Are covered bonds different from securitization bonds?

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dc.contributor.author	Pinto, João
dc.contributor.author	Correia, Mafalda
dc.date.accessioned	2021-11-16T17:58:41Z
dc.date.available	2021-11-16T17:58:41Z
dc.date.issued	2017
dc.description.abstract	Using a sample of 18,309 bonds issued by European banks, we show that although ratings are the most important pricing determinant for ABS and MBS, investors place relatively more importance on contractual, macroeconomic, and banks’ characteristics rather than ratings in pricing covered bonds. We find evidence of a mispricing effect in structured finance markets: ABS and MBS have higher credit spreads than similarly rated public covered bonds (PCB) and mortgage covered bonds (MCB), and security prices reflect information beyond credit ratings across asset classes. We find no evidence of borrowing costs affecting the banks’ choice between securitization and covered bonds.	pt_PT
dc.description.version	info:eu-repo/semantics/submittedVersion	pt_PT
dc.identifier.uri	http://hdl.handle.net/10400.14/35977
dc.language.iso	eng	pt_PT
dc.peerreviewed	no	pt_PT
dc.subject	Credit spreads	pt_PT
dc.subject	Securitization	pt_PT
dc.subject	Covered bonds	pt_PT
dc.subject	Asset purchase programmes	pt_PT
dc.subject	Cost of funding	pt_PT
dc.title	Are covered bonds different from securitization bonds?	pt_PT
dc.type	working paper
dspace.entity.type	Publication
rcaap.rights	openAccess	pt_PT
rcaap.type	workingPaper	pt_PT

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