The determinants of mortgage yield spread differentials: Securitization

Journal of Multinational Financial Management

Volumn 15, Issue 4-5 SPEC. ISS., 2005, Pages 314-333

  Liu, Benjamin ^a   Skully, Michael ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Information asymmetry; Mortgage lenders; Securitization; Yield spreads

Indexed keywords

EID: 24144447362     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.mulfin.2005.04.003     Document Type: Article

References (39)

1. G.A. Akerlof The market for "lemons": Quality uncertainty and the market mechanism Quarterly Journal of Economics 84 1970 488-500
2. Ambrose, B.W., LaCour-Little, M., Sanders, A.B., 2002a. The effects of conforming loan status on mortgage yield spreads: A loan level analysis. http://www.cob.ohio-state.edu/~sanders_12/gsefocus.pdf
3. Ambrose, B.W., LaCour-Little, M., Sanders, A.B., 2002b. Securitization and lending rate differentials. www.kreaa.org/asres/doc/ Ambrosepercent20Brentpercent20Wpercent28F4percent29.pdf
4. J.D. Benjamin A.J. Heuson C.F. Sirmans The effect of origination strategies on the pricing of fixed-rate mortgage loans Journal of Housing Research 6 1994 137-147
5. G. Benston The future of securitization, the benefits and costs of breaking up the banks Journal of Applied Corporate Finance 5 1992 71-92
6. A.N. Berger G.F. Udell Collateral, loan quality, and bank risk Journal of Monetary Economics 25 1990 21-42
7. A.N. Berger G.F. Udell Securitization, risk and the liquidity problem in banking In: M. Klausner L. White (Eds.) Structural Changes in Banking 1993 Irwin Homewood, IL 277-291
8. D.G. Black K.D. Garbade W.L. Silber The impact of the GNMA pass-through program on FHA mortgage costs Journal of Finance 36 1981 457-469
9. C. Cumming The economics of securitization FRBNY Quarterly Review 12 1987 11-24
10. P. DeMarzo D. Duffie A liquidity-based model of security design Econometrica 67 1999 65-99
11. D.W. Diamond Financial intermediation and delegated monitoring Review of Economic Studies 51 1984 393-419
12. K.K. Donahoo S. Shaffer Capital requirements and the securitization decision Quarterly Review of Economics and Business 31 1991 12-23
13. T.J. Gordon Securitization of executory future flows as bankruptcy-remote true sales The University of Chicago Law Review 67 2000 1317-1346
14. G.B. Gorton G.G. Pennacchi Banks loan sales: Marketing nonmarketable assets Journal of Monetary Economics 35 1995 389-411
15. S.I. Greenbaum A.V. Thakor Banking funding modes: Securitization versus deposits Journal of Banking & Finance 11 1987 379-402
16. P.H. Hendershott J.D. Shilling The impact of the agencies on conventional fixed-rate mortgage yields Journal of Real Estate Finance and Economics 2 1989 101-115
17. A. Hess C. Smith Jr. Elements of mortgage securitization Journal of Real Estate Finance and Economics 1 1988 331-346
18. C.A. Hill Securitization: A low-cost sweetener for lemons Journal of Applied Corporate Finance 10 1997 64-71
19. Iacobucci, E.M., Winter, R.A., 2003. Asset securitization and asymmetric information. http://finance.sauder.ubc.ca/~winter/ AssetSecuritization.pdf
20. C. James The use of loan sales and standby letters of credit by commercial banks Journal of Monetary Economics 22 1988 395-422
21. M.C. Jensen W.H. Meckling The theory of the firm: Managerial behavior, agency costs and capital structure Journal of Financial Economics 2 1976 305-360
22. J.W. Kolari D.R. Fraser A. Anari The effects of securitization on mortgage market yields: A cointegration analysis Real Estate Economics 26 1998 667-677
23. J. Kumar D. Ralston The growth of mortgage managers and their impact on the Australian home loan market Accounting Research Journal 12 1999 45-53
24. Liu, B., 2002. Securitization and its impacts on mortgage finance: Yield spreads and fees. For the 8th Annual Doctoral Research Conference, 30 September-1 October, Faculty of Business and Economics, Monash University, Melbourne, Australia
25. Liu, B., Skully, M., Kalev, P., 2003. The impact of securitization and globalization on mortgage lending. A Conference Paper for the 16th Annual Australasian Finance and Banking Conference in Sydney, and for The Southwestern Finance Association, the 43rd Annual Meeting (also published proceedings)
26. Liu, B., Skully, M., Jones, K., 2004. Securitization and its Effects on Mortgage Finance in the U.S. and Australia and Some Implications for China. Department of Accounting and Finance, Monash University, Melbourne, Australia
27. H.E. Merriken Mortgage loan market segmentation and lender pricing behavior Journal of Real Estate Research 3 1988 9-17
28. Minton, B., Opler, T., Stanton, S., 1997. Asset securitization among industrial firms. Working Paper, Max M. Fisher College of Business Ohio State University, Columbus, OH, USA
29. S.C. Myers Determinates of corporate borrowing Journal of Financial Economics 5 1977 147-175
30. C. Pavel D. Phillips Why commercial banks sell loans: An empirical analysis Federal Reserve Bank of Chicago Economics Perspectives 11 1987 3-14
31. G.G. Pennacchi Loan sales and the cost of bank capital Journal of Finance 43 1988 375-396
32. Rhoades, S., 1992. Evidence on the size of banking markets from mortgage loan rates in twenty cities. Working Paper 162, Board of Governors of the Federal Reserve System, Washington, DC 20551
33. J.A. Rosenthal J.M. Ocampo Analyzing the economic benefits of securitized credit Journal of Applied Corporate Finance 1 1988 32-44
34. S.L. Schwarcz The alchemy of asset securitization Stanford Journal of Law Business and Finance 1 1994 133-154
35. C.F. Sirmans J.D. Benjamin Pricing fixed-rate mortgages: Some evidence Journal of Financial Services Research 4 1990 191-202
36. J.E. Stiglitz A. Weiss Credit rationing in the market with imperfect information American Economic Review 71 1981 393-410
37. A.H. Studenmund Using econometrics: A practical guide fourth ed. 2001 Addison Wesley Longman Boston
38. R. Stulz H. Johnson An analysis of secured debt Journal of Financial Economics 14 1985 501-521
39. S. Wolfe Structural effects of assets-backed securitization The European Journal of Finance 6 2000 353-369