ONLINE: Forschungskolloquium - Simple is Simply not Enough – Features versus Labels of Complex Financial Securities
Wann
Dienstag, 24. November 2020
15:15 bis 16:45 Uhr
Wo
Veranstaltet von
Lehrstuhl für Finanzwirtschaft
Vortragende Person/Vortragende Personen:
Martin Thomas Hibbeln (Universität Duisburg-Essen)
Anmeldung zur Teilnahme am Online-Vortrag bitte per e-Mail an 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.