Risk and Performance of Mutual Funds’ Securitized Mortgage Investments

Brent Ambrose, Moussa Diop (), Walter D’Lima () and Mark Thibodeau ()
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Moussa Diop: University of Wisconsin-Madison
Walter D’Lima: Old Dominion University
Mark Thibodeau: The Pennsylvania State University

The Journal of Real Estate Finance and Economics, 2019, vol. 59, issue 4, No 1, 515-548

Abstract: 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.

Keywords: Mortgage securitization; Institutional investors; Non-agency mortgage market; MBS affiliation; Information asymmetry (search for similar items in EconPapers)
JEL-codes: R3 R31 R38 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s11146-018-9685-9

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