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Are asset securitizations sales or loans?

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Are asset securitizations sales or loans? / Landsman, W R; Peasnell, K V; Shakespeare, C.
In: The Accounting Review, Vol. 83, No. 5, 2008, p. 1251-1272.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Landsman, WR, Peasnell, KV & Shakespeare, C 2008, 'Are asset securitizations sales or loans?', The Accounting Review, vol. 83, no. 5, pp. 1251-1272. https://doi.org/10.2308/accr.2008.83.5.1251

APA

Landsman, W. R., Peasnell, K. V., & Shakespeare, C. (2008). Are asset securitizations sales or loans? The Accounting Review, 83(5), 1251-1272. https://doi.org/10.2308/accr.2008.83.5.1251

Vancouver

Landsman WR, Peasnell KV, Shakespeare C. Are asset securitizations sales or loans? The Accounting Review. 2008;83(5):1251-1272. doi: 10.2308/accr.2008.83.5.1251

Author

Landsman, W R ; Peasnell, K V ; Shakespeare, C. / Are asset securitizations sales or loans?. In: The Accounting Review. 2008 ; Vol. 83, No. 5. pp. 1251-1272.

Bibtex

@article{837a71094f974723982aaee6b1037a5d,
title = "Are asset securitizations sales or loans?",
abstract = "This study addresses whether asset securitizations are really asset sales or a form of secured borrowing, by estimating cross-sectional equity valuation regressions to assess whether the stock market treats securitized assets and liabilities held by a special purpose entity (SPE) as assets and liabilities of the sponsor-originator (S-O). Overall, we find that the market views the SPE assets and liabilities as belonging to the S-O, i.e., the risk and rewards of ownership of the transferred assets reside with the S-O and not the SPE. Results from a boot-strapping simulation that controls for scale by randomly assigning SPE assets and liabilities from one S-O to another provide evidence that scale bias is an unlikely explanation for finding the market views SPE assets and liabilities as belonging to the S-O. Findings from specifications in which we permit coefficients to differ for S-O firms with high and low relative levels of retained interest indicate that whereas the market views asset securitizations by low retained interest S-O firms as sales, i.e., risk transfer has taken place, it views asset securitizations by high retained interest S-O firms as secured borrowings, i.e., risk transfer is incomplete. We also show that although the market views securitizations by regulated and unregulated S-Os as secured borrowing, there is suggestive evidence that regulated firms have greater incentives to use securitizations to achieve off-balance sheet financing. ",
author = "Landsman, {W R} and Peasnell, {K V} and C Shakespeare",
year = "2008",
doi = "10.2308/accr.2008.83.5.1251",
language = "English",
volume = "83",
pages = "1251--1272",
journal = "The Accounting Review",
issn = "0001-4826",
publisher = "American Accounting Association",
number = "5",

}

RIS

TY - JOUR

T1 - Are asset securitizations sales or loans?

AU - Landsman, W R

AU - Peasnell, K V

AU - Shakespeare, C

PY - 2008

Y1 - 2008

N2 - This study addresses whether asset securitizations are really asset sales or a form of secured borrowing, by estimating cross-sectional equity valuation regressions to assess whether the stock market treats securitized assets and liabilities held by a special purpose entity (SPE) as assets and liabilities of the sponsor-originator (S-O). Overall, we find that the market views the SPE assets and liabilities as belonging to the S-O, i.e., the risk and rewards of ownership of the transferred assets reside with the S-O and not the SPE. Results from a boot-strapping simulation that controls for scale by randomly assigning SPE assets and liabilities from one S-O to another provide evidence that scale bias is an unlikely explanation for finding the market views SPE assets and liabilities as belonging to the S-O. Findings from specifications in which we permit coefficients to differ for S-O firms with high and low relative levels of retained interest indicate that whereas the market views asset securitizations by low retained interest S-O firms as sales, i.e., risk transfer has taken place, it views asset securitizations by high retained interest S-O firms as secured borrowings, i.e., risk transfer is incomplete. We also show that although the market views securitizations by regulated and unregulated S-Os as secured borrowing, there is suggestive evidence that regulated firms have greater incentives to use securitizations to achieve off-balance sheet financing.

AB - This study addresses whether asset securitizations are really asset sales or a form of secured borrowing, by estimating cross-sectional equity valuation regressions to assess whether the stock market treats securitized assets and liabilities held by a special purpose entity (SPE) as assets and liabilities of the sponsor-originator (S-O). Overall, we find that the market views the SPE assets and liabilities as belonging to the S-O, i.e., the risk and rewards of ownership of the transferred assets reside with the S-O and not the SPE. Results from a boot-strapping simulation that controls for scale by randomly assigning SPE assets and liabilities from one S-O to another provide evidence that scale bias is an unlikely explanation for finding the market views SPE assets and liabilities as belonging to the S-O. Findings from specifications in which we permit coefficients to differ for S-O firms with high and low relative levels of retained interest indicate that whereas the market views asset securitizations by low retained interest S-O firms as sales, i.e., risk transfer has taken place, it views asset securitizations by high retained interest S-O firms as secured borrowings, i.e., risk transfer is incomplete. We also show that although the market views securitizations by regulated and unregulated S-Os as secured borrowing, there is suggestive evidence that regulated firms have greater incentives to use securitizations to achieve off-balance sheet financing.

U2 - 10.2308/accr.2008.83.5.1251

DO - 10.2308/accr.2008.83.5.1251

M3 - Journal article

VL - 83

SP - 1251

EP - 1272

JO - The Accounting Review

JF - The Accounting Review

SN - 0001-4826

IS - 5

ER -