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Dissertations

Information, Incentives, and Financial Intermediation

Oliver Faltin-Traeger, 2010
Faculty Advisor: Christopher Mayer
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Abstract

This dissertation is comprised of three papers that discuss information and incentive issues in the securitization process. All three papers are in draft form and the final published versions may differ significantly from those included here. Two of the papers are coauthored, and any errors in analysis or interpretation of results are completely my own. Each paper relies to some extent on Lewtan Technologies ABSNet database covering asset-backed security (ABS) deals issued between 1995 and 2009. The first chapter documents evidence that across multiple deals, ABS issuers tend to shift their business toward credit rating agencies that provide more favorable ratings and doing so creates benefits in terms of rating performance. The second chapter documents evidence suggesting a strong link between the financial condition of the sponsor of an asset-backed security and the subsequent performance of that security. The third chapter compares the characteristics and performance of ABS observed in collateralized debt obligations (CDOs) with other ABS not observed in CDOs, and finds that CDO assets performed much worse than comparable securities that were not included in a CDO.

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