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Does the market understand rating shopping? : predicting mbs losses with initial yields

He, Jie; Qian, Jun; Strahan, Philip E. - In: The review of financial studies 29 (2016) 2, pp. 457-485

Persistent link: https://www.econbiz.de/10011447638

Does the Market Understand Rating Shopping? Predicting MBS Losses with Initial Yields

He, Jie - 2016

We study rating shopping on the MBS market. Outside of AAA, losses were higher on single-rated tranches than multi-rated ones, and yields predict future losses for single-rated tranches but not for multi-rated ones. Conversely, ratings have less explanatory power for single-rated tranches. These...

Persistent link: https://www.econbiz.de/10013007289

Final demand for structured finance securities

Merrill, Craig B.; Nadauld, Taylor D.; Strahan, Philip E. - In: Management science : journal of the Institute for … 65 (2019) 1, pp. 390-412

Persistent link: https://www.econbiz.de/10011991498

The Changing Landscape of the Financial Services Industry: What Lies Ahead?

Lown, Cara S.; Osler, Carol L.; Strahan, Philip E.; … - Federal Reserve Bank <New York, NY> - 2000

the 1980s deregulation of restrictions thatprohibited bank expansion across geographic markets and intoother financial …

Persistent link: https://www.econbiz.de/10005869907

The Benefits of Branching Deregulation

Jayaratne, Jith; Strahan, Philip E. - Federal Reserve Bank <New York, NY> - 1997

[...]Our analysis suggests that much of the efficiencyimprovement brought about by branching was attributable to a selection process whereby better performing banksexpanded at the expense of poorer performers. It appears thatthe branching restrictions acted as a ceiling on the size...

Persistent link: https://www.econbiz.de/10005870220

Banks with Something to Lose: The Disciplinary Role of Franchise Value

Demsetz, Rebecca S.; Saidenberg, Marc R.; Strahan, Philip E. - Federal Reserve Bank <New York, NY>; London School of … - 1996

incorporates the risks of a bank’s asset, liability,and off-balance-sheet positions as well as its leverage.We also use information …

Persistent link: https://www.econbiz.de/10005870335

Historical Patterns and Recent Changes in the Relationship between Bank Holding Company Size and Risk

Demsetz, Rebecca S.; Strahan, Philip E. - Federal Reserve Bank <New York, NY>; London School of … - 1995

[...]This article investigates the relationshipbetween asset size and risk at bank holding companiesfrom 1987 to 1993 ….1 We find that for most of thisperiod, the level of risk at large bank holding companiesdid not differ significantly from … counterbalanced this diversification advantage,leaving large bank holding companies with no less riskthan small companies throughout …

Persistent link: https://www.econbiz.de/10005870355

Agency problems and risk taking at banks

Demsetz, Rebecca S.; Saidenberg, Marc R.; Strahan, Philip E. - 1997

Persistent link: https://www.econbiz.de/10000980381

Entry restrictions, industry evolution, and dynamic efficiency : evidence from commercial banking

Jayaratne, Jith; Strahan, Philip E. - 1997

Persistent link: https://www.econbiz.de/10000982522

Entry restrictions, industry evolution and dynamic efficiency : evidence from commercial banking

Jayaratne, Jith; Strahan, Philip E. - 1996

Persistent link: https://www.econbiz.de/10000973002