Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jfineco.2010.12.002
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dc.titleAsymmetric information, adverse selection, and the pricing of CMBS
dc.contributor.authorAn, X.
dc.contributor.authorDeng, Y.
dc.contributor.authorGabriel, S.A.
dc.date.accessioned2013-10-14T05:07:26Z
dc.date.available2013-10-14T05:07:26Z
dc.date.issued2011
dc.identifier.citationAn, X., Deng, Y., Gabriel, S.A. (2011). Asymmetric information, adverse selection, and the pricing of CMBS. Journal of Financial Economics 100 (2) : 304-325. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jfineco.2010.12.002
dc.identifier.issn0304405X
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/46084
dc.description.abstractWe demonstrate that asymmetric information between sellers (loan originators) and purchasers (investors and securities issuers) of commercial mortgages gives rise to a standard lemons problem, whereby portfolio lenders use private information to liquidate lower quality loans in commercial mortgage-backed securities (CMBS) markets. Conduit lenders, who originate loans for direct sale into securitization markets, mitigate problems of asymmetric information and adverse selection in loan sales. Our theory provides an explanation for the pricing puzzle observed in CMBS markets, whereby conduit CMBS loans are priced higher than portfolio loans, despite widespread belief that conduit loans are originated at lower quality. Consistent with theoretical predictions of a lemons discount, our empirical analysis of 141 CMBS deals and 16,760 CMBS loans shows that, after controlling for observable determinants of loan pricing, conduit loans enjoyed a 34 basis points pricing advantage over portfolio loans in the CMBS market. © 2010 Elsevier B.V.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.jfineco.2010.12.002
dc.sourceScopus
dc.subjectAsymmetric information
dc.subjectCMBS
dc.subjectConduit lending
dc.subjectLemons discount
dc.typeArticle
dc.contributor.departmentREAL ESTATE
dc.description.doi10.1016/j.jfineco.2010.12.002
dc.description.sourcetitleJournal of Financial Economics
dc.description.volume100
dc.description.issue2
dc.description.page304-325
dc.description.codenJFECD
dc.identifier.isiut000288579700005
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