The effect of large investors on asset quality: Evidence from subprime mortgage securities

• 成果类型: Article
• 署名作者: Adelino, Manuel; Frame, W. Scott; Gerardi, Kristopher
• 署名单位: Duke University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.03.003
• 发表日期: 2017
• 页码: 34-51
• 关键词: Blockholder; Mortgage default; private information; Government sponsored enterprise

摘要

Fannie Mae and Freddie Mac (the GSEs), 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. (C) 2017 Elsevier B.V. All rights reserved.