The Inevitability of Marketwide Underpricing of Mortgage Default Risk
研究了在非追索贷款市场中，银行经理和股东如何利用错误定价的存款保险，导致市场整体低估抵押贷款违约风险，并发现距离上次市场崩盘的时间越长、资产市场波动越大，这种低估越可能发生。
Lenders are frequently accused of mispricing the put option embedded in nonrecourse lending. Prior research shows one lender's incentives to underprice. Here, we identify the conditions for a marketwide underpricing equilibrium. We demonstrate that, in a market with many players, given sufficient time, a race to the bottom and marketwide mispricing are inevitable. Underpricing occurs because bank managers and shareholders exploit mispriced deposit insurance. We show that the probability of the underpricing equilibrium increases with time since the previous market crash and that the more volatile the underlying asset market, the more likely it is subject to underpricing.