The effect of large investors on asset quality: Evidence from subprime mortgage securities
Publication
, Journal Article
Adelino, M; Scott Frame, W; Gerardi, K
Published in: Journal of Monetary Economics
May 1, 2017
Fannie Mae and Freddie Mac (the GSEs), the dominant investors in subprime mortgage-backed securities before the 2008 crisis, substantively affected collateral composition in this market. Mortgages included in securities designed for the GSEs performed better than those backing other securities in the same deals, holding observable risk constant. Consistent with the transmission of private information, these effects are concentrated in low-documentation loans and for issuers that were highly dependent on the GSEs and were corporate affiliates of the mortgage originators. Additional analysis of yield spreads shows that these performance differences were not reflected in prices.
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Published In
Journal of Monetary Economics
DOI
ISSN
0304-3932
Publication Date
May 1, 2017
Volume
87
Start / End Page
34 / 51
Related Subject Headings
- Economics
- 3803 Economic theory
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1403 Econometrics
- 1402 Applied Economics
- 1401 Economic Theory
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Adelino, M., Scott Frame, W., & Gerardi, K. (2017). The effect of large investors on asset quality: Evidence from subprime mortgage securities. Journal of Monetary Economics, 87, 34–51. https://doi.org/10.1016/j.jmoneco.2017.03.003
Adelino, M., W. Scott Frame, and K. Gerardi. “The effect of large investors on asset quality: Evidence from subprime mortgage securities.” Journal of Monetary Economics 87 (May 1, 2017): 34–51. https://doi.org/10.1016/j.jmoneco.2017.03.003.
Adelino M, Scott Frame W, Gerardi K. The effect of large investors on asset quality: Evidence from subprime mortgage securities. Journal of Monetary Economics. 2017 May 1;87:34–51.
Adelino, M., et al. “The effect of large investors on asset quality: Evidence from subprime mortgage securities.” Journal of Monetary Economics, vol. 87, May 2017, pp. 34–51. Scopus, doi:10.1016/j.jmoneco.2017.03.003.
Adelino M, Scott Frame W, Gerardi K. The effect of large investors on asset quality: Evidence from subprime mortgage securities. Journal of Monetary Economics. 2017 May 1;87:34–51.
Published In
Journal of Monetary Economics
DOI
ISSN
0304-3932
Publication Date
May 1, 2017
Volume
87
Start / End Page
34 / 51
Related Subject Headings
- Economics
- 3803 Economic theory
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1403 Econometrics
- 1402 Applied Economics
- 1401 Economic Theory