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The Journal of Real Estate Finance and Economics

, Volume 59, Issue 4, pp 515–548 | Cite as

Risk and Performance of Mutual Funds’ Securitized Mortgage Investments

  • Brent W. Ambrose
  • Moussa DiopEmail author
  • Walter D’Lima
  • Mark Thibodeau
Article
  • 161 Downloads

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.

Keywords

Mortgage securitization Institutional investors Non-agency mortgage market MBS affiliation Information asymmetry 

JEL Classification

R3 R31 R38 

Notes

Acknowledgments

We are grateful to Corelogic for providing the mortgage and securitization data used in this study. We thank Benjamin Kay, Rohan Ganduri, and presentation attendees at the 2018 AREUEA Annual Conference in Philadelphia and the Federal Reserve Bank of Atlanta and Georgia State University Real Estate Conference in 2017 for valuable comments.

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  • Brent W. Ambrose
    • 1
  • Moussa Diop
    • 2
    Email author
  • Walter D’Lima
    • 3
  • Mark Thibodeau
    • 1
  1. 1.The Pennsylvania State UniversityUniversity ParkUSA
  2. 2.University of Wisconsin-MadisonMadisonUSA
  3. 3.Old Dominion UniversityNorfolkUSA

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