Complex securities and underwriter reputation: : Do reputable underwriters produce better securities?

• Autores: John Griffin, Richard Lowery, Alessio Saretto
• Localización: Review of Financial Studies, ISSN-e 1465-7368, Vol. 27, Nº. 10, 2014, págs. 2872-2925
• Idioma: inglés
• DOI: 10.1093/rfs/hhu030
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• Resumen

  • Conventional wisdom suggests that high-reputation banks will generally produce good securities to maintain their long-run reputation. We show with a simple model that, when securities are complex a high-reputation bank may produce assets that underperform during market downturns. We examine this possibility using a unique sample of $10.1 trillion of CLO, MBS, ABS, and CDOs. Contrary to the conventional view, securities issued by more reputable banks did not outperform but, rather, had higher proportions of capital in default.