The authors are all from the Department of Management & Economics, University of Bochum, Germany. They wish to thank the editors and in particular Andrew W. Stark, as well as an anonymous referee for their thoughtful comments and recommendations that greatly improved the contents of this paper. The authors are also grateful to Anna Sarkisyan, Anup Menon Nandialath, Marc Luecke, Hesna Genay, Scott Brave, Christopher Henderson, Markus Fischer and Jens Hagendorff as well as conference participants at the Emerging Scholars in Banking and Finance Conference 2010 in London, the Annual Australasian Finance and Banking Conference 2010 in Sydney, the International Tor Vergata Conference on Money, Banking and Finance 2010 in Rome, the Campus for Finance Research Conference 2011 in Vallendar, the Annual Meeting of the Midwest Finance Association 2011 in Chicago, the Annual Meeting of the Southwestern Finance Association 2011 in Houston and the European Financial Management Association Conference 2011 in Porto. The authors gratefully acknowledge financial support by the Institut fuer kredit- und finanzwirtschaft e.V. (ikf°). Finally they thank Eileen Cramer and Carina Trimborn for further comments and outstanding research assistance.(Paper received November 2010, revised version accepted November 2011)
Wealth Effects of Credit Risk Securitization in European Banking
Article first published online: 2 MAR 2012
© 2012 Blackwell Publishing Ltd
Journal of Business Finance & Accounting
Volume 39, Issue 1-2, pages 193–228, January/February 2012
How to Cite
Uhde, A., Farruggio, C. and Michalak, T. C. (2012), Wealth Effects of Credit Risk Securitization in European Banking. Journal of Business Finance & Accounting, 39: 193–228. doi: 10.1111/j.1468-5957.2012.02273.x
André Uhde, University of Bochum, Department of Management & Economics, Universitaetsstrasse 150, D-44780 Bochum, Germany.e-mail: email@example.com.
- Issue published online: 2 MAR 2012
- Article first published online: 2 MAR 2012
- Keywords: wealth effects;
- credit risk securitization;
- event study
Abstract: Using a unique cross-sectional dataset of 381 cash and synthetic securitizations issued by 53 banks from the EU-15 plus Switzerland between 1997 and 2007, this paper provides empirical evidence for time-dependent negative wealth effects of credit risk securitization announcements in European banking. Baseline results hold when comparing estimated wealth effects with a control group of similar but non-securitizing banks for the relevant time period. Moreover, building several sub samples we find that the nexus between credit risk securitization, the issuing banks’ overall risk exposure and wealth effects is associated with a variety of transaction- and bank-specific factors.