Effects of asset securitization on seller claimants

This study analyzes effects on debt and equity claimants of asset sales into securitizations. Shareholders' returns are increasing in shareholder capitalization. Average losses to shareholders in mortgage-backed securities issuers are explained historically. First time issuance and increased securitization frequency are shareholder-wealth-inereasing. Securitizers with actively traded bonds enjoy substantial and significant shareholder gains, which are greater the poorer the creditworthiness of the seller. Wealth transfer from bondholders to shareholders occurs in asset-backed securities among sellers with low credit ratings. Banks' claimants have benefited significantly more than other FIs' claimants, suggesting that securitization can alleviate regulatory burden. (C) 2001 Academic Press.