Deng, Yongheng; Gabriel, Stuart A.; Sanders, Anthony B. - In: Journal of Housing Economics 20 (2011) 2, pp. 68-80
We evaluate the effects of CDO issuance on the pricing of subprime residential mortgage-backed securities. Upon controlling for mortgage option values and other well-established determinants of credit spreads, GMM results indicate that the emergence and rapid capitalization of the...