MORTGAGE SECURITIZATION IN SPAIN: A RISK ANALYSIS FOR THE ISSUING ENTITIES
Ana Iglesias (),
Maria-Celia Penabad (),
Carmen López Andión and
José Manuel Maside Sanfiz
Authors registered in the RePEc Author Service: Carmen Lopez-Andion ()
Revista Galega de Economía, 2012, vol. 21, issue 2
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)
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:sdo:regaec:v:21:y:2012:i:2_14
Access Statistics for this article
More articles in Revista Galega de Economía from University of Santiago de Compostela. Faculty of Economics and Business. Contact information at EDIRC.
Bibliographic data for series maintained by Ana Iglesias Casal ().