Abstract
We examine the link between issuer bank reputation and the performance of mortgage-backed securities (MBS) in the European market. We find that MBS sold by reputable issuer banks are collateralised by higher quality asset pools with lower delinquency rates and are less likely to be downgraded. However, during boom periods – characterized by declining credit standards, MBS originated by reputable issuer banks tend to be collateralised by lower quality assets, compared to normal
periods.
periods.
Original language | English |
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Article number | 102427 |
Number of pages | 7 |
Journal | Finance Research Letters |
Volume | 46 |
Issue number | Part B |
Early online date | 7 Sep 2021 |
DOIs | |
Publication status | Published - 1 May 2022 |