培训的代理成本：来自RMB S的证据

IF 3.1 1区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Intermediation Pub Date : 2023-04-01 DOI:10.1016/j.jfi.2023.101030

Sanket Korgaonkar

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引用次数: 0

摘要

本文记录了次级住宅抵押贷款池深度转移所产生的代理成本。抵押贷款服务商不太可能重新谈判以更多数量和种类的贷款为抵押的拖欠贷款。我们发现，与平均值相比，转移的四分之一间距增加会使抵押贷款服务商重新协商贷款的概率降低14%。这种影响集中在围绕贷款价值最大化行动的模糊性更大的抵押贷款中。总的来说，我们的研究结果支持这样一种观点，即转移会增加投资者之间的协调成本，阻碍他们对代理人的监督，从而加剧代理摩擦。

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The agency costs of tranching: Evidence from RMBS

This paper documents the agency costs resulting from the deeper tranching of subprime residential mortgage pools. Mortgage servicers are less likely to renegotiate delinquent loans collateralizing a greater number and variety of tranches. We find that an interquartile increase in tranching reduces mortgage servicers’ probability of loan renegotiation by 14% relative to the mean. This effect is concentrated in mortgages with greater ambiguity surrounding the loan value maximizing action. Overall, our results support the notion that tranching worsens agency frictions by increasing coordination costs among investors and impeding their monitoring of the agent.

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来源期刊

Journal of Financial Intermediation BUSINESS, FINANCE-

CiteScore

8.60

自引率

7.70%

发文量

期刊介绍： The Journal of Financial Intermediation seeks to publish research in the broad areas of financial intermediation, financial market structure, corporate finance, risk management, and valuation.