Risk and Performance of Mutual Funds’ Securitized Mortgage Investments

Brent W. Ambrose; Moussa Diop; Walter D’Lima; Mark Thibodeau

doi:10.1007/s11146-018-9685-9

Risk and Performance of Mutual Funds’ Securitized Mortgage Investments

Brent W. Ambrose, Moussa Diop, Walter D’Lima, Mark Thibodeau

Risk Management

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

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.

Original language	English (US)
Pages (from-to)	515-548
Number of pages	34
Journal	Journal of Real Estate Finance and Economics
Volume	59
Issue number	4
DOIs	https://doi.org/10.1007/s11146-018-9685-9
State	Published - Nov 1 2019

All Science Journal Classification (ASJC) codes

Accounting
Finance
Economics and Econometrics
Urban Studies

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10.1007/s11146-018-9685-9

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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{\textquoteright} potential access to information underlying deals as measured by affiliation to the deal{\textquoteright}s underwriter/issuer and vertical integration in securitization.",

author = "Ambrose, {Brent W.} and Moussa Diop and Walter D{\textquoteright}Lima and Mark Thibodeau",

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AU - Thibodeau, Mark

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AB - 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.

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Risk and Performance of Mutual Funds’ Securitized Mortgage Investments

Abstract

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