Determinants of Asset-Backed Security Prices in Crisis Periods

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2008 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Copyright policy )

Authors: William Robert Maurice Perraudin; Shi Wu;

doi: 10.2139/ssrn.1340008 , 10.2139/ssrn.5387342

Determinants of Asset-Backed Security Prices in Crisis Periods

- Summary
- Metrics

Abstract

This paper investigates factors that contribute to the cross-sectional pattern of spreads in Asset-Backed Security (ABS) prices in times of crisis. The periods include the crisis in the Manufactured Housing sector in 2004 and the turmoil in mortgage backed ABS in 2007. The cross section of prices for a given rating category appear to be poorly explained by liquidity and risk and there is evidence of a collapse in market confidence in the ratings agency classifications.

Related Organizations

Imperial College London
United Kingdom

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	4
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average