Neglected Risks in the Communication of Residential Mortgage‐Backed Securities Offerings
研究了2008年金融危机前私人住宅抵押贷款支持证券销售中的合同披露，发现风险因素部分的文本内容能预测后续损失，但未被定价反映，保险公司尤其暴露于文本风险。
ABSTRACT Examining the contractual disclosures during the sale of private‐label residential mortgage‐backed securities before the 2008 financial crisis, we find that textual contents in the risk‐factor section predict subsequent losses and yet were not reflected in pricing. Insurance companies, especially life insurers and insurers with low regulatory capital ratios, are more exposed to textual risks. Consistent with issuers hedging litigation risks with disclosure, we find that textual contents are associated with second‐lien underreporting and preissuance written communications. Overall, we find that investors neglected risks in the purportedly safe assets before the crisis.