IDEAS home Printed from https://ideas.repec.org/p/ysm/somwrk/amz2668.html
   My bibliography  Save this paper

Securitizations in the 1920's

Author

Listed:
  • William Goetzmann
  • Frank Newman

Abstract

This paper quantifies the scale and scope of the commercial real estate mortgage bond market in the period surrounding the 1920s in an attempt to better understand the role of retail mortgage debt in early urban development. In particular, this paper quantifies the size of the market, identifies risk factors affecting the coupon yield spread over Treasuries and utilizes a unique data set to construct a commercial mortgage price index over the period 1926-1935. A substantial retail appetite for real estate securities during this period may have significantly contributed to a real construction boom, but overly optimistic speculation in these securities may have led to overbuilding. The rapid deterioration of these securities and a near complete drop in issuance show, ex post, that investors were overconfident in building fundamentals during the boom years. The breakdown in the value of real estate securities as collateral assets preceded the crash of 1929 and may have contributed to the fall of asset prices more generally.

Suggested Citation

  • William Goetzmann & Frank Newman, 2010. "Securitizations in the 1920's," Yale School of Management Working Papers amz2668, Yale School of Management.
  • Handle: RePEc:ysm:somwrk:amz2668
    as

    Download full text from publisher

    File URL: http://icfpub.som.yale.edu/publications/2668
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. David C. Wheelock, 2008. "The federal response to home mortgage distress: lessons from the Great Depression," Review, Federal Reserve Bank of St. Louis, issue May, pages 133-148.
    2. Eugene N. White, 2014. "Lessons from the Great American Real Estate Boom and Bust of the 1920s," NBER Chapters,in: Housing and Mortgage Markets in Historical Perspective, pages 115-158 National Bureau of Economic Research, Inc.
    3. Brian A. Maris & William Segal, 2002. "Analysis of Yield Spreads on Commercial Mortgage-Backed Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(3), pages 235-252.
    4. William Goetzmann & Liang Peng & Jacqueline Yen, 2012. "The Subprime Crisis and House Price Appreciation," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 36-66, January.
    5. David C. Wheelock, 2008. "Government response to home mortgage distress: lessons from the Great Depression," Working Papers 2008-038, Federal Reserve Bank of St. Louis.
    6. Pierre Collin-Dufresne, 2001. "The Determinants of Credit Spread Changes," Journal of Finance, American Finance Association, vol. 56(6), pages 2177-2207, December.
    7. Rothberg, James P & Nothaft, Frank E & Gabriel, Stuart A, 1989. "On the Determinants of Yield Spreads between Mortgage Pass-Through and Treasury Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 2(4), pages 301-315, December.
    8. Leo Grebler & David M. Blank & Louis Winnick, 1956. "Capital Formation in Residential Real Estate: Trends and Prospects," NBER Books, National Bureau of Economic Research, Inc, number greb56-1.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Efraim Benmelech & Nittai K. Bergman, 2017. "Credit Market Freezes," NBER Chapters,in: NBER Macroeconomics Annual 2017, volume 32 National Bureau of Economic Research, Inc.
    2. Kenneth Snowden, 2014. "A Historiography of Early NBER Housing and Mortgage Research," NBER Chapters,in: Housing and Mortgage Markets in Historical Perspective, pages 15-36 National Bureau of Economic Research, Inc.
    3. Edward L. Glaeser, 2013. "A Nation Of Gamblers: Real Estate Speculation And American History," NBER Working Papers 18825, National Bureau of Economic Research, Inc.
    4. Kenneth Snowden & Eugene N. White & Price Fishback, 2014. "Introduction to "Housing and Mortgage Markets in Historical Perspective"," NBER Chapters,in: Housing and Mortgage Markets in Historical Perspective, pages 1-13 National Bureau of Economic Research, Inc.

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
    • N0 - Economic History - - General
    • N2 - Economic History - - Financial Markets and Institutions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ysm:somwrk:amz2668. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/smyalus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.