Financial Crisis: Contradictions between RMBS Performance and Investor Expectation

本文探討引發2007–2008年金融危機中，RMBS(住宅房貸擔保證券)市場參與者的問題，並聚焦探討投資者的角色。此延伸文獻最新的趨勢，重心逐漸從放貸機構轉移到發行機構與信評機構，再到投資者的角色上。藉由獨家取得RMBS市場於2002–2008年間由成長期、繁榮期至蕭條期，涵蓋市場發行92.24%、背後資產池超過一千八百萬筆貸款的詳細資料進行研究剖析。結果顯示，投資者預期與RMBS績效表現的重要性因素存在矛盾。對於影響RMBS績效表現，最重要的貸款品質因素，在投資者投資時卻最不看重。僅有薄弱預測能力的信用評等，投資者卻相對依賴。在總體經濟因素中，RMBS績效受未來房價走勢影響頗大，但投資者卻受當前房價氛圍影響甚深。結果亦顯示，若投資者能有相當程度預測房價的能力、可以看到真實的評等、或者能秉持一致的風險態度，那些事後表現差的RMBS，就會在證劵發行之初，被要求高的風險溢酬。We extend the issues of market participants of residential mortgage-backed securities (RMBS), the innovation widely cited as contributing to the 2007–2008 financial crisis, and focus our attention on the investor role. We use a unique comprehensive data set, covering 92.24% of issues and over 18.1 million underlying mortgage loans over 2002–2008, the entire business cycle (growth, boom, and recession), to investigate the problems behind investor expectation. The results show that there are contradictions between determinants of RMBS performance and investor expectation. Investors ignore loan quality factors, influencing the ex-post performance most. However, they overly rely on credit ratings, only having weak predictive power. Among macroeconomic factors, RMBS performance affected by future house price trends greatly, while investors price securities primarily according to the sentiment of current house prices. The results also show that investors will require enough risk premiums at issuance if they have an ability to predict house prices to a certain degree, can see the true ratings, or retain consistent risk attitude