Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities?

• 成果类型: Article
• 署名作者: Griffin, John; Lowery, Richard; Saretto, Alessio
• 署名单位: University of Texas System; University of Texas Austin; University of Texas System; University of Texas Dallas
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu030
• 发表日期: 2014
• 页码: 2872
• 关键词: initial public offerings; Subprime mortgage crisis; investment banking; Credit ratings; loans; price; RISK

摘要

Conventional wisdom suggests that high-reputation banks will generally produce good securities to maintain their long-run reputation. We show with a simple model that, when securities are complex a high-reputation bank may produce assets that underperform during market downturns. We examine this possibility using a unique sample of $10.1 trillion of CLO, MBS, ABS, and CDOs. Contrary to the conventional view, securities issued by more reputable banks did not outperform but, rather, had higher proportions of capital in default.