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Securitization in Spain and the wealth effect for shareholders

Maria-Celia Penabad (), Carmen Lopez-Andion (), Ana Iglesias () and Jose Manuel Maside-Sanfiz

International Review of Economics & Finance, 2015, vol. 37, issue C, 308-323

Abstract: 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.

Keywords: Wealth effect; Event study; Securitization; Banking (search for similar items in EconPapers)
JEL-codes: G28 G21 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.iref.2014.12.003

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