Showing 1 - 10 of 106
Persistent link: https://www.econbiz.de/10005073417
In this paper we offer direct evidence that financial intermediation does impact underlying asset markets. We develop a specific observable symptom of a banking system that underprices the put option imbedded in non-recourse asset-backed lending. Using a dataset for 19 countries and over 500...
Persistent link: https://www.econbiz.de/10005810400
We investigate the market prices of assets in fixed supply whose purchase is typically financed through non-recourse loans. The largest and most common asset in this category is real estate. We demonstrate that within these markets, lenders’ underpricing of the put option contained in...
Persistent link: https://www.econbiz.de/10005793359
We investigate the market prices of assets in fixed supply whose purchase is typically financed through non-recourse loans. The largest and most common asset in this category is real estate. We demonstrate two features of such markets: • lenders' underpricing of the put option contained in...
Persistent link: https://www.econbiz.de/10005716861
Persistent link: https://www.econbiz.de/10009246289
This paper provides a conceptual basis for the price discovery potential for tradable market instruments and specifically the development of mortgage securitization in Asia and the potential dangers of such markets. Nonetheless we argue for the potential importance of securitization in Asia...
Persistent link: https://www.econbiz.de/10009363721
In this paper, we develop a specific observable symptom of a banking system that underprices the default spread in non-recourse asset-backed lending. Using three different data sets for 18 countries and property types, we find that, following a negative demand shock, the “underpricing”...
Persistent link: https://www.econbiz.de/10005029730
Lenders are frequently accused of mispricing the put option embedded in nonrecourse lending. Prior research shows one lender's incentives to underprice. Here, we identify the conditions for a marketwide underpricing equilibrium. We demonstrate that, in a market with many players, given...
Persistent link: https://www.econbiz.de/10005309735
Persistent link: https://www.econbiz.de/10005326106
This paper provides a conceptual basis for the price discovery potential for tradable market instruments and specifically the development of mortgage securitization in Asia and the potential dangers of such markets. Nonetheless we argue for the potential importance of securitization in Asia...
Persistent link: https://www.econbiz.de/10011252813