Amit Seru, assistant professor of finance at the University of Chicago Graduate School of Business, received the Eurobank Award for the best research paper presented at the 2008 European Finance Association Conference in Athens, Greece.
Chicago GSB professors Lubos Pastor and Pietro Veronesi won the best paper award at the 2006 conference.
Seru’s paper, “Did Securitization Lead to Lax Screening: Evidence from Subprime Loans” concluded that a mortgage portfolio that meets the ad hoc guidelines for securitization is significantly more likely to default when compared with a portfolio of similar risk profile that differs only in the likelihood of securitization.
“Securitization does adversely affect the screening incentives of lenders,” said Seru, who teaches courses in corporate finance to MBA students. “The problem was particularly severe for loans where lenders did not collect hard information on income, assets and employment of borrowers. Those loans are also called ‘low doc,’ or NINJA loans,” he said.
His mortgage research also won awards recently at two other conferences. It received the best paper award at the Matsui conference on credit risk at the University of Michigan, and the Citibank best paper award at the Centre for Analytical Finance summer research conference held at ISB, the Indian School of Business.
Seru joined the Chicago GSB faculty in 2007 after receiving his PhD from the University of Michigan.
Seru conducted the mortgage research with Benjamin Keyes from the University of Michigan, Tanmoy Mukherjee at Sorin Capital Management and Vikrant Vig at London Business School.
Other research by Seru includes “Fund Manager Use of Public Information: New Evidence on Managerial Skills,” published in the Journal of Finance.
The European Finance Association also gave awards recently to Chicago GSB Assistant Professor Andrea Frazzini and Associate Professor Joshua Rauh. Frazzini received the 2007 award for the best paper in asset pricing and Rauh received the 2004 award for the best symposium paper.
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