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Are covered bonds different from securitization bonds? A comparative analysis of credit spreads
| dc.contributor.author | Correia, Mafalda C. | |
| dc.contributor.author | Pinto, João M. | |
| dc.date.accessioned | 2022-06-27T14:11:51Z | |
| dc.date.available | 2024-06-06T00:30:54Z | |
| dc.date.issued | 2023-06-01 | |
| dc.description.abstract | This study compares credit spreads and pricing determinants of securitization vis-à-vis covered bonds. Our analysis reveals that although ratings are the most important pricing determinant for asset-backed securities (ABS) and mortgage-backed securities (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 and mortgage-covered bonds and security prices reflect information beyond credit ratings. We find no evidence of borrowing costs affecting banks' choice between securitization and covered bonds. | pt_PT |
| dc.description.version | info:eu-repo/semantics/acceptedVersion | pt_PT |
| dc.identifier.doi | 10.1111/eufm.12382 | pt_PT |
| dc.identifier.issn | 1354-7798 | |
| dc.identifier.uri | http://hdl.handle.net/10400.14/37992 | |
| dc.identifier.wos | 000812599200001 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.subject | Credit spreads | pt_PT |
| dc.subject | Securitization | pt_PT |
| dc.subject | Covered bonds | pt_PT |
| dc.subject | Mispricing | pt_PT |
| dc.subject | Cost of borrowing | pt_PT |
| dc.title | Are covered bonds different from securitization bonds? A comparative analysis of credit spreads | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 900 | |
| oaire.citation.issue | 3 | |
| oaire.citation.startPage | 841 | |
| oaire.citation.title | European Financial Management | pt_PT |
| oaire.citation.volume | 29 | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |
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