Securitization, Recourse Uncertainty, and Crash Risk
研究了银行证券化中的追索不确定性如何增加其股价崩盘风险，发现这种不确定性会促使负面信息积累并集中释放，导致崩盘，且对信息环境差的银行和会计准则改革前更显著。
In this study, we examine how banks’ stock price crash risk is affected by recourse uncertainty embedded in securitizations. By recourse uncertainty, we mean the difficulty for equity market participants to assess the true extent of risk transfer between securitizing banks and investors in asset-backed securities due to the opacity of securitizations. We argue that this uncertainty facilitates the withholding and accumulation of negative news that is subsequently released at once, resulting in crashes. Using a sample of U.S. bank holding companies for the period of 2002–2015, we find that recourse uncertainty is positively associated with the future crash risk of securitizing banks. The result holds after controlling for bank intrinsic risk. We also predict and find that this association is higher for banks with poorer information environment and for the period before the adoption of SFAS 166/167, which required enhanced disclosure about securitization activities.