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Mortgage Securitization In Spain: A Risk Analysis For The Issuing Entities

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Author Info

  • Iglesias Casal, Ana
  • López Penabad, María Celia
  • López Andión, Carmen
  • Maside Sanfiz, José Manuel

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.

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File URL: http://www.usc.es/econo/RGE/Vol21_2/castelan/bt6c.pdf
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Bibliographic Info

Article provided by University of Santiago de Compostela. Faculty of Economics and Business. in its journal Revista Galega de Economía.

Volume (Year): 21 (2012)
Issue (Month): 2 ()
Pages:

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Handle: RePEc:sdo:regaec:v:21:y:2012:i:2_14

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Postal: Avda Xoan XXIII S/N, 15704 Santiago de Compostela
Web page: http://www.usc.es/econo/RGE/benvidag.htm
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Related research

Keywords: Securitization / Systematic risk / Event study;

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