In securitization transactions, it is difficult to lower uncertainty over the value of originators and higher information quality because of high estimation risk which results from contractual retained interests and non-contractual interests. In addition, for investors, the estimation of the extent of risk retention worsens the uncertainty over the value of originators and lowers information quality. Lev and Zhou (2009) find that under SFAS No. 157 the separation of assets/liabilities to three levels classifies items by liquidity risk; from the lowest liquidity risk—Level 1—through the highest liquidity risk—Level 3. In fact, this three-level separation also potentially informs on estimation risk and information quality; from the lowest estimation risk and the highest information quality—Level 1—through the highest estimation risk and the lowest information quality—Level 3. Therefore, investors regard that originators with higher off-balance securitized loans have higher estimation risk. Higher uncertainty over the value of originator associates with lower information quality and thus higher liquidity risk, generating a stronger investors’ reaction to crisis events than the lower off-balance securitized loans. This thesis, using the event study methodology, selecting 137 crisis events expected to have effects on liquidity from 2007 to 2009 and collecting a sample of 385 U.S. banking holding companies, examines that the connection between liquidity risk and firm-specific stock returns during the financial crisis through securitizations. The hypothesis is in liquidity-constraining events investors will react more negatively to the higher off-balance sheet securitization; in liquidity-expanding events investors will react more positively to the higher off-balance sheet securitization. Results of this study are inconsistent with the hypotheses. Only for distress events, investors will react more negatively to the higher off-balance sheet securitization. There are several alternative ways to interpret the empirical results. Firstly, some events during the early phase and later period of the crisis may only impact specific firms so that liquidity has minor direct influence on the whole market. Secondly, there are some arguments for few events in late 2008 which generally follow the prior literature (Lev and Zhou, 2009) to be classified into the appropriate group. Thirdly, “The Financial Crisis: A Timeline of Events and Policy Actions” does not cover all events which may affect the whole market. Lastly, I collect data not based on actual dates each financial company publishes its quarterly and annual reports.