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Skin in the game and securitized commercial mortgage pricing before the Global Financial Crisis

Author

Listed:
  • Godin, Nathan
  • Horvath, Akos
  • Ma, Xingliang
  • Sagi, Jacob S.

Abstract

We find that the pre-Global Financial Crisis pricing of mortgages originated for placement into commercial mortgage-backed security trusts did not meaningfully depend on whether non-investment grade tranches of such trusts were sold soon after issuance into collateralized debt obligation pools.

Suggested Citation

  • Godin, Nathan & Horvath, Akos & Ma, Xingliang & Sagi, Jacob S., 2025. "Skin in the game and securitized commercial mortgage pricing before the Global Financial Crisis," Economics Letters, Elsevier, vol. 257(C).
    • Handle: RePEc:eee:ecolet:v:257:y:2025:i:c:s0165176525004902
    DOI: 10.1016/j.econlet.2025.112653
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    References listed on IDEAS

    as
    1. Ashcraft, Adam B & Gooriah, Kunal & Kermani, Amir, 2019. "Does skin-in-the-game affect security performance?," Journal of Financial Economics, Elsevier, vol. 134(2), pages 333-354.
    2. Xudong An & Lawrence R. Cordell & Nicholas Smith, 2023. "CMBS Market Evolution and Emerging Risks," Working Papers 23-27, Federal Reserve Bank of Philadelphia.
    3. Joshua Coval & Jakub Jurek & Erik Stafford, 2009. "The Economics of Structured Finance," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 3-25, Winter.
    4. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    5. Simon Firestone & Nathan Y. Godin & Akos Horvath & Jacob Sagi, 2024. "Risk Perception and Loan Underwriting in Securitized Commercial Mortgages," Finance and Economics Discussion Series 2024-019, Board of Governors of the Federal Reserve System (U.S.).
    6. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • R38 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Government Policy

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