Asymmetric information, adverse selection, and the pricing of CMBS.

摘要: Abstract We demonstrate that asymmetric information between sellers (loan originators) and purchasers (investors securities issuers) of commercial mortgages gives rise to a standard lemons problem, whereby portfolio lenders use private liquidate lower quality loans in mortgage-backed (CMBS) markets. Conduit lenders, who originate for direct sale into securitization markets, mitigate problems adverse selection loan sales. Our theory provides an explanation the pricing puzzle observed CMBS conduit are priced higher than loans, despite widespread belief originated at quality. Consistent with theoretical predictions discount, our empirical analysis 141 deals 16,760 shows that, after controlling observable determinants pricing, enjoyed 34 basis points advantage over market.