Accounting Seminar（2019-11）

Topic: Periodic Disclosure of Asset-Backed Securities and Bond Trading

Speaker: Haiwen (Helen) Zhang, University of Minnesota

Time: Friday, June 28th, 10:00-11:30 a.m

Place: Room 217, Guanghua Building 2

Abstract:

Transparency and liquidity are important issues in the market of complex structured products. In this paper, we provide large-sample evidence on whether investors in the U.S. secondary market of asset-backed securities respond to periodic disclosures mandated by the SEC and whether loan-level disclosure improves market liquidity. We first document that investors increase trading around monthly 10-D filings even for AAA-rated instruments and that this response is stronger for instruments with disaggregated loan-level disclosures. However, in contrast to the equity market finding that more information improves long-term liquidity, we find significant reduction in trading volume for ABS instruments subject to the new loan-level disclosure requirement, especially for retail trades. Overall, our results highlight that ABS are not perceived to be the “safe asset” immune to information gathering during our sample period and that mandatory loan-level disclosure may exacerbate information asymmetry for complex financial instruments.

Introduction:

Dr. Haiwen(Helen) Zhang is an Associate Professor of Accounting at Carlson School of Management at University of Minnesota. She joined University of Minnesota in 2018.

Dr. Zhang has published multiple articles in leading scholarly accounting journals, including The Accounting Review, Journal of Accounting and Economics, and Contemporary Accounting Research.

//carlsonschool.umn.edu/faculty/haiwen-helen-zhang

Your participation is warmly welcomed!