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dc.contributor.authorBenmelech, Effi
dc.contributor.authorDlugosz, Jennifer
dc.contributor.authorIvashina, Victoria
dc.date.accessioned2013-11-25T18:57:15Z
dc.date.issued2013-11-25
dc.identifier.citationBenmelech, Effi, Jennifer Dlugosz, and Victoria Ivashina. "Securitization without Adverse Selection: The Case of CLOs." Journal of Financial Economics 106, no. 1 (October 2012): 91–113.en_US
dc.identifier.issn0304-405Xen_US
dc.identifier.urihttp://nrs.harvard.edu/urn-3:HUL.InstRepos:11337409
dc.description.abstractIn this paper, we investigate whether securitization was associated with risky lending in the corporate loan market by examining the performance of individual loans held by CLOs. We employ two different datasets that identify loan holdings for a large set of CLOs and find that adverse selection problems in corporate loan securitizations are less severe than commonly believed. Using a battery of performance tests, we find that loans securitized before 2005 performed no worse than comparable unsecuritized loans originated by the same bank. Even loans originated by the bank that acts as the CLO underwriter do not show underperformance relative to the rest of the CLO portfolio. While there is some evidence of underperformance for securitized loans originated between 2005 and 2007, it is not consistent across samples, performance measures, and horizons. Overall, we argue that the securitization of corporate loans is fundamentally different from securitization of other asset classes because securitized loans are fractions of syndicated loans. Therefore, mechanisms used to align incentives in a lending syndicate are likely to reduce adverse selection in the choice of CLO collateral.en_US
dc.language.isoen_USen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.jfineco.2012.05.006en_US
dc.relation.hasversionhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=1344068en_US
dash.licenseOAP
dc.subjectpersonal financeen_US
dc.subjectperformanceen_US
dc.subjectmarketsen_US
dc.subjectbanks and bankingen_US
dc.subjectdebt securitiesen_US
dc.subjectinvestment portfolioen_US
dc.subjectfinancing and loansen_US
dc.titleSecuritization without Adverse Selection: The Case of CLOsen_US
dc.typeJournal Articleen_US
dc.description.versionAuthor's Originalen_US
dc.relation.journalJournal of Financial Economicsen_US
dash.depositing.authorIvashina, Victoria
dc.date.available2013-11-25T18:57:15Z
dc.identifier.doi10.1016/j.jfineco.2012.05.006*
dash.contributor.affiliatedIvashina, Victoria


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