Securitization and Loan Performance: Ex Ante and Ex Post Relations in the Mortgage Market

• 成果类型: Article
• 署名作者: Jiang, Wei; Nelson, Ashlyn Aiko; Vytlacil, Edward
• 署名单位: Columbia University; Indiana University System; Indiana University Bloomington; New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht073
• 发表日期: 2014
• 页码: 454
• 关键词: Sales

摘要

This study examines the relation between securitization and loan performance using a comprehensive dataset from a major national mortgage lender. Loans remaining on the bank's balance sheet ex post incurred higher delinquency rates than sold loans, contrasting the negative relation between screening efforts and ex ante probability of loan sale explored by prior studies. Moreover, the performance gap between sold and retained loans was wider among the subsample of loans that were perceived as easier to resell. The investors'seeming advantage over the originating bank can mostly be explained by information revealed during the time between loan origination and sale.