Asset Quality Misrepresentation by Financial Intermediaries: Evidence from the RMBS Market

• 成果类型: Article
• 署名作者: Piskorski, Tomasz; Seru, Amit; Witkin, James
• 署名单位: Columbia University; University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12271
• 发表日期: 2015
• 页码: 2635-2678
• 关键词: mortgage; securitization; MODEL; COMPENSATION; INVESTMENT; prices; IMPACT; FRAUD

摘要

We document that contractual disclosures by intermediaries during the sale of mortgages contained false information about the borrower's housing equity in 7-14% of loans. The rate of misrepresented loan default was 70% higher than for similar loans. These misrepresentations likely occurred late in the intermediation and exist among securities sold by all reputable intermediaries. Investorsincluding large institutionsholding securities with misrepresented collateral suffered severe losses due to loan defaults, price declines, and ratings downgrades. Pools with misrepresentations were not issued at a discount. Misrepresentation on another easy-to-quantify dimension shows that these effects are a conservative lower bound.