compare the ex ante characteristics of panic failures and panic survivors. Despite temporary confusion about...

The paper uses a unique set of Depression-era bank financial data in a two-step system of equations with instrumental variables to estimate the effectiveness of lender of last resort (LOLR) strategies in a survival model with self-selection bias. Decreasing RFC loan collateral requirements over...

We hypothesize that financial disintermediation during and after the Great Depression arose from the slow liquidation of failed-bank deposits in the years following financial crises. We construct a data series containing the stock of failed national bank deposits for the period 1921-1940. Our...