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Securitization, Recourse Uncertainty, and Crash Risk

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Journal of Accounting, Auditing & Finance

Published online on

Abstract

Journal of Accounting, Auditing & Finance, Ahead of Print.
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 ...