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Is the Market for Mortgage-Backed Securities a Market for Lemons?
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Cited by:
- Christophe Pérignon & David Thesmar & Guillaume Vuillemey, 2018.
"Wholesale Funding Dry‐Ups,"
Journal of Finance, American Finance Association, vol. 73(2), pages 575-617, April.
- Pérignon, Christophe & Thesmar, David & Vuillemey, Guillaume, 2017. "Wholesale funding dry-ups," ESRB Working Paper Series 49, European Systemic Risk Board.
- Perignon, Christophe & Thesmar, David & Vuillemey, Guillaume, 2017. "Wholesale Funding Dry-Ups," HEC Research Papers Series 1144, HEC Paris.
- Bhattacharya, Sudipto & Chabakauri, Georgy & Nyborg, Kjell G., 2011. "Securitized lending, asymmetric information, and financial crisis," LSE Research Online Documents on Economics 43166, London School of Economics and Political Science, LSE Library.
- Marco Di Maggio & Amir Kermani & Christopher Palmer, 2016. "How Quantitative Easing Works: Evidence on the Refinancing Channel," NBER Working Papers 22638, National Bureau of Economic Research, Inc.
- Malamud, Semyon & Rui, Huaxia & Whinston, Andrew, 2013. "Optimal incentives and securitization of defaultable assets," Journal of Financial Economics, Elsevier, vol. 107(1), pages 111-135.
- Berndt, Antje & Hollifield, Burton & Sandås, Patrik, 2017. "What Broker Charges Reveal about Mortgage Credit Risk," Working Paper Series 336, Sveriges Riksbank (Central Bank of Sweden).
- Ryan Bubb & Alex Kaufman, 2011. "Securitization and moral hazard: evidence from credit score cutoff rules," Public Policy Discussion Paper 11-6, Federal Reserve Bank of Boston.
- Chen, Zhizhen & Liu, Frank Hong & Opong, Kwaku & Zhou, Mingming, 2017. "Short-term safety or long-term failure? Empirical evidence of the impact of securitization on bank risk," Journal of International Money and Finance, Elsevier, vol. 72(C), pages 48-74.
- Nicolas Caramp, 2021. "Sowing the Seeds of Financial Crises: Endogenous Asset Creation and Adverse Selection," Working Papers 342, University of California, Davis, Department of Economics.
- V.V. Chari & Ali Shourideh & Ariel Zetlin-Jones, 2010. "Adverse Selection, Reputation and Sudden Collapses in Secondary Loan Markets," NBER Working Papers 16080, National Bureau of Economic Research, Inc.
- Manuel Adelino & Kristopher Gerardi & Barney Hartman-Glaser, 2016.
"Are Lemons Sold First? Dynamic Signaling in the Mortgage Market,"
FRB Atlanta Working Paper
2016-8, Federal Reserve Bank of Atlanta.
- Manuel Adelino & Kristopher Gerardi & Barney Hartman-Glaser, 2018. "Are Lemons Sold First? Dynamic Signaling in the Mortgage Market," NBER Working Papers 24180, National Bureau of Economic Research, Inc.
- Matthew J. Botsch, 2022. "Public and Private Benefits of Information in Markets for Securitized Assets," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 48(3), pages 319-365, June.
- Gorton, Gary & Metrick, Andrew, 2013.
"Securitization,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1-70,
Elsevier.
- Gary Gorton & Andrew Metrick, 2012. "Securitization," NBER Working Papers 18611, National Bureau of Economic Research, Inc.
- Anton Tsoy, 2016. "Liquidity and Prices in Decentralized Markets with Almost Public Information," 2016 Meeting Papers 8, Society for Economic Dynamics.
- James Vickery & Joshua Wright, 2013.
"TBA trading and liquidity in the agency MBS market,"
Economic Policy Review, Federal Reserve Bank of New York, vol. 19(May), pages 1-18.
- James Vickery & Joshua Wright, 2010. "TBA trading and liquidity in the agency MBS market," Staff Reports 468, Federal Reserve Bank of New York.
- Agarwal, Sumit & Chang, Yan & Yavas, Abdullah, 2012. "Adverse selection in mortgage securitization," Journal of Financial Economics, Elsevier, vol. 105(3), pages 640-660.
- Omneya Abdelsalam & Marwa Elnahass & Sabur Mollah, 2018. "Religiosity and Bank Asset Securitization," Working Papers 2018-13, Swansea University, School of Management.
- Marques, Manuel O. & Pinto, João M., 2020.
"A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance,"
Journal of Corporate Finance, Elsevier, vol. 62(C).
- João Pinto & Manuel Marques & William Megginson, 2013. "A Comparative Analysis Of Ex Ante Credit Spreads: Structured Finance Versus Straight Debt Finance," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
- Josephson, Jens & Shapiro, Joel, 2020.
"Credit ratings and structured finance,"
Journal of Financial Intermediation, Elsevier, vol. 41(C).
- Josephson, Jens & Shapiro, Joel, 2018. "Credit Ratings and Structured Finance," Working Paper Series 1236, Research Institute of Industrial Economics, revised 15 Feb 2019.
- Shapiro, Joel & Josephson, Jens, 2019. "Credit Ratings and Structured Finance," CEPR Discussion Papers 13534, C.E.P.R. Discussion Papers.
- Benjamin H. Mandel & Donald P. Morgan & Chenyang Wei, 2012.
"The Role of bank credit enhancements in securitization,"
Economic Policy Review, Federal Reserve Bank of New York, issue 07, pages 35-46.
- Benjamin H. Mandel & Donald P. Morgan & Chenyang Wei, 2012. "The Role of Bank Credit Enhancements in Securitization," Liberty Street Economics 20120718, Federal Reserve Bank of New York.
- Thomas Mählmann, 2016. "Market share and risk taking: the role of collateral asset managers in the collapse of the arbitrage CDO market," Review of Quantitative Finance and Accounting, Springer, vol. 47(2), pages 273-303, August.
- Bianchi, Milo & Jehiel, Philippe, 2020.
"Bundlers' dilemmas in financial markets with sampling investors,"
Theoretical Economics, Econometric Society, vol. 15(2), May.
- Bianchi, Milo & Jehiel, Philippe, 2019. "Bundlers Dilemmas in Financial Markets with Sampling Investors," TSE Working Papers 19-1042, Toulouse School of Economics (TSE).
- Milo Bianchi & Philippe Jehiel, 2020. "Bundlers Dilemmas in Financial Markets with Sampling Investors," Post-Print hal-02909219, HAL.
- Milo Bianchi & Philippe Jehiel, 2020. "Bundlers Dilemmas in Financial Markets with Sampling Investors," PSE-Ecole d'économie de Paris (Postprint) hal-02909219, HAL.
- Ariel Zetlin-Jones & Ali Shourideh, 2010. "Aggregate Fluctuations with Adverse Selection in Credit Markets," 2010 Meeting Papers 376, Society for Economic Dynamics.
- João Pinto, 2014. "The Economics of Securitization: Evidence from the European Markets," Working Papers de Economia (Economics Working Papers) 02, Católica Porto Business School, Universidade Católica Portuguesa.
- Robert Shimer, 2014.
"Private Information in the Mortgage Market: Evidence and a Theory of Crises,"
Central Banking, Analysis, and Economic Policies Book Series, in: Sofía Bauducco & Lawrence Christiano & Claudio Raddatz (ed.),Macroeconomic and Financial Stability: challenges for Monetary Policy, edition 1, volume 19, chapter 4, pages 117-150,
Central Bank of Chile.
- Robert Shimer, 2013. "private information in the mortgage market: evidence and a theory of crises," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 16(2), pages 68-95, August.
- Robert Shimer, 2013. "Private Information and the Mortgage Market: Evidence and a Theory of Crises," Working Papers Central Bank of Chile 716, Central Bank of Chile.
- Milo Bianchi & Philippe Jehiel, 2019.
"Bundling, Belief Dispersion, and Mispricing in Financial Markets,"
PSE Working Papers
halshs-02183306, HAL.
- Milo Bianchi & Philippe Jehiel, 2019. "Bundling, Belief Dispersion, and Mispricing in Financial Markets," Working Papers halshs-02183306, HAL.
- Philip Bond & Yaron Leitner, 2013. "Market run-ups, market freezes, inventories, and leverage," Working Papers 13-14, Federal Reserve Bank of Philadelphia.
- Hajime Tomura, 2012. "Asset Illiquidity and Market Shutdowns in Competitive Equilibrium," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 283-294, July.
- W. Scott Frame, 2018.
"Agency Conflicts In Residential Mortgage Securitization: What Does The Empirical Literature Tell Us?,"
Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 41(2), pages 237-251, June.
- W. Scott Frame, 2017. "Agency Conflicts in Residential Mortgage Securitization: What Does the Empirical Literature Tell Us?," FRB Atlanta Working Paper 2017-1, Federal Reserve Bank of Atlanta.
- K. W. Chau & Lennon H. T. Choy, 2011. "Let the Buyer or Seller Beware: Measuring Lemons in the Housing Market under Different Doctrines of Law Governing Transactions and Information," Journal of Law and Economics, University of Chicago Press, vol. 54(S4), pages 347-365.
- Haoyang Liu & Zhaogang Song & James Vickery, 2021.
"Defragmenting Markets: Evidence from Agency MBS,"
Staff Reports
965, Federal Reserve Bank of New York.
- Haoyang Liu & Zhaogang Song & James Vickery, 2021. "Defragmenting Markets: Evidence from Agency MBS," Working Papers 21-25, Federal Reserve Bank of Philadelphia.
- Sascha Tobias Wengerek & Benjamin Hippert & André Uhde, 2019. "Risk allocation through securitization - Evidence from non-performing loans," Working Papers Dissertations 58, Paderborn University, Faculty of Business Administration and Economics.
- Kim, Jeong-Bon & Song, Byron Y. & Wang, Zheng, 2017. "Special purpose entities and bank loan contracting," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 133-152.
- Hartman-Glaser, Barney & Piskorski, Tomasz & Tchistyi, Alexei, 2012. "Optimal securitization with moral hazard," Journal of Financial Economics, Elsevier, vol. 104(1), pages 186-202.
- Fenner, Arved & Klein, Philipp & Mössinger, Carina, 2021. "Better be careful: The replenishment of ABS backed by SME loans," Discussion Papers 30/2021, Deutsche Bundesbank.
- Spiros Bougheas, 2014.
"Pooling, tranching, and credit expansion,"
Oxford Economic Papers, Oxford University Press, vol. 66(2), pages 557-579.
- Spiros Bougheas, 2012. "Pooling, Tranching and Credit Expansion," CESifo Working Paper Series 3859, CESifo.
- Spiros Bougheas, 2012. "Pooling, Tranching and Credit Expansion," Discussion Papers 12/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Andra Ghent & Rossen Valkanov, 2016. "Comparing Securitized and Balance Sheet Loans: Size Matters," Management Science, INFORMS, vol. 62(10), pages 2784-2803, October.
- Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2018.
"Investment, Tobin’s q, and interest rates,"
Journal of Financial Economics, Elsevier, vol. 130(3), pages 620-640.
- Xioaji Lin & Chong Wang & Neng Wang & Jinqiang Yang, 2013. "Investment, Tobin's q, and Interest Rates," NBER Working Papers 19327, National Bureau of Economic Research, Inc.
- Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2016. "Investment, Tobin's q, and Interest Rates," Working Paper Series 2016-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Bougheas, Spiros & Worrall, Tim, 2019.
"Portfolio sales and signaling,"
Journal of Banking & Finance, Elsevier, vol. 99(C), pages 182-191.
- Spiros Bougheas & Tim Worrall, 2017. "Portfolio Sales and Signaling," Discussion Papers 2017/01, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Spiros Bougheas & Tim Worrall, 2017. "Portfolio Sales and Signaling," CESifo Working Paper Series 6354, CESifo.
- Nicola Fusari & Wei Li & Haoyang Liu & Zhaogang Song, 2020. "Asset Pricing with Cohort-Based Trading in MBS Markets," Staff Reports 931, Federal Reserve Bank of New York.
- Katerina Ivanov, 2021. "Credit Enhancement Mechanism in Loan Securitization and Its Implication to Systemic Risk," Discussion Paper Series 2021-01, McColl School of Business, Queens University of Charlotte.
- Yesol Huh & You Suk Kim, 2021. "Cheapest-to-Deliver Pricing, Optimal MBS Securitization, and Market Quality," Finance and Economics Discussion Series 2021-031, Board of Governors of the Federal Reserve System (U.S.).
- Yavas, Abdullah & Zhu, Shuang, 2024. "Private mortgage securitization and adverse selection—New evidence from expected loan losses," Journal of Banking & Finance, Elsevier, vol. 162(C).
- Philip Bond & Yaron Leitner, 2010. "Market run-ups, market freezes, and leverage," Working Papers 10-36, Federal Reserve Bank of Philadelphia.
- Hibbeln, Martin & Osterkamp, Werner, 2024. "The Impact of Risk Retention on Moral Hazard in the Securitization Market," Journal of Banking & Finance, Elsevier, vol. 163(C).
- Bond, Philip & Leitner, Yaron, 2015. "Market run-ups, market freezes, inventories, and leverage," Journal of Financial Economics, Elsevier, vol. 115(1), pages 155-167.
- Wengerek, Sascha Tobias & Hippert, Benjamin & Uhde, André, 2022. "Risk allocation through securitization: Evidence from non-performing loans," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 48-64.
- Sarkisyan, Anna & Casu, Barbara, 2013. "Retained interests in securitisations and implications for bank solvency," Working Paper Series 1538, European Central Bank.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2013. "The ins and outs of LSAPs," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City.
- Patir, Assaf, 2017. "Securitization, bank vigilance, leverage and sudden stops," MPRA Paper 81463, University Library of Munich, Germany.
- An, Xudong & Deng, Yongheng & Gabriel, Stuart A., 2011. "Asymmetric information, adverse selection, and the pricing of CMBS," Journal of Financial Economics, Elsevier, vol. 100(2), pages 304-325, May.
- Nicola Fusari & Wei Li & Haoyang Liu & Zhaogang Song, 2022. "Asset Pricing with Cohort‐Based Trading in MBS Markets," Journal of Finance, American Finance Association, vol. 77(6), pages 3249-3287, December.
- Martin Obschonka & Moren Levesque, 2024. "A Market for Lemons? Strategic Directions for a Vigilant Application of Artificial Intelligence in Entrepreneurship Research," Papers 2409.08890, arXiv.org.
- Nicholas Arcidiacono & Lawrence R. Cordell & Andrew Davidson & Alex Levin, 2013. "Understanding and measuring risks in Agency CMOs," Working Papers 13-08, Federal Reserve Bank of Philadelphia.
- Jing Liu & Ilhyock Shim & Yanfeng Zheng, 2023. "Absolute blockchain strength? Evidence from the ABS market in China," BIS Working Papers 1116, Bank for International Settlements.
- Adelino, Manuel & Gerardi, Kristopher & Hartman-Glaser, Barney, 2019. "Are lemons sold first? Dynamic signaling in the mortgage market," Journal of Financial Economics, Elsevier, vol. 132(1), pages 1-25.