EconPapers    
Economics at your fingertips  
 

Canary in a Coalmine: Securities Lending Predicting the Performance of Securitized Bonds

Elisabeth Kempf, Alberto Manconi and Massimo Massa

No 11993, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: In illiquid markets, trading by informed investors can have limited predictive power, because trading volumes are low and may not be timely. In these conditions, changes in the lendable amounts of securities can act as a canary in a coalmine, and predict future performance when trading activity cannot. We test this argument on the market for structured finance products ("securitized bonds"�). We find strong evidence that changes in amounts available for lending (lendable) predict future performance (delinquency and foreclosure rates). In contrast, we do not find any evidence of predictability from changes in the amounts on loan. While investor trades have comparable predictive power to changes in lendable amounts in general, lendable amounts are a better predictor in illiquid markets. Overall, these findings are consistent with the hypothesis that securities holders (lenders) possess material information in this segment.

Keywords: Securitization; Securities lending; Informed trading (search for similar items in EconPapers)
JEL-codes: G01 G14 G23 (search for similar items in EconPapers)
Date: 2017-04
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=11993 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:11993

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... rs/dp.php?dpno=11993

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().

 
Page updated 2019-01-12
Handle: RePEc:cpr:ceprdp:11993