| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17269 |
| 来源ID | Working Paper 17269 |
| Why Did U.S. Banks Invest in Highly-Rated Securitization Tranches? | |
| Isil Erel; Taylor D. Nadauld; René M. Stulz | |
| 发表日期 | 2011-08-04 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We estimate holdings of highly-rated tranches of mortgage securitizations of American deposit-taking banks ahead of the credit crisis and evaluate hypotheses that have been advanced to explain these holdings. We find that holdings of highly-rated tranches were economically trivial for the typical bank, but banks with greater holdings performed more poorly during the crisis. Though univariate comparisons show that banks with large trading books had greater holdings, the holdings of highly-rated tranches are not higher for banks with large trading books in regressions that control for bank size. The ratio of highly-rated tranches holdings to assets increases with bank assets, but not for banks with more than $50 billion of assets. This evidence is inconsistent with explanations for holdings of highly-rated tranches that emphasize the incentives of banks deemed "too-big-to-fail". Further, the evidence does not provide support for "bad incentives" theories of holdings of highly-rated tranches. We find, however, that banks active in securitization held more highly-rated tranches. Such a result can be consistent with regulatory arbitrage as well as with securitizing banks holding highly-rated tranches to convince investors of the quality of these securities. Our evidence supports the latter hypothesis. |
| 主题 | Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w17269 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574944 |
| 推荐引用方式 GB/T 7714 | Isil Erel,Taylor D. Nadauld,René M. Stulz. Why Did U.S. Banks Invest in Highly-Rated Securitization Tranches?. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17269.pdf（398KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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