MORTGAGE SECURITIZATION IN SPAIN: A RISK ANALYSIS FOR THE ISSUING ENTITIES

Ana Iglesias Casal, Maria-Celia Penabad, Carmen López Andión and José Manuel Maside Sanfiz
Authors registered in the RePEc Author Service: Carmen Lopez-Andion () and A Iglesias-Casal

Revista Galega de Economía, 2012, vol. 21, issue 2

Abstract: This paper examines the systemic risk reaction of banks’ stocks negotiated in the Spanish stock market to Mortgage Backed Securities. We use an event study methodology for securitization registration and issue dates from 1993 to 2010. The paper provides empirical evi-dence that securitization has a positive impact on the increase of Spanish bank’s systematic risk on the days following the registration and issue dates.

Keywords: Securitization; /; Systematic; risk; /; Event; study (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:sdo:regaec:v:21:y:2012:i:2_14

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