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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Securitization and credit quality in the European market |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | European financial management |
| Publisher | Wiley-Blackwell Publishing, Inc. |
| Geographical Reach | international |
| ISSN | 1354-7798 |
| Volume | 25 |
| Number | 2 |
| Page Range | 407 - 434 |
| Date | 2019 |
| Abstract Text | We assess the effect of securitization activity on relative credit quality employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that at issuance, based on observable characteristics, banks do not seem to select and securitize loans of lower credit quality. Following securitization, the credit quality of borrowers whose loans are securitized deteriorates more than those in the control group. We find that poorer performance by borrowers of securitized loans seems to be connected to banks’ reduced monitoring incentives. Our results are supported by two additional methodologies and robust to controlling for predetermined borrower-lender matching. |
| Digital Object Identifier | 10.1111/eufm.12168 |
| Other Identification Number | merlin-id:15630 |
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