IDEAS home Printed from https://ideas.repec.org/a/taf/eurjfi/v15y2009i2p119-136.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/13518470802466188
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13518470802466188?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.
    3. Deku, Solomon Y. & Kara, Alper & Zhou, Yifan, 2019. "Securitization, bank behaviour and financial stability: A systematic review of the recent empirical literature," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 245-254.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:15:y:2009:i:2:p:119-136. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/REJF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.