Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 407-434 |
| Number of pages | 28 |
| Journal | European Financial Management |
| Volume | 25 |
| Issue number | 2 |
| Early online date | 13 Jan 2018 |
| DOIs | |
| Publication status | Published - Mar 2019 |
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Profiles
Alper Kara
- Department of Accounting, Finance and Economics - Professor of Finance
- Huddersfield Business School
- Northern Productivity Hub - Member
Person: Academic
Cite this
Kara, A., Marques-Ibanez, D., & Ongena, S. (2019). Securitization and credit quality in the European market. European Financial Management, 25(2), 407-434. https://doi.org/10.1111/eufm.12168