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Risk and Performance of Mutual Funds’ Securitized Mortgage Investments. (2019). Ambrose, Brent ; Dlima, Walter ; Diop, Moussa ; Thibodeau, Mark.
In: The Journal of Real Estate Finance and Economics.
RePEc:kap:jrefec:v:59:y:2019:i:4:d:10.1007_s11146-018-9685-9.

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  1. Adelino, M., Frame, W.S., Gerardi, K. (2014). The effect of large investors on asset quality: evidence from subprime mortgage securities. Available at SSRN2472132 (page 27).

  2. Agarwal, S., Amromin, G., Ben-David, I., Chomsisengphet, S., Evanoff, D.D. (2011). The role of securitization in mortgage renegotiation. Journal of Financial Economics, 102(3), 559–578.

  3. Agarwal, S., Chang, Y., Yavas, A. (2012). Adverse selection in mortgage securitization. Journal of Financial Economics, 105(3), 640–660.

  4. Ambrose, B.W., Conklin, J., Yoshida, J. (2016). Credit rationing, income exaggeration, and adverse selection in the mortgage market. The Journal of Finance, 71(6), 2637–2686.

  5. Ambrose, B.W., LaCour-Little, M., Sanders, A.B. (2005). Does regulatory capital arbitrage, reputation, or asymmetric information drive securitization? Journal of Financial Services Research, 28(1), 113–133.

  6. Garmaise, M.J. (2015). Borrower misreporting and loan performance. Journal of Finance, 70(1), 449–484.

  7. Griffin, J.M., & Maturana, G. (2016a). Did dubious mortgage origination practices distort house prices? Review of Financial Studies, 29(7), 1671–1708.

  8. Griffin, J.M., & Maturana, G. (2016b). Who facilitated misreporting in securitized loans? Review of Financial Studies, 29(2), 384–419.

  9. Integrated FinancialEngineering, I. (2007). Mortgage securitization: lessons for emerging markets.
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  10. Jiang, W., Nelson, A.A., Vytlacil, E. (2014). Liar’s loan? effects of origination channel and information falsification on mortgage delinquency. Review of Economics and Statistics, 96(1), 1–18.

  11. Keys, B.J., Mukherjee, T., Seru, A., Vig, V. (2009). Financial regulation and securitization: evidence from subprime loans. Journal of Monetary Economics, 56(5), 700–720.

  12. Leuven, E., & Sianesi, B. (2018). Psmatch2: stata module to perform full mahalanobis and propensity score matching, common support graphing, and covariate imbalance testing.
    Paper not yet in RePEc: Add citation now
  13. Mian, A, & Sufi, A. (2015). Fraudulent income overstatement on mortgage applications during the credit expansion of 2002 to 2005. Working paper 20947, NBER.

  14. Reuter, J. (2006). Are ipo allocations for sale? evidence from mutual funds. The Journal of Finance, 61(5), 2289–2324.

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  3. Risk and Performance of Mutual Funds’ Securitized Mortgage Investments. (2019). Ambrose, Brent ; Dlima, Walter ; Diop, Moussa ; Thibodeau, Mark.
    In: The Journal of Real Estate Finance and Economics.
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  55. Policy Intervention in Debt Renegotiation: Evidence from the Home Affordable Modification Program. (2012). Seru, Amit ; Piskorski, Tomasz ; Ben-David, Itzhak ; Amromin, Gene ; Agarwal, Sumit ; Chomsisengphet, Souphala.
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  57. Adverse selection in mortgage securitization. (2012). Yavas, Abdullah ; Agarwal, Sumit ; Chang, Yan.
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