Securitization and Bank Performance

Sarkisyan, Anna; Casu, Barbara; Clare, Andrew; Thomas, Steve

doi:10.2139/ssrn.1490925

Cited by 14 publications

(4 citation statements)

References 52 publications

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“…As well as auditor premium studies, a common focus of A&F research is the evaluation of treatment effects. For instance, the performance of banks employing a policy of securitization (the ‘treated’ group) compared to those (the ‘control’ or ‘untreated’ group, or ‘counterfactuals’) who do not (Sarkisyan et al, 2009). In assessing treatment effects, it is usual to compare the means of the outcome variable in the treatment and control groups.…”

Section: The Selection Bias Issuementioning

confidence: 99%

“…This may explain the increasing use of PS matching across a wide range of A&F topics. For example, recent studies have employed the technique to examine the impact of social responsibility on firm value (Rossi, 2009), takeovers on corporate performance (Jurajda and Stancik, 2009), analysts’ recommendations on stock performance (Ertimur et al, 2009), cash flows disclosures on earnings (Orpurt and Zang, 2009), securitization on bank performance (Sarkisyan et al, 2009) and the precision of investors’ information (Cuijpers and Peek, 2010).…”

Section: The Selection Bias Issuementioning

confidence: 99%

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Differential Audit Quality, Propensity Score Matching and Rosenbaum Bounds for Confounding Variables

Peel¹,

Makepeace

2012

Business Fin & Account

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Via propensity score matching (PSM) and Rosenbaum Bounds (RB), this paper reports new evidence on the premiums charged by big 4 and the top 4 mid-tier (mid 4) auditors relative to their smaller counterparts in the private corporate market. The results demonstrate that big 4 and mid 4 premiums are in accord with theoretical predictions on auditor quality differences; and that these premiums are relatively insensitive to potential hidden bias when gauged by the RB method for appraising confounding variables under bounded uncertainty. Given the limitations of conventional methods, PSM is being increasingly adopted in accounting studies to estimate treatment effects. Employing paired and simultaneous multi-sample PSM premium estimates, we provide a comprehensive evaluation and illustration of the RB method, together with the advantages and limitations of PSM, on which RB is predicated, when compared to alternative estimators. We demonstrate that PSM, when coupled with RB, provide novel empirical evidence for premiums estimated across three different matched audit quality tiers, to those estimated in prior studies which employ Heckman methods, to hidden bias equivalents and to the sensitivity of the bounds parameters to the omission of covariates employed in the study. New evidence on premiums across size quartiles, and quantile regression estimates over audit fee percentiles, support the PSM findings.

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Section: The Selection Bias Issuementioning

confidence: 99%

Section: The Selection Bias Issuementioning

confidence: 99%

Differential Audit Quality, Propensity Score Matching and Rosenbaum Bounds for Confounding Variables

Peel¹,

Makepeace

2012

Business Fin & Account

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show abstract

“…(For a summary of some of these studies see Panetta and Pozzolo [2010], who study credit risk transfer in over 100 countries.) For example, a recent working paper, using propensity scoring techniques to try to determine a counterfactual (had banks not chosen to securitize) fi nds that after controlling for whether banks choose to securitize, there is no statistically signifi cant impact of securitiza-tion on banks' funding costs, credit exposure, or profi tability (Sarkisyan, et al 2010). While the authors frame the work in terms of a counterfactual, it addresses a far narrower question: How would banks have performed had they not used securitization (but implicitly assuming that securitization exists and is used by other institutions)?…”

Section: Identifying Counterfactual Alternativesmentioning

confidence: 99%

The Consequences of Financial Innovation: A Counterfactual Research Agenda

Lerner

Tufano

2011

Annu. Rev. Financ. Econ.

124

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Financial innovation has been both praised as the engine of growth of society and castigated for being the source of the weakness of the economy. In this article, we review the literature on financial innovation and highlight the similarities and differences between financial innovation and other forms of innovation. We also propose a research agenda to systematically address the social welfare implications of financial innovation. To complement existing empirical and theoretical methods, we propose that scholars examine case studies of systemic (widely adopted) innovations, explicitly considering counterfactual histories had the innovations never been invented or adopted.

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“…Odhiambo (2015) found that the relationship between property finance and the financial performance of banks listed on the Nairobi securities exchange (NSE) is not significant, while Abdulrehman and Nyamute (2018) found a significant relationship between mortgage financing and financial performance of commercial banks in Kenya. Carballo-Huerta and González-Ibarra ( 2008) found positive impact of innovative loans on the expansion of mortgage portfolios and profitability, whereas Gopalakrishnan (2000) and Sarkisyan et al (2009) found no impact. Government owned banks were found to generate a lower volume of NPL and are more profitable in Indonesia (Atahau, 2014), contrary to the evidence in other markets (Iannotta et al, 2007).…”

Section: Introductionmentioning

confidence: 99%

Residential Mortgage Portfolio, Product Innovation and Performance of Commercial Banks in Kenya

Nyang'iye

Iraya

Ochieng

2022

EJBMR

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This study sought to investigate the relationship between residential mortgage portfolios, product innovation, and performance of commercial banks in Kenya. The study was anchored on the Modern Portfolio Theory, Agency Theory, and Asymmetric Information Theory. The study adopted a correlational descriptive research design and data collected from the annual residential mortgage surveys conducted by the central bank of Kenya (CBK) on commercial banks covering a 13-year period from 2006 to 2018. Further, the financial statements of commercial banks and Kenya Bankers Association database were used as a source of secondary data. Data were analyzed via panel data approaches. The Baron and Kenny (1986) approach was used to test the hypothesis. The results revealed that residential mortgage portfolio attributes, namely: portfolio quality and mortgage interest return significantly influence bank performance. The effect of mortgage terms on the relationship between mortgage portfolio quality and performance was negative and statistically significant. Loan to value (LTV) ratio was however found not to significantly intervene in the relationship between residential mortgage portfolios and the performance of banks operating in Kenya. From the findings, the study suggested that bank managers pay attention to the institutional environment and product characteristics in designing their mortgage loan portfolios.

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Securitization and Bank Performance

Cited by 14 publications

References 52 publications

Differential Audit Quality, Propensity Score Matching and Rosenbaum Bounds for Confounding Variables

Differential Audit Quality, Propensity Score Matching and Rosenbaum Bounds for Confounding Variables

The Consequences of Financial Innovation: A Counterfactual Research Agenda

Residential Mortgage Portfolio, Product Innovation and Performance of Commercial Banks in Kenya

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