This paper examines the systematic risk in those banks that participated as issuers of securitization transactions in the Spanish market. Using event study methodol- ogy and allowing systematic risk to change gradually within the event window, this paper provides empirical evidence that securitization has a positive impact on Spanish bank's systematic risk (beta) from the beginning to the end of the event window. Additionally, we assess how much of the beta effect is due to volatility and how much to market cor- relation. The increase in beta is solely due to an increase in banks’ correlations, improving portfolio diversification. The empirical results presented in this paper show important informative implications for the different agents related to banks. This creates a challenge for financial regulation, which has typically focused on individual institutions.

Social enterprise pursues both social and economic goals and is recognized as a formula for achieving sustainable development. Sheltered workshops (SWs) are a manifestation of this phenomenon, their main objective being the labor market integration of disabled people. In this paper, the efficiency of SWs has been studied taking into account the operational and the core social aspects, as well as their distinct nature, namely for-profit or non-profit status. Additionally, we have analyzed the relationship between the social efficiency and the economic returns of these entities. To do this, a semiparametric methodology, combining different data envelopment analysis (DEA) models with truncated regression estimation has been used. It is the non-profit and top-performing SWs that achieve the best social and economic efficiency. For-profit and low-performing SWs show further reductions in social efficiency as a result of the economic crisis and uncertainty in subsidy-related public policies. Their extensive social proactiveness and high economic strength in the crisis period positively influenced their social and economic efficiency. We have also proven that it is the most profitable SWs that have the greatest social efficiency. We consider that our results constitute a useful complement to other evaluation models for social enterprise.

This paper analyses the effect of securitization issues on the solvency of Portuguese financial institutions. For this purpose, we use an unbalanced panel model estimated using GMM methods and find that securitization has a slightly positive impact on the soundness of the issuing entity. We study 35 financial entities and 60 traditional securitizations issued by 9 originators between 2001 and 2013. The analysis reveals that the financial entities’ soundness improved slightly, showing that securitization enhanced the quality of the originators’ portfolios and increased the regulatory capital requirements. We also found that efficiency and profitability improve the risk-adjusted ROAA and that efficiency increases regulatory capital requirements. The robustness analysis confirms the positive effect of securitization on solvency, where both credit quality and liquidity are shown to be significant variables.

ResumenEste trabajo estudia el riesgo sistemático de los bancos originadores de emisiones de titulización en el mercado español entre 1993 y 2010. Siguiendo una metodología econométrica del estudio de eventos e incluyendo la posibilidad de variaciones en el riesgo sistemático dentro de las ventanas del evento, el trabajo proporciona evidencia empírica de que el riesgo sistemático aumenta desde el principio hasta el final de la ventana para las fechas de emisión y registro, y mejora la diversificación de la cartera de la entidad cedente. Este resultado tiene consecuencias informativas importantes para los distintos colectivos relacionados con las entidades bancarias.AbstractThis paper examines the systematic risk in those banks that participate as issuers in securitization transactions in the Spanish market from 1993 to 2010. Using an event study methodology and allowing systematic risk to change gradually within the event window, this paper provides empirical evidence that securitization has a positive impact on the systematic risk of Spanish banks in the days following and preceding the registration and issue dates, and increases the diversification of the portfolio of the bank. The empirical results presented in this paper show important informative implications for the different agents related to banks