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
Date Written: November 21, 2019
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