Joint work with Arved Fenner and Carina Mössinger
Presented at WWU (Münster), HVB Doctoral Seminar 2019 (Hannover), Research Seminar at the University of Paderborn 2019 (Paderborn), BGSE Summer School 2019 (Barcelona), DGF 2019 (Essen), SFA 2019 (Orlando), Banking Workshop 2019 (Münster), PFMC 2019 (Paris), Australasian Finance & Banking Conference 2019 (Sydney), Sydney Banking and Financial Stability Conference 2019 (Sydney), IBEFA 2020 (San Diego), SGF 2020 (Zürich, accepted but canceled), FFI 2020 (Stockholm), Research Seminar in Contract Theory, Banking and Money at the University of Zurich 2020 (Zurich), Bundesbank Research Seminar 2020 (online), AFA 2021 (online), NFA (online), “Credit Risk over the Business Cycle” conference organized by Deutsche Bundesbank, FRIC Center, and CEPR (online), EUROFIDAI Paris December 2021 Finance Meeting (online), European DataWarehouse Winter 2022 Research Webinar (online), FIRS 2023 (Vancouver), CEBRA 2023 (geplant, New York)
Abstract: We investigate the replenishment of 102 asset-backed securities (ABS) backed by more than 1.7 million small- and medium-sized enterprise loans. Using an extensive data set from 2012 to 2017 obtained from the only ABS loan-level repository in Europe, we reveal that loans added to securitized portfolios after the transactions’ closing perform worse than loans being part of the initial portfolio. We additionally provide evidence that originators induce these performance differences by adding low-quality loans to securitized portfolios. This behavior is only partially captured by market prices, but mitigated by originators’ reputation efforts, increasing transparency in the market, and most effectively their interaction.