Complexity in Structured Finance

• 成果类型: Article
• 署名作者: Ghent, Andra C.; Torous, Walter N.; Valkanov, Rossen, I
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; Massachusetts Institute of Technology (MIT); University of California System; University of California San Diego
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdx071
• 发表日期: 2019
• 页码: 694-722
• 关键词: search; MODEL; securities; liquidity; MARKET

摘要

We study complexity in the market for securitized products, a market at the heart of the financial crisis of 2007-9. The complexity of these products rose substantially in the years preceding the financial crisis. We find that securities in more complex deals default more and have lower realized returns. The worse performance is economically meaningful: a one standard deviation increase in complexity represents an 18% increase in default on AAA securities. However, yields of more complex securities are not higher indicating that investors did not perceive them as riskier. Our results are consistent with complexity obfuscating security quality.