探討金融海嘯期間流動性風險與股價報酬之 關聯性-以三種不同類別的證券化資料分析

The Relation between Liquidity Risk and the Stock Returns during the Financial Crisis: An Examination Using the Three types of Securitized Loans

朱玉芳(Yu-Fang Chu)

指導教授 ： 劉啟群

國立臺灣大學/管理學院/會計學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.00097

摘要

無資料

關鍵字

證券化 ； 保留權益 ； 資訊品質 ； 流動性風險 ； 金融海嘯

並列摘要

Securitization has been the main activity in many bank holding companies. According to the prior literature, some risks of the off-balance sheet securitized loans are retained on the originator through retained interests that are evaluated by many parameters, leading to higher estimation risks and increasing the uncertainty of the originator’s value, which implies that the information qualities are poor and thus influences the firm’s liquidity risk and stock price.
Since during the financial crisis period, there are many liquidity-related events, I investigate the association between the stock return and liquidity risk by examining if the three off-balance sheet banks’ loan securitizations reflecting information quality and liquidity risk are relevant to investors due to the estimation risks and uncertainty of retained interests on the originator. In addition, there are differences in the externally verifiable credit risk, retained risks and information qualities of three loan types of off-balance sheet ABS, so I further assume that the associations between the investors’ reaction and the three loan types are different.

並列關鍵字

securitizations ； retained interests ； information quality ； liquidity risk ； financial crisis

參考文獻

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Calomiris, C., and J. Mason. 2004. Credit card securitization and regulatory arbitrage. Journal of Financial Services Research 26: 5–27.

Chen, W., C. Liu, and Stephen G. Ryan. 2008. Characteristics of Securitizations that Determine Issuers’ Retention of the Risks of the Securitized Assets. The Accounting Review Vol. 83: 1181–1215.

Dionne, G., and T. Harchaoui. 2003. Banks’ capital, securitization and credit risk: An empirical evidence for Canada. Working paper, HEC Montreal and Statistics Canada.