Asset Quality Misrepresentation by Financial Intermediaries: Evidence from the RMBS Market
研究发现，在抵押贷款销售中，7%至14%的贷款存在关于借款人住房权益的虚假陈述，这些贷款的违约率比类似贷款高70%，且虚假陈述发生在中介环节后期，涉及所有信誉良好的中介机构。
ABSTRACT We document that contractual disclosures by intermediaries during the sale of mortgages contained false information about the borrower's housing equity in 7–14% of loans. The rate of misrepresented loan default was 70% higher than for similar loans. These misrepresentations likely occurred late in the intermediation and exist among securities sold by all reputable intermediaries. Investors—including large institutions—holding securities with misrepresented collateral suffered severe losses due to loan defaults, price declines, and ratings downgrades. Pools with misrepresentations were not issued at a discount. Misrepresentation on another easy‐to‐quantify dimension shows that these effects are a conservative lower bound.