placement of mortgage-backed securities (MBS) with mutual funds. We do so by capitalizing on a unique testing platform …

placement of mortgage-backed securities (MBS) with mutual funds. We do so by capitalizing on a unique testing platform …

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption …

We measure market reactions to announcements concerning liquidity regulation, a key innovation in the Basel framework …. Our initial results show that liquidity regulation attracts negative abnormal returns. However, the price responses are … less pronounced when coinciding announcements concerning capital regulation are backed out, suggesting that markets do not …

European Market Infrastructure Regulation (EMIR) is aimed at derivative trading and could impact the cost of debt capital. We …. We also show that the news have asymmetric effects with tighter regulation news more frequently leading to significant … responses in average abnormal returns (AARs) than loosening regulation news …

We examine the impact of financial regulation policy uncertainty on mispricing of earnings among banks, which are …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …