Asset Securitization, Securitization Recourse, and Information Uncertainty

• 成果类型: Article
• 署名作者: Cheng, Mei; Dhaliwal, Dan S.; Neamtiu, Monica
• 署名单位: University of Arizona; Korea University
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr.00000020
• 发表日期: 2011
• 页码: 541-568
• 关键词: market; asymmetry; sales; size; RISK

摘要

In this study, we examine some of the consequences of asset securitization. Specifically, using a sample of bank holding companies, we investigate whether the difficulty in assessing the true extent of risk transfer, between securitizing banks and investors in asset-backed securities, affects bank information uncertainty. We find that when market participants have a greater difficulty in estimating risk transfer, banks face greater information uncertainty (i. e., larger bid-ask spreads and analyst forecast dispersion). In addition, we find that this effect is mitigated for banks that operate in a higher quality information environment. We also find that banks that securitize financial assets have higher spreads and analyst forecast dispersion as compared to non-securitizing banks.