Securitization and Bank Efficiency

Zhizhen Chen, Frank Hong Liu, Jin Peng, Haofei Zhang and Mingming Zhou

A chapter in Empirical Research in Banking and Corporate Finance, 2022, vol. 21, pp 191-222 from Emerald Group Publishing Limited

Abstract: We examine whether loan securitization has an impact on bank efficiency. Using a sample of large US commercial banks from 2002 to 2012, we find that bank loan securitization has a significant and positive impact on bank efficiency, and this relationship is stronger for banks with higher capital ratios, higher default risk, and lower level of liquidity and diversification. Our results are robust to Heckman self-selection correction and difference-in-difference (DID) analysis. In addition, these results are found mainly in non-mortgage loan securitizations but not in mortgage loan securitizations. Finally, we show that loan sales also have a positive impact on bank efficiency.

Keywords: Securitization; bank efficiency; Heckman self-selection; difference-in-difference; liquidity and diversification; loan sales; financial crisis (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eme:afeczz:s1569-373220220000021007

DOI: 10.1108/S1569-373220220000021007

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