Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/315412 
Year of Publication: 
2024
Citation: 
[Journal:] Review of Derivatives Research [ISSN:] 1573-7144 [Volume:] 27 [Issue:] 2 [Publisher:] Springer US [Place:] New York, NY [Year:] 2024 [Pages:] 113-150
Publisher: 
Springer US, New York, NY
Abstract: 
We examine how design features and labels of complex financial securities affect pricing and performance. Hence, we utilize the security design features required by the European Union’s Securitization Regulation and the optional STS label (“Simple, Transparent, and Standardized”). Based on a unique dataset of European securitizations with 31 million quarterly loan observations, we find that investors hardly consider the features but rely on the existence of the label, although the latter has no performance-increasing effect. Our results reveal that investors neglect a proper risk assessment and misinterpret the easily accessible label as a signal of superior performance.
Subjects: 
Asset-backed securities
EU securitization regulation
Simple, transparent, standardized (STS)
Loan performance
Complex securities
JEL: 
D82
G01
G18
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.