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Asset securitization: effects on value of banking institutions

Author

Listed:
  • Pedro Martinez-Solano
  • Jose Yague-Guirao
  • Fulgencio Lopez-Martinez

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.

Suggested Citation

  • Pedro Martinez-Solano & Jose Yague-Guirao & Fulgencio Lopez-Martinez, 2009. "Asset securitization: effects on value of banking institutions," The European Journal of Finance, Taylor & Francis Journals, vol. 15(2), pages 119-136.
  • Handle: RePEc:taf:eurjfi:v:15:y:2009:i:2:p:119-136
    DOI: 10.1080/13518470802466188
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    Citations

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    Cited by:

    1. Battaglia, Francesca & Gallo, Angela, 2013. "Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 274-286.
    2. Hollander, Hilke & Prokop, Jörg, 2015. "Stock price effects of asset securitization: The case of liquidity facility providers," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 147-160.

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