Comparing Securitized and Balance Sheet Loans: Size Matters
研究利用商业抵押贷款数据发现，贷款规模是决定是否证券化的关键因素，大额贷款更易证券化，且需大量监控的贷款证券化概率较低，证券化贷款违约后处理更慢。
We assemble a unique data set of commercial mortgages with information on loan characteristics at origination and subsequent performance. The most significant difference between securitized and balance sheet loans is the size of the loan. The loans in the highest loan size decile have a 43% chance of securitization, whereas the ones in the lowest decile have only a 1% chance. This result is consistent with diversification being a key motivation for securitization. We also find that loans that require substantial monitoring are less likely to be securitized. Finally, securitized loans get resolved less quickly after defaulting. This paper was accepted by Neng Wang, finance.