Titulización hipotecaria en Españaunha análise do risco para as entidades orixinadoras

  1. Iglesias Casal, Ana
  2. López Penabad, Celia
  3. López Andión, María del Carmen
  4. Maside Sanfiz, José Manuel
Revista:
Revista galega de economía: Publicación Interdisciplinar da Facultade de Ciencias Económicas e Empresariais

ISSN: 1132-2799

Ano de publicación: 2012

Volume: 21

Número: 2

Páxinas: 321-334

Tipo: Artigo

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Outras publicacións en: Revista galega de economía: Publicación Interdisciplinar da Facultade de Ciencias Económicas e Empresariais

Resumo

This paper examines the systemic risk reaction of banks’ stocks negotiated in the Spanish stock market to Mortgage Backed Securities. We use an event study methodology for securitization registration and issue dates from 1993 to 2010. The paper provides empirical evidence that securitization has a positive impact on the increase of Spanish bank’s systematic risk on the days following the registration and issue dates

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