Determinants of Asset-Backed Security Prices in Crisis Periods

31 Pages Posted: 10 Feb 2009 Last revised: 19 Mar 2009

See all articles by William Perraudin

William Perraudin

Imperial College London - Accounting, Finance, and Macroeconomics

Shi Wu

affiliation not provided to SSRN

Date Written: December 1, 2008

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.

Keywords: Asset-Backed Security, Financial Crisis, Structured Product, Liquidity

JEL Classification: G01, G12

Suggested Citation

Perraudin, William and Wu, Shi, Determinants of Asset-Backed Security Prices in Crisis Periods (December 1, 2008). Available at SSRN: https://ssrn.com/abstract=1340008 or http://dx.doi.org/10.2139/ssrn.1340008

William Perraudin

Imperial College London - Accounting, Finance, and Macroeconomics ( email )

South Kensington campus
London SW7 2AZ
United Kingdom

Shi Wu (Contact Author)

affiliation not provided to SSRN

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