Transparency as a remedy for agency problems in securitization? The case of ECB’s loan-level reporting initiative |
| |
| Institution: | 1. Professor at Universitat Pompeu Fabra, Barcelona Graduate School of Economics and CEPR, Ramon Trias Fargas, 25-27 08005 Barcelona, Spain;2. Associate professor at Universidad de los Andes. Calle 19A No 1-37 Este, Bloque W, Bogotá, 111711, Colombia;1. Bank of Canada, 234 Wellington St, Ottawa, ON K1A 0G9, Canada;2. Centre for Economic Policy Research, London, United Kingdom;1. Department of Finance, University of Illinois Urbana-Champaign, United States;2. Department of Finance, Erasmus University Rotterdam, Netherlands;1. Seoul National University, South Korea;2. Research Group, Federal Reserve Bank of New York, USA;3. Department of Economics, Koç University, Istanbul, Turkey |
| |
| Abstract: | Poor transparency of asset-backed securities (ABS) exacerbated the latest subprime lending crisis. In response, the European Central Bank introduced the ABS loan-level reporting initiative, obliging originators to disclose quarterly loan-by-loan information. However, does this increase in transparency alleviate the agency problems inherent in securitization? To answer this question, we examine a novel dataset of 107 ABS pools that are backed by more than 2.8 million loans for small and medium-sized enterprises from the first securitization repository in Europe. The results show that the increase in transparency indeed has valuable effects for investors, inducing originators to improve pool performance and diversification for existing as well as newly issued ABS. These effects persist for a large set of control variables and a broad variety of robustness tests. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
