Collateral Misreporting in the Residential Mortgage-Backed Security Market
研究发现，证券化抵押贷款评估普遍高估房产价值，45%的购房贷款评估价等于成交价，评估价平均比自动估值模型高5%，高评估价预测了贷款违约和RMBS损失，但未影响RMBS定价，且评估师因业务关系有动机高估。
Securitized mortgage appraisals routinely target pre-specified valuations, 45% of purchase loan appraisals exactly equal purchase prices, and appraisals virtually never fall below purchase prices. As a result, appraisals exceed automated valuation model (AVM) valuations 60% of the time and are 5% higher than AVM valuations on average. High appraisals and indicators of appraisal targeting predict loan delinquency and residential mortgage-backed security (RMBS) losses and are priced at the loan level through higher interest rates, but have essentially no impact on RMBS pricing. Selection bias simulations and unfunded loan application appraisals indicate that high appraisals are intentional. The extent to which appraisals exceed AVM valuations varies across loan officers, mortgage brokers, and appraisers, and high appraisals are associated with more repeat business for appraisers, potentially incentivizing appraisers to inflate their appraisals. This paper was accepted by Tomasz Piskorski, finance.