Securitization and Screening: Evidence From Subprime Mortgage Backed Securities
Theories of financial intermediation suggest that securitization, the act of converting illiquid loans into liquid securities, could reduce the incentives of financial intermediaries to screen borrowers. We empirically examine this question using a unique dataset on securitized subprime mortgage loan contracts in the United States. We exploit two specific rules of thumb in the lending market to generate instruments for ease of securitization and compare the composition and performance of lenders portfolios around the adhoc thresholds. Conditional on being securitized, the portfolio that is more likely to be securitized defaults by 10-22％ more than a similar risk profile group with a lower probability of securitization. Crucially, these two portfolios have similar observable risk characteristics and loan terms. We use variation across lenders (banks vs. independents), state foreclosure laws, and the timing of passage of anti-predatory laws to rule out alternative explanations. Our results suggest that securitization does adversely affect the screening incentives of lenders.
Benjamin J. Keys Tanmoy Mukherjee Amit Seru Vikrant Vig
University of Michigan,Sorin Capital Management,University of Chicago,and London Business School
国际会议
大连
英文
1-52
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）