RT Journal Article
T1 Market perception of bank risk and securitization in Spain
A1 Iglesias Casal, Ana
A1 López Penabad, Celia
A1 López Andión, María del Carmen
A1 Maside Sanfiz, José Manuel
K1 Securitization
K1 Systematic risk
K1 Systemic risk
K1 Event study
K1 Financial stability
K1 Transfer of risk
K1 Mortgage-backed securities
K1 Assets-backed securities
K1 Banks
K1 Spain
AB This paper examines the systematic risk in those banks that participated as issuers of securitization transactions in the Spanish market. Using event study methodol- ogy and allowing systematic risk to change gradually within the event window, this paper provides empirical evidence that securitization has a positive impact on Spanish bank's systematic risk (beta) from the beginning to the end of the event window. Additionally, we assess how much of the beta effect is due to volatility and how much to market cor- relation. The increase in beta is solely due to an increase in banks’ correlations, improving portfolio diversification. The empirical results presented in this paper show important informative implications for the different agents related to banks. This creates a challenge for financial regulation, which has typically focused on individual institutions.
PB Vilnius Gediminas Technical University Journals
SN 1611-1699
YR 2016
FD 2016
LK https://hdl.handle.net/10347/43374
UL https://hdl.handle.net/10347/43374
LA eng
NO Iglesias-Casal, A., López-Penabad, M. C., López-Andión, C., & Maside-Sanfiz, J. M. (2016). Market perception of bank risk and securitization in Spain. Journal of Business Economics and Management, 17(1), 92-108. https://doi.org/10.3846/16111699.2013.807867
DS Minerva
RD 24 abr 2026