Asset securitization, securitization recourse, and information uncertainty

Research output: Contribution to journalArticle

35 Citations (Scopus)

Abstract

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.

Original languageEnglish (US)
Pages (from-to)541-568
Number of pages28
JournalAccounting Review
Volume86
Issue number2
DOIs
StatePublished - Mar 2011

Fingerprint

Securitization
Assets
Information uncertainty
Forecast dispersion
Risk transfer
Analysts' forecasts
Information environment
Quality information
Investors
Bank holding companies
Bid/ask spread
Financial assets
Asset-backed securities

Keywords

  • Banks
  • Information uncertainty
  • Recourse
  • Securitization

ASJC Scopus subject areas

  • Finance
  • Accounting
  • Economics and Econometrics

Cite this

Asset securitization, securitization recourse, and information uncertainty. / Cheng, Mei -; Dhaliwal, Dan S; Neamtiu, Monica I.

In: Accounting Review, Vol. 86, No. 2, 03.2011, p. 541-568.

Research output: Contribution to journalArticle

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