Why Did Holdings of Highly Rated Securitization Tranches Differ So Much across Banks?

• 成果类型: Article
• 署名作者: Erel, Isil; Nadauld, Taylor; Stulz, Rene M.
• 署名单位: University System of Ohio; Ohio State University; Brigham Young University; National Bureau of Economic Research; University System of Ohio; Ohio State University; University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht077
• 发表日期: 2014
• 页码: 404
• 关键词: LOAN SALES; RISK; liquidity; MODEL

摘要

We provide estimates of holdings of highly rated securitization tranches of U.S. bank holding companies before the credit crisis and evaluate hypotheses that have been advanced to explain them. Whereas holdings exceeded Tier 1 capital for some large banks, they were economically trivial for the typical bank. Banks with high holdings were not riskier before the crisis using conventional measures, but they performed poorly during the crisis. We find that holdings of highly rated tranches were correlated with a bank's securitization activity. Theories unrelated to the securitization activity, such as bad incentives or bad risk management, are not supported in the data.