Risk and Performance of Mutual Funds’ Securitized Mortgage Investments

Brent W. 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)
Pages (from-to)515-548
Number of pages34
JournalJournal of Real Estate Finance and Economics
Volume59
Issue number4
DOIs
StatePublished - Nov 1 2019

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

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