Examining the contractual disclosures during the sale of private-label residential mortgage-backed securities before the 2008 financial crisis, we find that textual contents in the risk-factor section predict subsequent losses and yet were not reflected in pricing. Insurance companies, especially life insurers and insurers with low regulatory capital ratios, are more exposed to textual risks. Consistent with issuers hedging litigation risks with disclosure, we find that textual contents are associated with second-lien underreporting and preissuance written communications. Overall, we find that investors neglected risks in the purportedly safe assets before the crisis.

中文翻译：

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住宅抵押贷款支持证券发行沟通中被忽视的风险

通过检查 2008 年金融危机前自有品牌住宅抵押贷款支持证券销售过程中的合同披露，我们发现风险因素部分的文本内容预测了后续损失，但并未反映在定价中。保险公司，尤其是寿险公司和监管资本比率较低的保险公司，更容易面临文本风险。与发行人通过披露对冲诉讼风险一致，我们发现文本内容与第二留置权少报和发行前书面通信有关。总体而言，我们发现投资者在危机前忽视了所谓安全资产的风险。