ONLINE: Research Colloquium - Simple is Simply not Enough – Features versus Labels of Complex Financial Securities
Time
Tuesday, 24. November 2020
15:15 - 16:45
Location
Organizer
Chair of Finance
Speaker:
Martin Thomas Hibbeln (University of Duisburg-Essen)
To register for the online meeting, please send an email to Marcel Fischer.
Simple is Simply not Enough – Features versus Labels of Complex Financial Securities
Abstract
Based on a unique data set of European residential mortgage backed security (RMBS) deals with 31 million quarterly loan observations, we examine how design features and labels of complex financial securities affect tranches’ spreads and loan performance. Exploiting the fea-tures required by the European Securitization Regulation and the STS (Simple, Transparent, Standardized) label, we find that the features of the security design and not the label are crucial for the loan performance. However, investors hardly consider the features but simply rely on the existence of the label.