Asymmetric information in securitization: An empirical assessment

Ugo Albertazzi, Ginette Eramo, Leonardo Gambacorta and Carmelo Salleo

Journal of Monetary Economics, 2015, vol. 71, issue C, 33-49

Abstract: Asymmetric information in securitization deals is analyzed based on a unique dataset comprising a million mortgages, both securitized and not, and using a methodology, previously applied to insurance data, that looks at the correlation between risk transfer and default probability. The main finding is that, for given observable characteristics, securitized mortgages have a lower default probability than non-securitized ones. We show that this finding is consistent with banks caring about their reputation for not selling lemons.

Keywords: Securitization; Asymmetric information; Reputation (search for similar items in EconPapers)
JEL-codes: D82 G21 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:71:y:2015:i:c:p:33-49

DOI: 10.1016/j.jmoneco.2014.11.002

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