Brexit referendum and the UK securitization market

Alper Kara; Nodirbek Karimov; Anh Phuong Nguyen

doi:10.1080/13504851.2020.1798340

Brexit referendum and the UK securitization market

Alper Kara, Nodirbek Karimov, Anh Phuong Nguyen

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

We examined the perceived risk of Brexit referendum (BR) in the United Kingdom (UK) securitization market, using 1,021 securitized bonds issued between 2011 and 2018. We find an unexpected negative relationship between the BR outcome and the initial yield spreads of asset-backed securities (ABS), even after accounting for the downward-adjusted credit ratings in the post-BR period. We do not observe this effect on mortgage-backed securities (MBS). Our findings imply that investors diversified into ABS bonds under uncertainty in the post-BR period.

Original language	English
Pages (from-to)	1092-1097
Number of pages	6
Journal	Applied Economics Letters
Volume	28
Issue number	13
Early online date	27 Jul 2020
DOIs	https://doi.org/10.1080/13504851.2020.1798340
Publication status	Published - 1 Jul 2021

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AEL_Brexit_SecuritizationAccepted author manuscript, 259 KBLicence: CC BY-NC

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Brexit referendum and the UK securitization market

Abstract

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