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dc.contributor.authorGürtler, Marcen_US
dc.contributor.authorHibbeln, Martinen_US
dc.date.accessioned2012-08-01en_US
dc.date.accessioned2012-08-14T13:15:40Z-
dc.date.available2012-08-14T13:15:40Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/60466-
dc.description.abstractTwo factors have proven to be strongly relevant for the subprime mortgage crisis. The first is the lack of screening incentives of originators, which had not been anticipated by investors. The second is that investors relied too much on credit ratings. We examine whether investors have learned from these shortcomings. On the basis of securitizations from 2010 and 2011, we find that investors require a significantly higher risk premium when there is a high degree of asymmetric information. The credit spreads of information sensitive tranches are significantly higher if originators do not retain a part of the securitization or if they choose vertical slice retention instead of retaining the equity tranche. Moreover, the relevance of credit ratings in comparison to other credit factors has significantly decreased. Apparently, investors mainly consider ratings to discriminate between information sensitive and information insensitive tranches, beyond that they rely on their own risk analysis. This suggests that investors have learned their lesson from the subprime mortgage crisis.en_US
dc.language.isoengen_US
dc.publisherInstitut für Finanzwirtschaft, Technische Universität Braunschweig Braunschweigen_US
dc.relation.ispartofseriesWorking Papers, Institut für Finanzwirtschaft, Technische Universität Braunschweig IF39V1en_US
dc.subject.jelG21en_US
dc.subject.jelG24en_US
dc.subject.jelG28en_US
dc.subject.ddc330en_US
dc.subject.keywordsecurity designen_US
dc.subject.keywordasset-backed securitiesen_US
dc.subject.keywordretentionen_US
dc.subject.keywordratingen_US
dc.subject.keywordcredit spreadsen_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwLernprozessen_US
dc.subject.stwAsset-backed securityen_US
dc.subject.stwSecuritizationen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwKreditwürdigkeiten_US
dc.subject.stwSubprime-Hypotheken_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwWelten_US
dc.titleHow smart are investors after the subprime mortgage crisis? Evidence from the securitization marketen_US
dc.typeWorking Paperen_US
dc.identifier.ppn720436729en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:tbsifw:IF39V1-
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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