Are Lemons Sold First? Dynamic Signaling in the Mortgage Market
Kristopher Gerardi () and
No 24180, NBER Working Papers from National Bureau of Economic Research, Inc
A central result in the theory of adverse selection in asset markets is that informed sellers can signal quality and obtain higher prices by delaying trade. This paper provides some of the first evidence of a signaling mechanism through trade delays using the residential mortgage market as a laboratory. We find a strong relationship between mortgage performance and time to sale for privately securitized mortgages. Additionally, deals made up of more seasoned mortgages are sold at lower yields. These effects are strongest in the ”Alt-A” segment of the market, where mortgages are often sold with incomplete hard information, and in cases where the originator and the issuer of mortgage-backed securities are not affiliated.
JEL-codes: D0 G0 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-com, nep-gth and nep-ure
Note: AP CF
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Published as Manuel Adelino & Kristopher Gerardi & Barney Hartman-Glaser, 2018. "Are Lemons Sold First? Dynamic Signaling in the Mortgage Market," Journal of Financial Economics, .
Downloads: (external link)
Working Paper: Are Lemons Sold First? Dynamic Signaling in the Mortgage Market (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:24180
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().