Comparing Securitized and Balance Sheet Loans: Size Matters
Published Online:25 Nov 2015https://doi.org/10.1287/mnsc.2015.2260
References
- (2013) Securitization without risk transfer. J. Financial Econom. 107(3):515–536.Crossref, Google Scholar
- (2013) Why don’t lenders renegotiate more home mortgages? Redefaults, self-cures and securitization. J. Monetary Econom. 60(7):835–853.Crossref, Google Scholar
- (2012) Credit supply and house prices: Evidence from mortgage market segmentation. NBER Working Paper 17832, National Bureau of Economic Research, Cambridge, MA.Crossref, Google Scholar
- (2012) Adverse selection in mortgage securitization. J. Financial Econom. 105(3):640–660.Crossref, Google Scholar
- (2011) The role of securitization in mortgage renegotiation. J. Financial Econom. 102(3):559–578.Crossref, Google Scholar
- (2003) Commercial mortgage-backed securities: Prepayment and default. J. Real Estate Finance Econom. 26(2/3):179–196.Crossref, Google Scholar
- (2005) Does regulatory capital arbitrage, reputation, or asymmetric information drive securitization? J. Financial Services Res. 28(1/2/3):113–133.Crossref, Google Scholar
- (2016) Servicers and mortgage-backed securities default: Theory and evidence. Real Estate Econom. 44(2):462–489.Crossref, Google Scholar
- (2011) Asymmetric information, adverse selection, and the pricing of CMBS. J. Financial Econom. 100(2):304–325.Crossref, Google Scholar
- (2012) Securitization without adverse selection: The case of CLOs. J. Financial Econom. 106(1):91–113.Crossref, Google Scholar
- Board of Governors of the Federal Reserve System (2012) Consumer credit–G.19. Historical data. Accessed November 11, 2015, http://www.federalreserve.gov/releases/G19/HIST/cc_hist_mh_levels.html.Google Scholar
- (2014) Securitization and moral hazard: Evidence from credit scoring cutoff rules. J. Monetary Econom. 63:1–18.Crossref, Google Scholar
- (2013) The impact of the 2007 liquidity shock on bank jumbo mortgage lending. J. Money, Credit Banking S45(1):59–91.Crossref, Google Scholar
- (1989) The efficiency of the market for single-family homes. Amer. Econom. Rev. 79(1):125–137.Google Scholar
- (1987) Residual analysis in the grouped and censored normal linear model. J. Econometrics 34(1–2):33–61.Crossref, Google Scholar
- (2009) The incentives of mortgage servicers: Myths and realities. Uniform Commercial Code Law J. 41(1):347–374.Google Scholar
- (1968) A general definition of residuals. J. Royal Statist. Soc. Ser. B 30(2):248–275.Google Scholar
- (2000) Mortgage terminations, heterogeneity, and the exercise of mortgage options. Econometrica 68(2):275–307.Crossref, Google Scholar
- (1984) Financial intermediation and delegated monitoring. Rev. Econom. Stud. 51(3):393–414.Crossref, Google Scholar
- (2005) Valuing the defeasance option in securitized commercial mortgages. Real Estate Econom. 33(4):663–680.Crossref, Google Scholar
- (2009) Is the market for mortgage-backed securities a market for lemons? Rev. Financial Stud. 22(7):2257–2294.Crossref, Google Scholar
- (2002) Owner-occupied housing and the composition of the household portfolio. Amer. Econom. Rev. 92(1):345–362.Crossref, Google Scholar
- (2014) Dutch securities for American land speculation in the late eighteenth century. White EN, Snowden K, Fishback P, eds. Housing and Mortgage Markets in Historical Perspective (National Bureau of Economic Research, Cambridge, MA), 287–304.Crossref, Google Scholar
- (2015) Securitization and the fixed-rate mortgage. Rev. Financial Stud. 28(1):176–211.Crossref, Google Scholar
- (2007) Agency conflicts, asset substitution, and securitization. Working paper, Columbia University, New York.Google Scholar
- (2011) Securitization and mortgage renegotiation: Evidence from the great depression. Rev. Financial Stud. 24(6):1814–1847.Crossref, Google Scholar
- (2012) Collateral and the limits of debt capacity: Theory and evidence. Working paper, University of Amsterdam, Amsterdam.Google Scholar
- (1993) The single family home in the investment portfolio. J. Real Estate Finance Econom. 6(3):201–222.Crossref, Google Scholar
- (2010) Securitization in the 1920s. NBER Working Paper 15650, National Bureau of Economic Research, Cambridge, MA.Crossref, Google Scholar
- (2000) Econometric Analysis, 4th ed. (Prentice-Hall, Upper Saddle River, NJ).Google Scholar
- (2012) Optimal securitization with moral hazard. J. Financial Econom. 104(1):186–202.Crossref, Google Scholar
- (2014) Securitization and loan performance: Ex ante and ex post relations in the mortgage market. Rev. Financial Stud. 27(2):454–483.Crossref, Google Scholar
- (2010) Did securitization lead to lax screening? Evidence from subprime loans. Quart. J. Econom. 125(1):307–362.Crossref, Google Scholar
- (2014) Mortgage loan securitization and relative loan performance. J. Financial Services Res. 45(1):39–66.Crossref, Google Scholar
- (2011) The role of securitization in bank liquidity and funding management. J. Financial Econom. 100(3):663–684.Crossref, Google Scholar
- (2009) Securitization and the declining impact of bank finance on loan supply: Evidence from mortgage originations. J. Finance 44(2):861–889.Crossref, Google Scholar
- (2011) Informed and uninformed investment in housing: The downside of diversification. Rev. Financial Stud. 24(5):1447–1480.Crossref, Google Scholar
- (1984) Econometric issues in the analysis of regressions with generated regressors. Internat. Econom. Rev. 25(1):221–247.Crossref, Google Scholar
- (1989) Diagnostic tests for models based on individual data: A survey. J. Appl. Econometrics 4(Supplement: Special Issue on Topics in Applied Econometrics):S29–S59.Crossref, Google Scholar
- (2010) Securitization and distressed loan renegotiation: Evidence from the subprime mortgage crisis. J. Financial Econom. 97(3):369–397.Crossref, Google Scholar
- (2011) Déjà vu all over again: Agency, uncertainty, leverage and the panic of 1857. Working paper, University of Wisconsin, Madison.Google Scholar
- (2001) Forecasting bankruptcy more accurately: A simple hazard model. J. Bus. 74(1):101–124.Crossref, Google Scholar
- (2010) Covered farm mortgage bonds in the united states during the late nineteenth century. J. Econom. History 70(4):783–812.Crossref, Google Scholar
- (2010) Originator performance, CMBS structures, and the risk of commercial mortgages. Rev. Financial Stud. 23(9):3558–3594.Crossref, Google Scholar

