Informed and Uninformed Investment in Housing: The Downside of Diversification

• 成果类型: Article
• 署名作者: Loutskina, Elena; Strahan, Philip E.
• 署名单位: University of Virginia; University of Pennsylvania; Boston College; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq142
• 发表日期: 2011
• 页码: 1447
• 关键词: risk; securitization; CONSEQUENCES; COMPETITION; industry; finance

摘要

Mortgage lenders that concentrate in a few markets invest more in information collection than diversified lenders. Concentrated lenders focus on the information-intensive jumbo market and on high-risk borrowers. They are better positioned to price risks and, thus, ration credit less. Adverse selection, however, leads to higher retention of mortgages relative to diversified lenders. Finally, concentrated lenders have higher profits than diversified lenders, their profits vary less systematically, and their stock prices fell less during the 2007-2008 credit crisis. The results imply that geographic diversification led to a decline in screening by lenders, which likely played a role in the 2007-2008 crisis.