Securitization in Spain and the wealth effect for shareholders
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Título: | Securitization in Spain and the wealth effect for shareholders |
Autor/a: | López Penabad, María Celia López Andión, María del Carmen Iglesias Casal, Ana Maside Sanfiz, José Manuel |
Centro/Departamento: | Universidade de Santiago de Compostela. Departamento de Economía Cuantitativa Universidade de Santiago de Compostela. Departamento de Economía Financeira e Contabilidade |
Palabras chave: | Wealth effect | Event study | Securitization | Banking | |
Data: | 2014-12-15 |
Editor: | Elsevier |
Cita bibliográfica: | López-Penabad, M., López-Andión, C., Iglesias-Casal, A., & Maside-Sanfiz, J. (2015). Securitization in Spain and the wealth effect for shareholders. International Review Of Economics & Finance, 37, 308-323. http://dx.doi.org/10.1016/j.iref.2014.12.003 |
Resumo: | This paper examines the relationship between securitization, the issuing bank's overall exposure to risk and the response of the shareholder. Spanish securitization transactions are analyzed using event study methodology which reveals that securitization drains banks' wealth, was most pernicious immediately prior to the subprime crisis and affects small and medium-sized banks most with respect to mortgage collateral transactions. The indirect effect of securitization on originator risk does not affect share value, while the direct effect gives a positive relationship. This effect becomes non-significant in the years prior to the crisis and the shareholders no longer perceive this risk transfer |
Descrición: | This is an accepted manuscript of the article: López-Penabad, M., López-Andión, C., Iglesias-Casal, A., & Maside-Sanfiz, J. (2015). Securitization in Spain and the wealth effect for shareholders. International Review Of Economics & Finance, 37, 308-323. http://dx.doi.org/10.1016/j.iref.2014.12.003. © 2015. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ |
Versión do editor: | https://doi.org/10.1016/j.iref.2014.12.003 |
URI: | http://hdl.handle.net/10347/16689 |
DOI: | 10.1016/j.iref.2014.12.003 |
ISSN: | 1059-0560 |
Dereitos: | © 2014 Elsevier Inc. This manuscript version is made available under the CC-BY-NC-ND 4.0 license (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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