Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Securities markets 

Working Paper
Post-crisis Signals in Securitization: Evidence from Auto ABS

We find significant evidence of asymmetric information and signaling in post-crisis offerings in the auto asset-backed securities (ABS) market. Using granular regulatory reporting data, we are able to directly measure private information and quantify its effect on signaling and pricing. We show that lenders "self-finance'' unobservably higher-quality loans by holding these loans for longer periods to signal private information. This signal is priced in initial offerings of auto ABS and accurately predicts ex-post loan performance. We also demonstrate that our results are robust to exogenous ...
Finance and Economics Discussion Series , Paper 2020-042

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

D82 1 items

G14 1 items

G23 1 items

FILTER BY Keywords

Asymmetric information 1 items

Auto loans 1 items

Financial regulation 1 items

Securities markets 1 items

Securitization 1 items

Signaling 1 items

show more (1)

PREVIOUS / NEXT