Koh, Winston T. H.; Mariano, Roberto S.; Pavlov, Andrey; … - School of Economics, Singapore Management University - 2006
In this paper, we develop a specific observable symptom of a banking system that underprices the default spread in non-recourse asset-backed lending. Using three different data sets for 18 countries and property types, we find that, following a negative demand shock, the “underpricing”...
