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• W3138194885 abstract "In this study, we examine how banks’ stock price crash risk is affected by recourse uncertainty embedded in securitizations. By recourse uncertainty, we mean the difficulty for equity market participants to assess the true extent of risk transfer between securitizing banks and investors in asset-backed securities due to the opacity of securitizations. We argue that this uncertainty facilitates the withholding and accumulation of negative recourse news that is subsequently released at once, resulting in crashes. Using a sample of U.S. bank holding companies for the period of 2002-2015, we find that recourse uncertainty is positively associated with the future crash risk of securitizing banks. The result holds after controlling for bank intrinsic risk. We also predict and find that this association is higher for banks with poorer information environment and for the period before the adoption of SFAS 166/167, which required enhanced disclosure about securitization activities." @default.
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• W3138194885 date "2020-01-01" @default.
• W3138194885 modified "2023-09-28" @default.
• W3138194885 title "Securitization, Recourse Uncertainty, and Crash Risk" @default.
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• W3138194885 doi "https://doi.org/10.2139/ssrn.3564768" @default.
• W3138194885 hasPublicationYear "2020" @default.
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