Download or read book Three Essays on Mortgage Backed Securities written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Series of Essays on Commercial Mortgage backed Securities written by Stephen Lyon Buschbom and published by . This book was released on 2017 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of two essays where the unifying theme is the use of hazard models in the study of commercial mortgage-backed securities (CMBS). The first essay constructs a model of mortgage delinquency which tests the extent to which borrowers anticipate a loan modification resulting from such a delinquency. Using a sample of modified loans from CMBS pools, we estimate the present value of modified cash flows and project modification benefits each month for all CMBS loans which are weighted by each loan's survival probability up to the time of modification to proxy for a borrower's anticipation of a beneficial modification. Our results confirm a borrower's anticipation of a modification increases the delinquency hazard, and supports theory that borrower delinquency is strategically endogenous. The second essay examines the investment decisions of regulated financial institutions. Specifically, an empirical model is developed to examine the selling behavior of insurers following a rating downgrade of a commercial mortgage-backed security (CMBS). The regulatory environment in the insurance industry creates a setting where firms must consider not only the regulatory impact of selling a security, but also the price of the security. By modeling the selling decision using a hazard model, it is possible to capture a dynamic characterization of the firm- and bond-specific attributes which affect the selling decision. Similar to prior studies, the model controls for an insurer's aggregate portfolio risk exposure but introduces an important variable: price. Estimating each security's price allows for creation of a proxy for an insurer's unrealized gain or loss. The results provide evidence that insurers are not primarily motivated by regulatory capital, but instead are influenced by aggregate portfolio risk exposure as well as the size of an unrealized gain or loss, which is found to be asymmetric between high- and low-risk exposure insurers, when evaluating a prospective sale transaction for a downgraded holding.
Download or read book Essays in Mortgage backed Securities written by Ayinikkat Raghavan Radhakrishnan and published by . This book was released on 1997 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Financial Innovation written by Peter Tufano and published by . This book was released on 1993 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Optimal Deal Carving of Asset backed Securities written by John M. Clark and published by . This book was released on 1997 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Commercial Mortgage backed Securities written by Sansanee Thebpanya and published by . This book was released on 2003 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three essays on real estate finance written by Xiaolong Liu and published by Rozenberg Publishers. This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Commercial Mortgage backed Securities written by Sansanee Thebpanya and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Commercial Mortgage backed Security written by Ruoyu Shao and published by . This book was released on 2015 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structured finance products including Commercial Mortgage-Backed Security (CMBS) suffered tremendous losses during the 2008 financial crisis. My dissertation consists of three chapters that contribute to our understanding of the causes of the crisis. My first chapter is an empirical study on potential misrepresentation of CMBS. Although CMBS suffered large scale losses during the past financial crisis, currently, this segment of the structured finance market has almost recovered to its pre-crisis level. While evidence was found regarding the systematic misrepresentation of loan quality information for residential mortgages, there was no evidence of large scale misreporting for CMBS. This paper examines important financial variables reported in financial documentation of commercial mortgages such as Underwritten Net Operating Income (UW NOI). I find that, prior to the financial crisis, UW NOI was consistently over-estimated by an average of 7.8%. This overstatement lead to Loan-to-Value ratio and Debt-Service Coverage Ratio being misreported as 67.1% from 84.2% and DSCR as 1.72 from 1.59. The levels of aggregate over-estimation substantially differed among originators and the variations explained the performance differences between originators. Each 1% increase in over-estimation resulted in a 20% higher likelihood in delinquency. The ratings issued by rating agencies failed to capture the adverse impact from over-estimation on CMBS performance. The second chapter of my dissertation studies the CMBS credit rating market using a strategic interaction model. The 2008 financial crisis that arose in the mortgage market has brought renewed attention to the failure of the credit rating mechanism. Using Bloomberg data, I conduct a structural analysis of strategic credit rating behaviors in the Commercial Mortgage-Backed Security (CMBS) market. This chapter models the CMBS credit ratings as strategic behaviors that reflect the peer effects from other rating agencies. Peer effects are incorporated through the estimation of market “beliefs” about the ratings. We establish semiparametric identification of the model by exploiting an exogenous equilibrium shift due to the financial crisis. Moreover, the model is estimated using a two-step estimation procedure. The empirical results strongly support the presence of positive peer effects. By including peer effects, the fitness of our model has been significantly improved. The third chapter examines the entrant-related consequences in the CMBS credit rating market after the financial crisis. I find that the entrant has given more lenient ratings than the incumbents. Among securities that obtained ratings from both entrant and incumbent rating agencies, 13.8% are granted a higher rating from the entrant than the incumbents from 2011-2014. In addition, deal level and loan level analyses further provide evidence that the entrant granted CMBS with 2.25% higher AAA-rated portion while the underlying loans in these CMBS are 10% more likely to become delinquent than other rating agencies. The lenient ratings from the entrant coincide with the sharp increase in the entrant's market share.
Download or read book Mortgage Backed Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2011-08-31 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date look at the latest innovations in mortgage-backed securities Since the last edition of Mortgage-Backed Securities was published over three years ago, much has changed in the structured credit market. Frank Fabozzi, Anand Bhattacharya, and William Berliner all have many years of experience working in the fixed-income securitization markets, and have witnessed many cycles of change in the mortgage and MBS sectors. And now, with the Second Edition of Mortgage-Backed Securities, they share their knowledge on many of the products and structuring innovations that have taken place since the financial crisis and fiscal reform. Written in a straightforward and accessible style, and containing numerous illustrations, this timely guide skillfully addresses the investment characteristics, creation, and analysis of mortgage-backed securities. Each chapter contains cutting-edge concepts that you'll need to understand in order to thrive within this arena. Discusses the dynamic interaction between the mortgage industry, home prices, and credit performance Addresses revised valuation techniques in which all non-agency MBS must be treated as credit pieces Examines the shift in this marketplace since the crisis and the impact on industry and investors Filled with in-depth insights and expert advice, Mortgage-Backed Securities, Second Edition offers you a realistic assessment of this field and outlines the products, structures, and analytical techniques you need to know about in this evolving arena.
Download or read book Essays on Securitization and the Resolution of Financial Distress written by Manuel Duarte Neves Adelino and published by . This book was released on 2010 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three empirical essays on securitization and the resolution of financial distress, examining the information content of prices of mortgage-backed securities, the role of securitization in preventing mortgage renegotiation and the effect of minimum bids in ascending price auctions of repossessed assets. In the first chapter, I present evidence that the prices at origination of residential mortgage backed securities contain information on the quality of the underlying asset pools above what is reflected in the ratings. Yield spreads at issuance predict both future downgrades and defaults even after the information contained in ratings is taken into account. This holds for all rating classes except triple-A. Yield spreads of the highest rated securities have no predictive power for future performance. This suggests that investors in triple-A were less informed about the quality of the securitized assets than investors in riskier, more information sensitive securities. In the second chapter (co-authored with Kris Gerardi and Paul Willen), we show that securitization does not explain the reluctance among lenders to renegotiate home mortgages. We focus on seriously delinquent borrowers from 2005 through the third quarter of 2008 and show that servicers renegotiate similarly small fractions of securitized and portfolio loans. The results are robust to several different definitions of renegotiation and hold in subsamples where unobserved heterogeneity is likely to be small. We argue that information issues endemic to home mortgages where lenders negotiate with large numbers of borrowers lead to barriers to renegotiation fundamentally different from those present with other types of debt. In the third chapter (co-authored with Antoinette Schoar), we study the effect of changing the reservation prices in online English auctions of repossessed motorcycles. The main intervention involves lowering the minimum bid initially set by the auctioneer by up to 10 percent in randomly selected vehicles. We find that lowering the minimum bids increases the probability of sale and reduces the final price conditional on a motorcycle being sold. This is in line with the predictions of standard auction theory and is evidence against auction fever being induced by lower initial minimum bids. The fact that bidders are regular participants in auctions and experienced buyers of the items for sale may help explain why they weren't subject to auction fever. Also, in our setting the number of bidders increased only slightly for discounted items, which is the opposite of what is necessary to induce an auction fever effect. For a subset of motorcycles that were bundled together for the auctions we a find lower probability of sale and lower prices conditional on sale.
Download or read book Three Essays on written by Ethan D. Watson and published by . This book was released on 2013 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on cancelling liquidity, information generation and learning by holding private placements, and information generation, learning and the trading dynamics of institutional traders during the 2007-2008 financial crisis. The first essay examines cancellation activity of limit orders. We document a two-fold increase in limit order cancellation activity over the last decade, and study the determinants of cancellations and the change in cancellation activity through time. We also examine the impact of order cancellation on market quality. We use an instrumental variable approach and estimate a simultaneous equations model to overcome simultaneity in the trading process. We find significant differences in cancellation activity in the post Reg NMS environment, and differences in cancellation activity between exchanges. However, we fail to find evidence that the increase in cancellations is detrimental to market quality, despite concerns from regulators and traders. In the second essay we examine how relationships influence trading behavior. Specifically, we study whether or not financial intermediaries (insurance companies) produce information via relationships with publicly traded firms established by investing in the public firm's privately placed securities (privately placed debt, or equity). We contribute to the literature that asserts that financial intermediaries generate information via relationships that they establish with their clients. We find some evidence that suggests insurers do generate information via the private placement relationship and use this information to trade. In the third essay, we study if institutional traders acquire information from the assets that they hold and how this impacts trading decisions around the 2007-2008 financial crisis. Specifically, we test if insurance companies who hold mortgages exhibit different trading behavior in their mortgage backed securities portfolio than insurers who do not hold mortgages. We examine insurers' trading behavior in light of several theories of how institutions trade during crisis periods. We document that insurers who hold mortgages have higher odds of being net disposers of MBSs prior to the crisis, than are other insurers. We also find that, on average, insurers exhibited a flight to safety during the crisis.
Download or read book Four Essays Investigating the U S Subprime Mortgage backed Securities Market written by Lisa Sheenan and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Role of Soft Data and Spillover Effects in Real Estate written by Thao Le and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation comprises three essays on the role of soft data and spillover effects in real estate.In the first essay, tracking a sample of modified loans underlying private-label mortgage-backed securities, I compare the modification effectiveness of servicers who originated mortgages versus those who simply serviced them. The probability of re-default among loans modified by the former is over 6.9 percentage point lower than the latter. Further tests show that the differences in modification success likely come from the soft information acquired during the origination process. These findings suggest that the loss of soft information in mortgage securitization can impose a substantial cost on mortgage servicing, which raises important policy implications for government regulations in this market.The second essay examines the effect of peer firm sentiment on firm investment decisions using data from public homebuilders in the U.S. over 2003Q1-2016Q3. Peer sentiment is measured by the NAHB/Wells Fargo Housing Market Index, derived from a monthly survey of homebuilders perceptions about the conditions of the single-family housing market. I find that a one-standard-deviation increase in the peer sentiment index induces homebuilders to increase their land inventory by 8.4%-12.6%. In addition, big builders are just as prone to peer sentiment as small firms. Consistent with the catering theory, homebuilders held by more short term investors are more likely to follow their peers than those held mainly by institutional shareholders. Interestingly, firms that overbuild compared to their peers have lower stock returns in the next quarter while underbuilding is rewarded with higher stock prices, but this effect decreases as the magnitude of underbuilding increases.Finally, the third essay investigates the effect of separating real estate from the Financials sector in the Global Industry Classification Standard. Since Sep 1, 2016, real estate became an independent sector instead of being an industry group under the Financials sector together with banks and insurance. Using Real Estate Investment Trusts to represent the new GICS Real Estate sector, I find that their correlation with the Financials sector fell from 0.568-0.775 to 0.338-0.581 after their departure. The reduction in their connection occurred first at announcement and again at implementation. In addition, REIT returns became as much as 60% less volatile than before. However, becoming a separate sector did not affect trading activities in the REIT market, at least in the short post-implementation period covered in this paper.
Download or read book Three Essays on Financial Market Innovation written by Mondschean Thomas Herbert and published by . This book was released on 1989 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Asset Pricing Theory written by Lionel Martellini and published by . This book was released on 2000 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Syndicated Loan Market written by and published by . This book was released on 2015 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
