Do investors value frequent issuers in securitization?

Solomon Y. Deku, Alper Kara, Nodirbek Karimov

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


We assess the value of frequent issuers to investors in securitization markets by examining the initial yield spread of 6,132 European mortgage-backed securities (MBS), covering a 20-year period between 1999 and 2018. We find that frequent issuers have certification value, and it increases as the credit cycle approaches its peak, as lending standards loosen, and information asymmetries in securitization markets increase. Investors value frequent issuers more favourably on riskier, difficult to evaluate MBS. We find that after the Great Financial Crisis (GFC), investors began to attribute more value to frequent issuers, regardless of MBS credit quality. We also find that in the pre-crisis period, investors required higher yields to compensate for perceived rating shopping, which is not observed after the GFC. Finally, we show that investors expect higher yields on deals closed by subsidiaries of foreign banks.
Original languageEnglish
Pages (from-to)1247-1282
Number of pages36
JournalReview of Quantitative Finance and Accounting
Issue number4
Early online date26 Apr 2021
Publication statusPublished - 1 Nov 2021


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