Risk and Performance of Mutual Funds' Securitized Mortgage Investments
Journal of Real Estate Finance and Economics, 59, pages 515–548 (2019)
Posted: 6 Mar 2020
Date Written: February 6, 2020
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: Suggested Citation