法律顾问与发行人合作对证券化定价的影响

Q1 Economics, Econometrics and Finance

Financial Markets, Institutions and Instruments Pub Date : 2021-09-16 DOI:10.1111/fmii.12153

Nodirbek Karimov, Alper Kara, Gareth Downing

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引用次数: 1

摘要

我们研究了法律顾问和发行人之间的合作对银行证券化定价的影响，使用了1998年至2018年期间在欧洲市场发行的6624支欧洲ABS。我们发现之前的合作与ABS的初始收益率差呈负相关，投资者似乎更重视发行人与法律顾问之间的合作，并认为这种交易通过要求更低的收益率来降低风险。我们注意到，过去关系的规模也很重要。而且，随着交易风险的增加，之前的合作变得更加重要。当将优质(AAA级)债券与非优质(非AAA级)债券进行比较时，这一点尤其明显。我们的研究结果还表明，一笔交易中法律顾问的数量对投资者来说并不重要。

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The impact of legal advisor-issuer cooperation on securitization pricing

We examine the impact of cooperation between legal advisors and issuers on bank securitization pricing using 6,624 European ABS tranches issued in the European market over the period of 1998 to 2018. We find that previous cooperation is negatively related to initial yield spreads of ABS. Investors seem to attach value to previous cooperation between issuers and legal advisors and consider such transactions less risky by asking for lower yields. We observe that the magnitude of the past relationships is also of importance. Moreover, previous cooperation becomes more important as the risk of the transaction increases. This is especially noticeable when prime (AAA rated) tranches are compared to non-prime (non-AAA rated) tranches. Our results also show that the number of legal advisors in a deal does not matter for investors.

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来源期刊

Financial Markets, Institutions and Instruments Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.80

自引率

0.00%

发文量

期刊介绍： Financial Markets, Institutions and Instruments bridges the gap between the academic and professional finance communities. With contributions from leading academics, as well as practitioners from organizations such as the SEC and the Federal Reserve, the journal is equally relevant to both groups. Each issue is devoted to a single topic, which is examined in depth, and a special fifth issue is published annually highlighting the most significant developments in money and banking, derivative securities, corporate finance, and fixed-income securities.