The Effect of Large Investors on Asset Quality: Evidence from Subprime Mortgage Securities

Autor:	Adelino, Manuel, Frame, W. Scott, Gerardi, Kristopher S.
Rok vydání:	2014
Předmět:	jel:G17 jel:G23 mortgage default GSEs securitization private information jel:G21
Popis:	The government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac—the dominant investors in subprime mortgage-backed securities before the 2008 crisis—substantively affected collateral composition in this market. Mortgages included in securities designed for the GSEs performed better than those backing other securities in the same deals, holding observable risk constant. Consistent with the transmission of private information, these effects are concentrated in low-documentation loans and for issuers that were highly dependent on the GSEs and were corporate affiliates of the mortgage originators. Additional analysis of yield spreads shows that these performance differences were not reflected in prices.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od_______645::65beccad16cda7ee9513473eaff8aa75 https://www.frbatlanta.org/-/media/documents/research/publications/wp/2014/04a-the-effect-of-large-investors-on-asset-quality-evidence-from-subprime-mortgage-securities-2017-03-23.pdf Zobrazit plný text záznamu