Underpriced Default Spread Exacerbates Market Crashes

Underpriced Default Spread Exacerbates Market Crashes

In this paper, we develop a specific observable symptom of a banking system that underprices the default spread in non-recourse asset-backed lending. Using three different data sets for 18 countries and property types, we find that, following a negative demand shock, the “underpricing” economies exp...

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Bibliographic Details
Main Authors: KOH, Winston T. H., MARIANO, Roberto S. S, PAVLOV, Andrey, PHANG, Sock Yong, TAN, Augustine H. H., WACHTER, Susan M.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2006
Subjects:
real estate bubble
lender optimism
disaster myopia
Asian financial crisis
Economics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/1898
https://ink.library.smu.edu.sg/context/soe_research/article/2897/viewcontent/UnderpricedDefaultSpreadExacerbatesMarketCrashes.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1898
https://ink.library.smu.edu.sg/context/soe_research/article/2897/viewcontent/UnderpricedDefaultSpreadExacerbatesMarketCrashes.pdf

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