---
_id: '4403'
abstract:
- lang: eng
  text: 'Using a unique cross‐sectional dataset of 381 cash and synthetic securitizations
    issued by 53 banks from the EU‐15 plus Switzerland between 1997 and 2007, this
    paper provides empirical evidence for time‐dependent negative wealth effects of
    credit risk securitization announcements in European banking. Baseline results
    hold when comparing estimated wealth effects with a control group of similar but
    non‐securitizing banks for the relevant time period. Moreover, building several
    sub samples we find that the nexus between credit risk securitization, the issuing
    banks’ overall risk exposure and wealth effects is associated with a variety of
    transaction‐ and bank‐specific factors. '
author:
- first_name: Christian
  full_name: Farruggio, Christian
  last_name: Farruggio
- first_name: Tobias C.
  full_name: Michalak, Tobias C.
  last_name: Michalak
- first_name: André
  full_name: Uhde, André
  id: '36049'
  last_name: Uhde
  orcid: https://orcid.org/0000-0002-8058-8857
citation:
  ama: Farruggio C, Michalak TC, Uhde A. Wealth effects of credit risk securitization
    in European Banking. <i>Journal of Business Finance and Accounting</i>. 2012;39(1
    &#38; 2):193-228. doi:<a href="https://doi.org/10.1111/j.1468-5957.2012.02273.x">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>
  apa: Farruggio, C., Michalak, T. C., &#38; Uhde, A. (2012). Wealth effects of credit
    risk securitization in European Banking. <i>Journal of Business Finance and Accounting</i>,
    <i>39</i>(1 &#38; 2), 193–228. <a href="https://doi.org/10.1111/j.1468-5957.2012.02273.x">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>
  bibtex: '@article{Farruggio_Michalak_Uhde_2012, title={Wealth effects of credit
    risk securitization in European Banking}, volume={39}, DOI={<a href="https://doi.org/10.1111/j.1468-5957.2012.02273.x">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>},
    number={1 &#38; 2}, journal={Journal of Business Finance and Accounting}, author={Farruggio,
    Christian and Michalak, Tobias C. and Uhde, André}, year={2012}, pages={193–228}
    }'
  chicago: 'Farruggio, Christian, Tobias C. Michalak, and André Uhde. “Wealth Effects
    of Credit Risk Securitization in European Banking.” <i>Journal of Business Finance
    and Accounting</i> 39, no. 1 &#38; 2 (2012): 193–228. <a href="https://doi.org/10.1111/j.1468-5957.2012.02273.x">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>.'
  ieee: 'C. Farruggio, T. C. Michalak, and A. Uhde, “Wealth effects of credit risk
    securitization in European Banking,” <i>Journal of Business Finance and Accounting</i>,
    vol. 39, no. 1 &#38; 2, pp. 193–228, 2012, doi: <a href="https://doi.org/10.1111/j.1468-5957.2012.02273.x">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>.'
  mla: Farruggio, Christian, et al. “Wealth Effects of Credit Risk Securitization
    in European Banking.” <i>Journal of Business Finance and Accounting</i>, vol.
    39, no. 1 &#38; 2, 2012, pp. 193–228, doi:<a href="https://doi.org/10.1111/j.1468-5957.2012.02273.x">https://doi.org/10.1111/j.1468-5957.2012.02273.x</a>.
  short: C. Farruggio, T.C. Michalak, A. Uhde, Journal of Business Finance and Accounting
    39 (2012) 193–228.
date_created: 2018-09-14T12:44:33Z
date_updated: 2023-01-10T09:35:34Z
department:
- _id: '186'
- _id: '188'
doi: https://doi.org/10.1111/j.1468-5957.2012.02273.x
extern: '1'
intvolume: '        39'
issue: 1&2
jel:
- G
- F
keyword:
- wealth effects
- credit risk securitization
- Europe
- event study
language:
- iso: eng
page: 193-228
publication: Journal of Business Finance and Accounting
publication_status: published
status: public
title: Wealth effects of credit risk securitization in European Banking
type: journal_article
user_id: '21810'
volume: 39
year: '2012'
...