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Are lemons sold first? : dynamic signaling in the mortgage market
Adelino, Manuel; Gerardi, Kristopher; Hartman-Glaser, Barney - 2016
A central result in the theory of adverse selection in asset markets is that informed sellers can signal quality by delaying trade. This paper uses the residential mortgage market as a laboratory to test this mechanism. Using detailed, loan-level data on privately securitized mortgages, we find...
Persistent link: https://www.econbiz.de/10011536500
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Are lemons sold first? Dynamic signaling in the mortgage market
Adelino, Manuel; Gerardi, Kristopher; Hartman-Glaser, Barney - 2016
A central result in the theory of adverse selection in asset markets is that informed sellers can signal quality by delaying trade. This paper uses the residential mortgage market as a laboratory to test this mechanism. Using detailed, loan-level data on privately securitized mortgages, we find...
Persistent link: https://www.econbiz.de/10011776818
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Asymmetric information and the securitization of SME loans
Albertazzi, Ugo; Bottero, Margherita; Gambacorta, Leonardo - 2021
-transfer and default probabilities to gauge the severity of informational asymmetries in the loan securitization market. First, the …
Persistent link: https://www.econbiz.de/10012487672
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When banks' shadow fades and shadow banking rises : securitization and loan performance in China
Gong, Di; Wu, Jin; Zhu, Jigao - 2023
This study examines the relationship between securitization and loan performance using proprietary loan-level data from … retained on the bank's balance sheet, suggesting no adverse selection or moral hazard within the Chinese securitization market … alters banks' business model and eliminates other options of credit risk transfer except for securitization, we show worse …
Persistent link: https://www.econbiz.de/10014342279
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Privately versus Publicly Optimal Skin in the Game: Optimal Mechanism and Security Design
Chemla, Gilles; Hennessy, Christopher - C.E.P.R. Discussion Papers - 2011
We examine screening incentives, welfare and the case for mandatory skin-in-the-game. Ex ante banks can screen, using interim private information to choose retentions and structuring. Ex post speculators trade with rational hedging investors. Absent regulation, there is a separating equilibrium...
Persistent link: https://www.econbiz.de/10009024483
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When banks' shadow fades and shadow banking rises: Securitization and loan performance in China
Gong, Di; Wu, Jin; Zhu, Jigao - 2023
This study examines the relationship between securitization and loan performance using proprietary loan-level data from … retained on the bank's balance sheet, suggesting no adverse selection or moral hazard within the Chinese securitization market … alters banks' business model and eliminates other options of credit risk transfer except for securitization, we show worse …
Persistent link: https://www.econbiz.de/10014363823
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The effect of large investors on asset quality : evidence from subprime mortgage securities
Adelino, Manuel; Frame, W. Scott; Gerardi, Kristopher - 2014
This paper examines how the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac, the largest investors in subprime private-label mortgage-backed securities (PLS), influenced the risk characteristics and prices of the deals in which they participated. To identify the causal effect...
Persistent link: https://www.econbiz.de/10010337605
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Economic & Financial Highlights Economists Inflation Project Publications Research Centers Seminars Small Business Focus The Effect of Large Investors on Asset Quality: Evidence fr...
Adelino, Manuel; Frame, W Scott; Gerardi, Kristopher - Federal Reserve Bank of Atlanta - 2014
This paper examines how the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac, the largest investors in subprime private-label mortgage-backed securities (PLS), influenced the risk characteristics and prices of the deals in which they participated. To identify the causal effect...
Persistent link: https://www.econbiz.de/10010942499
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The effect of large investors on asset quality: Evidence from subprime mortgage securities
Adelino, Manuel; Frame, W. Scott; Gerardi, Kristopher S. - 2014
This paper examines how the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac, the largest investors in subprime private-label mortgage-backed securities (PLS), influenced the risk characteristics and prices of the deals in which they participated. To identify the causal effect...
Persistent link: https://www.econbiz.de/10010397686
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Are lemons sold first? : dynamic signaling in the mortage market
Adelino, Manuel; Gerardi, Kristopher - 2018
Persistent link: https://www.econbiz.de/10011860526