AGENCY CONFLICTS IN RESIDENTIAL MORTGAGE SECURITIZATION: WHAT DOES THE EMPIRICAL LITERATURE TELL US?
回顾美国住宅抵押贷款市场的实证研究，发现证券化本身可能不是问题，而是风险更高的贷款发放和分销导致了危机，其中低文件贷款表现尤其差，但若发行人与贷款方有关联或有声誉资本，则表现更好。
Abstract Agency conflicts inherent in securitization are viewed as having been a key contributor to the recent financial crisis. A review of empirical research for the U.S. home mortgage market suggests that the problem may not have been securitization itself, but rather the origination and distribution of observably riskier loans. Low‐documentation mortgages, for which asymmetric information problems are acute, performed especially poorly during the crisis. Low‐documentation mortgages performed better when included in deals where issuers were affiliated with lenders or had reputational capital at stake. Investors priced low‐documentation loan risk via higher required equity tranches and security yields.