In the first chapter we introduce securitisations and discuss the current state of structured finance in Europe; we also explore the main trends in securitisations and future prospects. Next, we provide a general introduction to the theoretical and empirical literature concerning securitisations and structured finance more generally: we discuss theoretical hypotheses concerning different rationales for structured credit and explore the empirical literature on the topic. In the second chapter, we look at financial contracts determining implicit boundaries of a firm. In the spirit of the incomplete contract theory, we analyse optimal allocations of control in financial contracts involving limits on managerial discretion and legal separation of assets. Our model explores the interplay between different groups of creditors and managers in a symmetric information environment. The results display optimality conditions for different contracts from asset-backed securities through project finance to debt with covenants vis-a-vis a standard debt contract. In the third chapter, we provide the first systematic testing of the theories of tranching. We find support for asymmetric information and market segmentation explanations for tranching and present evidence on how such different rationales influence the structuring process in practice. We also investigate the impact of tranching on the price of securities at the issue level. In the fourth chapter, we investigate determinants of launch spreads in securitisation transactions. First, we develop a reduced-form pricing model of tranches across different transaction types and test it. We document the importance of credit ratings for prices of structured securities. Next, we test for the effect of tranching on pricing of individual securities. Finally, we develop a simultaneous equations supply and demand model with endogenous structuring to further investigate the effects of structuring on prices at launch. In the fifth chapter, we investigate returns to equity around securitisation dates, and explore how different factors influence the size and the direction of the potential effects. We find significant, positive, and consistent abnormal returns to equity on the pricing date, over longer event windows, and over the period immediately prior to the issue date. We find support for the theory that equity holders in well-capitalised banks and firms with low gearing benefit from securitisations. Furthermore, we show that more developed securitisation markets, larger issuers, and banks in particular all benefit from securitisations.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:530030 |
| Date | January 2007 |
| Creators | Firla-Cuchra, Maciej |
| Contributors | Mayer, Colin |
| Publisher | University of Oxford |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | http://ora.ox.ac.uk/objects/uuid:4cd23ecc-1d05-4b96-8e90-3ac5312ce715 |
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