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Trustee reputation in securitization: When does it matter?

Kara, Alper, Deku, Solomon Y. and Marques-Ibanez, David (2019) Trustee reputation in securitization: When does it matter? Financial Markets, Institutions and Instruments, 28 (2). pp. 61-84. ISSN 0963-8008

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Abstract

We consider the role of trustees –who are nominated to protect the interests of investors– in securitization pricing and whether investors rely on them to mitigate risks. In particular, we examine the effect of trustee reputation on initial yield spreads of European mortgage-backed security (MBS) issuances between 1999 and the first half of 2007. We find that engaging reputable trustees led to lower spreads during the credit boom period prior to the 2007-2009 financial crisis. Our findings suggest that trustees’ reputation was considered by investors to be more important when risk assessment became more challenging.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Schools: Huddersfield Business School
Depositing User: Alper Kara
Date Deposited: 29 Aug 2018 11:01
Last Modified: 01 Apr 2020 09:30
URI: http://eprints.hud.ac.uk/id/eprint/34479

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