Risk and Performance of Mutual Funds’ Securitized Mortgage Investments

Brent William Ambrose, Moussa Diop, Walter D’Lima, Mark Thibodeau

Research output: Contribution to journalArticle

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.

Original languageEnglish (US)
JournalJournal of Real Estate Finance and Economics
DOIs
StateAccepted/In press - Jan 1 2018

Fingerprint

performance
vertical integration
lending
incentive
evidence
Mutual funds
Mortgage-backed securities
Mortgages
Placement
Lending
Private labels
Incentives
Encompassing
Testing
Securitization
Vertical integration
Underwriters
Risk characteristics
access to information

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

Cite this

@article{1475be420df145f7a7147ea45edfd14e,
title = "Risk and Performance of Mutual Funds’ Securitized Mortgage Investments",
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.",
author = "Ambrose, {Brent William} and Moussa Diop and Walter D’Lima and Mark Thibodeau",
year = "2018",
month = "1",
day = "1",
doi = "10.1007/s11146-018-9685-9",
language = "English (US)",
journal = "Journal of Real Estate Finance and Economics",
issn = "0895-5638",
publisher = "Springer Netherlands",

}

Risk and Performance of Mutual Funds’ Securitized Mortgage Investments. / Ambrose, Brent William; Diop, Moussa; D’Lima, Walter; Thibodeau, Mark.

In: Journal of Real Estate Finance and Economics, 01.01.2018.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Risk and Performance of Mutual Funds’ Securitized Mortgage Investments

AU - Ambrose, Brent William

AU - Diop, Moussa

AU - D’Lima, Walter

AU - Thibodeau, Mark

PY - 2018/1/1

Y1 - 2018/1/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85056751188&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85056751188&partnerID=8YFLogxK

U2 - 10.1007/s11146-018-9685-9

DO - 10.1007/s11146-018-9685-9

M3 - Article

AN - SCOPUS:85056751188

JO - Journal of Real Estate Finance and Economics

JF - Journal of Real Estate Finance and Economics

SN - 0895-5638

ER -