The Influence of Sponsor, Servicer and Underwriter Characteristics on RMBS Performance

Financial Markets and Portfolio Management 25 (2011), 281-311.

36 Pages Posted: 5 Apr 2010 Last revised: 8 May 2013

See all articles by Andre Guettler

Andre Guettler

Ulm University - Department of Mathematics and Economics; Halle Institute for Economic Research

Ulrich Hommel

EBS Business School

Julia Reichert

EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting

Date Written: April 2, 2010

Abstract

This paper assesses how the performance of US residential mortgage-backed securities (RMBSs) varied depending on sponsor, servicer, and underwriter characteristics. We find that the larger and “healthier” the sponsor of the transaction, the better the performance of the securitized loans. This finding is consistent with the hypothesis that banks with a longer market perspective are less willing to risk their good reputation for a gain in short-term profits. More surprisingly, we also find that there is a negative relationship between the market share of the lead underwriter and performance. In contrast to reputational capital theory, it appears that investment banks with high market shares in the securitization business have exploited their reputational capital.

Keywords: Securitization, information asymmetries, reputation

Suggested Citation

Guettler, Andre and Hommel, Ulrich and Reichert, Julia, The Influence of Sponsor, Servicer and Underwriter Characteristics on RMBS Performance (April 2, 2010). Financial Markets and Portfolio Management 25 (2011), 281-311., Available at SSRN: https://ssrn.com/abstract=1583582

Andre Guettler (Contact Author)

Ulm University - Department of Mathematics and Economics ( email )

Helmholzstrasse
Ulm, D-89081
Germany

Halle Institute for Economic Research ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06017 Halle, 06108
Germany

Ulrich Hommel

EBS Business School ( email )

Gustav-Stresemann-Ring 3
Wiesbaden, 65189
Germany
+49 611 7102 1241 (Phone)
+49 611 7102 10 1241 (Fax)

Julia Reichert

EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting ( email )

Gustav-Stresemann-Ring 3
Wiesbaden, Hessen 65189
Germany

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