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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| Main Authors: | , , , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| 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 |