Iglesias Casal, AnaLópez Penabad, CeliaLópez Andión, María del CarmenMaside Sanfiz, José Manuel2025-10-232025-10-232016Iglesias-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/10.3846/16111699.2013.8078671611-1699https://hdl.handle.net/10347/43374This 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.engCopyright (c) 2016 The Author(s). Published by Vilnius Gediminas Technical University. This work is licensed under a Creative Commons Attribution 4.0 International License.Attribution 4.0 Internationalhttp://creativecommons.org/licenses/by/4.0/SecuritizationSystematic riskSystemic riskEvent studyFinancial stabilityTransfer of riskMortgage-backed securitiesAssets-backed securitiesBanksSpainjournal article10.3846/16111699.2013.8078672029-4433open access