We investigate the effects of ABS downgrades on deal parents/sponsors prior to the mortgage crisis in order to establish whether securitization markets functioned in an incentive-compatible manner before the summer of 2007. We demonstrate that ABS downgrades are not typically caused by weak...

We show that installing stronger risk management into financial institutions – a proposal widely discussed following the 2008 financial crisis – is insufficient to constrain institutions' exposure to investment with lurking risk, such as asset-backed securities. Financial regulations affect...

The present paper uses data from revolving credit card securitizations to show that, conditional on being in a position where implicit recourse has become necessary and actually providing that recourse, recourse to securitized debt may benefit short- and long-term stock returns, and long-term...

On March 4, 2011, the New York Times described a settlement ("settlement") proposed by a consortium of state attorneys general (AGs) to large mortgage servicers. The claims to be settled reportedly relate to failures to follow existing procedural rules relating to the foreclosure process. The...

Both accounting and regulatory treatments classify securitizations as a ldquo;salerdquo; of assets, therefore allowing the issuer to remove the assets from their books. This ldquo;off-balance sheetrdquo; treatment relies crucially on the concept of ldquo;truerdquo; sale. The concept most...

This study examines the market response to the 1999 announcement of a change in accounting for Funds from Operations (FFO) for Real Estate Investment Trusts (REITs). This change provides an increase in transparency in the accounting statements of REITs regarding the calculation of FFO. An...

The present analysis estimates Markowitz portfolio correlations for retail loan portfolios. The correlations are derived from almost $1 trillion of asset backed security pools originated by more than five hundred issuers between January 2000 and September 2003. Such a broad sample, comprised of...