Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market

Tomasz Piskorski, Amit Seru, James Witkin

NBER Working Paper No. 18843
Issued in February 2013

---- Acknowledgements -----

We are grateful to Equifax and BlackBox Logic for their data which were invaluable for the analysis in this paper. We thank Charlie Calomiris, John Cochrane, Gene Fama, Chris Mayer, Lasse Pedersen, Amir Sufi, and Luigi Zingales as well as seminar participants at Columbia Business School for valuable comments. We thank Ing-Haw Cheng and Andrew Ellul for graciously sharing their data on incentive compensation and the risk management index. All errors are our own. Piskorski thanks the Paul Milstein Center for Real Estate at Columbia Business School for financial support. Seru thanks the Initiative on Global Markets at Booth for financial support. Contact Authors: Tomasz Piskorski (tp2252@columbia.edu) and Amit Seru (amit.seru@chicagobooth.edu) The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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