We examined the perceived risk of Brexit Referendum (BR) in the United Kingdom (UK) securitization market, using 1,021 securitized bonds issued between 2011 and 2018. We find an unexpected negative relationship between the BR outcome and the initial yield spreads of asset-backed securities (ABS), even after accounting for the downward-adjusted credit ratings in the post-BR period. We do not observe this effect for mortgage-backed securities (MBS). Our findings imply that investors diversified into ABS bonds under uncertainty in the post-BR period.

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We assess the value of frequent issuers to investors in securitization markets by examining the initial yield spread of 6132 European mortgage-backed securities (MBS), covering a 20-year period between 1999 and 2018. We find that frequent issuers have certification value, and it increases as the credit cycle approaches its peak, as lending standards loosen, and information asymmetries in securitization markets increase. Investors value frequent issuers more favourably on riskier, difficult to evaluate MBS. We find that after the great financial crisis (GFC), investors began to attribute more value to frequent issuers, regardless of MBS credit quality. We also find that in the pre-crisis period, investors required higher yields to compensate for perceived rating shopping, which is not observed after the GFC. Finally, we show that investors expect higher yields on deals closed by subsidiaries of foreign banks.

We examine the impact of cooperation between legal advisors and issuers on bank securitization pricing using 6,624European ABS tranches issued in the European market over the period of 1998 to 2018. We find that previous cooperation is negatively related to initial yield spreads of ABS.Investors seem to attach value to previous cooperation between issuers and legal advisors and consider such transactions less risky by asking for lower yields. We observe that the magnitude of the past relationships is also of importance.Moreover, previous cooperation becomes more important as the risk of the transaction increases. This is especially noticeable when prime (AAA rated) tranches are compared to nonprime (non-AAA rated) tranches. Our results also show that the number of legal advisors in a deal does not matter for investors.