Asset securitization: effects on value of banking institutions

Pedro Martinez-Solano, Jose Yague-Guirao and Fulgencio Lopez-Martinez

The European Journal of Finance, 2009, vol. 15, issue 2, 119-136

Abstract: This paper examines the reaction of the Spanish stock market to the announcement of securitization operations by listed banks in the period 1993-2004. Results indicate the existence of positive and significant abnormal returns on the day immediately following the announcement date. The average cumulative abnormal returns over windows of varying lengths around the announcement date are also positive and significant. The market's reaction is stronger when the bank has a higher proportion of equity in its capital structure, when it is less profitable, and when it has previously undertaken securitization transactions.

Keywords: securitization; banking; profitability; efficiency; event study (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1080/13518470802466188

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