Risk and Performance of Mutual Funds' Securitized Mortgage Investments

Journal of Real Estate Finance and Economics, November 2019, Volume 59, Issue 4, pp 515–548

Posted: 5 Dec 2019

See all articles by Brent W. Ambrose

Brent W. Ambrose

Pennsylvania State University

Moussa Diop

University of Southern California

Walter D'Lima

Old Dominion University

Mark Thibodeau

Florida International University (FIU) - Hollo School of Real Estate

Multiple version iconThere are 2 versions of this paper

Date Written: November 21, 2019

Abstract

We expand the debate on incentives embedded in the originate-to-distribute lending model by presenting evidence on the placement of mortgage-backed securities (MBS) with mutual funds. We do so by capitalizing on a unique testing platform encompassing institutional holdings of private-label MBS and their corresponding underlying collateral risk characteristics. We explore MBS placement based on a funds' potential access to information underlying deals as measured by affiliation to the deal's underwriter/issuer and vertical integration in securitization.

Keywords: Mortgage securitization; Institutional investors; Non-agency mortgage Market; MBS affiliation, information asymmetry

JEL Classification: R3, R31, R38

Suggested Citation

Ambrose, Brent W. and Diop, Moussa and D'Lima, Walter and Thibodeau, Mark, Risk and Performance of Mutual Funds' Securitized Mortgage Investments (November 21, 2019). Journal of Real Estate Finance and Economics, November 2019, Volume 59, Issue 4, pp 515–548, Available at SSRN: https://ssrn.com/abstract=3491353

Brent W. Ambrose

Pennsylvania State University ( email )

University Park, PA 16802-3306
United States
814-867-0066 (Phone)
814-865-6284 (Fax)

Moussa Diop (Contact Author)

University of Southern California ( email )

Sol Price School of Public Policy
RGL 315
Los Angeles, CA 90089
United States
(213)821-0467 (Phone)

Walter D'Lima

Old Dominion University ( email )

Norfolk, VA 23529-0222
United States

Mark Thibodeau

Florida International University (FIU) - Hollo School of Real Estate ( email )

Miami, FL 33199
United States

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