Securitization and distressed loan renegotiation: Evidence from the subprime mortgage crisis

• 成果类型: Article
• 署名作者: Piskorski, Tomasz; Seru, Amit; Vig, Vikrant
• 署名单位: University of Chicago; Columbia University; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.04.003
• 发表日期: 2010
• 页码: 369-397
• 关键词: Securitization; RENEGOTIATION; incentives; CRISIS; defaults

摘要

We examine whether securitization impacts renegotiation decisions of loan servicers, focusing on their decision to foreclose a delinquent loan. Conditional on a loan becoming seriously delinquent, we find a significantly lower foreclosure rate associated with bank-held loans when compared to similar securitized loans: across various specifications and origination vintages, the foreclosure rate of delinquent bank-held loans is 3% to 7% lower in absolute terms (13% to 32% in relative terms). There is a substantial heterogeneity in these effects with large effects among borrowers with better credit quality and small effects among lower quality borrowers. A quasi-experiment that exploits a plausibly exogenous variation in securitization status of a delinquent loan confirms these results. (C) 2010 Elsevier B.V. All rights reserved.