Asymmetric information, adverse selection, and the pricing of CMBS
X An, Y Deng, SA Gabriel - Journal of Financial Economics, 2011 - Elsevier
We demonstrate that asymmetric information between sellers (loan originators) and
purchasers (investors and securities issuers) of commercial mortgages gives rise to a …
purchasers (investors and securities issuers) of commercial mortgages gives rise to a …
Commercial mortgage underwriting: How well do lenders manage the risks?
RA Grovenstein, JP Harding, CF Sirmans… - Journal of Housing …, 2005 - Elsevier
Loan-to-value ratio and debt service coverage ratios have long been viewed as the two most
important quantitative measures of the default risk of commercial mortgages. Option-based …
important quantitative measures of the default risk of commercial mortgages. Option-based …
The Shrinkage Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection
M Levy, R Roll - The Journal of Investing, 2023 - pm-research.com
In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …
than 900 articles have been published in the journal since then, educating market …
Contributions of The Journal of Fixed Income to Fixed-Income Analytics.
FJ Fabozzi - Journal of Fixed Income, 2022 - search.ebscohost.com
In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …
than 900 articles have been published in the journal since then, educating market …
Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics
GA Tira, G Marcato - … and Real Estate Characteristics (May 2009), 2009 - papers.ssrn.com
This work represents a first attempt to price European commercial mortgage backed
securities (CMBS) and our results are consistent with research carried out in the US market …
securities (CMBS) and our results are consistent with research carried out in the US market …
Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics
G Marcato, GA Tira - 2009 - ideas.repec.org
This work represents a first attempt to price European commercial mortgage backed
securities (CMBS) and our results are consistent with research carried out in the US market …
securities (CMBS) and our results are consistent with research carried out in the US market …
[PDF][PDF] IS CONDUIT LENDING TO BLAME? ASYMMETRIC INFORMATION, ADVERSE SELECTION, AND THE PRICING OF CMBS LOANS
X An, Y Deng, SA Gabriel - Citeseer
While portfolio lenders often faced a decision to hold for investment or sell newly–originated
commercial mortgages, conduit lenders originated loans exclusively for sale into …
commercial mortgages, conduit lenders originated loans exclusively for sale into …
Assessing the risk and relative value of commercial mortgage-backed securities issued in South Africa
S Thomson - 2007 - open.uct.ac.za
The aim of the research is to assess the risks and current pricing of single-borrower/multi-
property and multi-borrower/multi-property commercial mortgage-backed securities in South …
property and multi-borrower/multi-property commercial mortgage-backed securities in South …
[CITATION][C] Is conduit lending to blame? Asymmetric information, adverse selection, and the pricing of CMBS
Y DENG, X AN, SA GABRIEL