Is the Market for Mortgage-Backed Securities a Market for Lemons?
通过模型和实证数据证明，通过破产隔离特殊目的载体（SPV）证券化的资产质量较低（“柠檬”），基于1991-2002年房地美参与凭证数据，发现SPV出售的证券每100美元面值平均低0.39美元，并存在4-6个基点的“柠檬利差”。
This paper models and provides empirical evidence for the quality of assets that are securitized through bankruptcy remote special purpose vehicles (SPVs). The model predicts that assets sold to SPVs will be of lower quality (“lemons”) compared to assets that are not sold to SPVs. We find strong empirical support for this prediction using a comprehensive data set of sales of mortgage-backed securities (Freddie Mac Participation Certificates, or PCs) to SPVs over the period 1991 through 2002. Valuation estimates based on a structural two-factor model indicate that PCs sold to SPVs are on average valued $0.39 lower per $100 of face value relative to PCs not so sold. For the four largest coupon groups in our full sample of Freddie Mac PCs, we find a “lemons spread” of 4–6 basis points in terms of yield-to-maturity, and this spread accounts for 13–45% of the overall prepayment spread of these securities.