NDLI: Testing for Information Asymmetry in the Mortgage Servicing Market

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Testing for Information Asymmetry in the Mortgage Servicing Market

Content Provider	Scilit
Author	Jedidi, Helmi Dionne, Georges
Copyright Year	2019
Description	Journal: SSRN Electronic Journal Our main objective is to test for evidence of information asymmetry in the mortgage servicing market. Does the sale of mortgage servicing rights (MSR) by the initial lender to a second servicing institution unveil any residual asymmetric information? We analyze the originator’s selling choice of MSR using a large sample of U.S. mortgages that were privately securitized during the period of January 2000 to December 2013 (more than 5 million observations). Our econometric methodology is mainly non-parametric and the main test for the presence of information asymmetry is driven by kernel density estimation techniques (Su and Spindler, 2013). We also employ the non-parametric testing procedure of Chiappori and Salanié (2000). For robustness, we present parametric tests to corroborate our results after controlling for observable risk characteristics, for econometric misspecification error, and for endogeneity issues using instrumental variables. Our empirical results provide strong support for the presence of second-stage asymmetric information in the mortgage servicing market.
Related Links	http://chairegestiondesrisques.hec.ca/wp-content/uploads/2019/10/19-01.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3351417
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.3351417
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2019-03-12
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Mortgage Servicing Market Mortgage Servicing Right Information Asymmetry Test Non-parametric Model Kernel Estimation Instrumental Variable
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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