Nadauld, Taylor D.; Sherlund, Shane M. - Charles A. Dice Center for Research in Financial … - 2009
We analyze the structure and attributes of subprime mortgage-backed securitization deals originated between 1997 and 2007. Our data set allows us to link loan-level data for over 6.7 million subprime loans to the securitization deals into which the loans were sold. We show that the...