Does regulatory capital arbitrage, reputation, or asymmetric information drive securitization?

被引：12

作者：

Ambrose B.W. ^{[1
,4
]}

Lacour-Little M. ^{[2
]}

Sanders A.B. ^{[3
]}

机构：

[1] California State University, Fullerton

[2] University of Kentucky, Gatton College of Business and Economics, Lexington

来源：

Journal of Financial Services Research | 2005年 / 28卷 / 1-3期

关键词：

Banks; Debt; Regulatory capital; Securitization;

D O I：

10.1007/s10693-005-4358-2

中图分类号：

学科分类号：

摘要：

Banks can choose to keep loans on balance sheet as private debt or transform them into public debt via asset securitization. Securitization transfers credit and interest rate risk, increases liquidity, augments fee income, and improves capital ratios. Yet many lenders still retain a portion of their loans in portfolio. Do lenders exploit asymmetric information to sell riskier loans into the public markets or retain riskier loans in portfolio? If riskier loans are indeed retained in portfolio, is this motivated by regulatory capital incentives (regulatory capital arbitrage), or a concern for reputation? We examine these questions empirically and find that securitized mortgage loans have experienced lower ex-post defaults than those retained in portfolio, providing evidence consistent with either the capital arbitrage or reputation explanation for securitization. © 2005 Springer Science + Business Media, Inc.

引用

页码：113 / 133

页数：20

共 26 条

[1]

Akerlof G., The market for 'lemons': Qualitative uncertainty and the market mechanism, Quarterly Journal of Economics, 89, pp. 488-500, (1970)

[2]

Ambrose B.W., Buttimer Jr. R.J., Capone Jr. C.A., Pricing mortgage default and foreclosure delay, Journal of Money, Credit and Banking, 29, 3, pp. 314-325, (1997)

[3]

Ambrose B.W., Pennington-Cross A., Local economic risk factors and the primary and secondary mortgage markets, Regional Science and Urban Economics, 30, 6, pp. 683-701, (2000)

[4]

Ambrose B.W., Lacour-Little M., Sanders A., The effect of conforming loan status on mortgage yield spreads: A loan level analysis, Real Estate Economics, 32, 4, pp. 541-570, (2004)

[5]

Benveniste L.M., Berger A.N., Securitization with recourse, Journal of Banking and Finance, 11, pp. 403-424, (1987)

[6]

Bernardo A.E., Cornell B., The valuation of complex derivatives by major investment firms

[7]

empirical evidence, Journal of Finance, 52, 2, pp. 785-798, (1997)

[8]

Calem P.S., Lacour-Little M., Risk-based capital requirements for mortgage loans, The Journal of Banking and Finance, 28, pp. 647-672, (2004)

[9]

DeMarzo P.M., The pooling and tranching of securities: A model of informed intermediation, Review of Financial Studies, 18, 1, pp. 1-35, (2005)

[10]

DeMarzo P.M., Duffie D., A liquidity-based model of security design, Econometrica, 67, 1, pp. 65-99, (1999)

← 1 2 3 →