資產證券化的誘因、股東財富效果與長期績效之研究

The Incentives of Asset-Backed Securitization, Shareholder Wealth Effects and Long-Run Performance

邱麗卿(Li-Ching Chiu)

指導教授 ： 沈仰斌博士

元智大學/管理學院/管理研究所/博士(2006年)

https://doi.org/10.6838/YZU.2006.00021

摘要

在資產證券化快速成長的同時，有關公司為何以資產證券化至資本市場籌資的經濟誘因還未被深入的探討。由於資產證券化市場的蓬勃發展，許多財務學者和實務評論家試圖對此現象提出解釋，一方面實務上也出現許多謬論說明，但對公司為何以資產證券化籌資的問題並無進一步探討。另一方面有關資產證券化的理論與研究仍甚少。因此，本論文的第一部份探討公司將資產出售去發行資產擔保證券的經濟誘因。第二和三部份分別探討資產證券化的財富效果與其影響因素。最後第四部份探討公司進行資產證券化後，其長期股票與營運績效的表現。

第一部份:資本市場的不完美和資產證券化的誘因
本文藉由比較證券化公司和非證券化公司來探討公司進行資產證券化的決定因素。本研究使用Panel data approach和discrete random effects logit model (Chamberlain, 1980; Wooldridge, 2002)控制個別公司異質性問題，以獲得較pooled logit model有效率的係數估計值。研究樣本包含分佈在37個產業的2,419家美國上市公司所形成的unbalance panel data，研究期間為1994-2003。實證結果顯示公司特性和無法觀察的個別異質性，例如公司的管理與技術能力，是公司使用資產證券化籌資的重要決定因素。研究結果如下所示：一、與訊號發射或公司品質認證的觀點一致，高獲利能力的公司傾向使用資產證券化籌資。二、證券化公司大多為較不利的投資機會和較多現金流量，顯示資產證券化可以降低管理者代理問題，符合自由現金流量假說。公司管理者也許使用資產證券化釋放出有關公司未來要如何使用現金流量的好訊息給市場。三、高舉債且高成長的公司使用資產證券化籌資可以降低負債代理成本。四、低自有資本率和大公司規模的公司傾向使用資產證券化籌資，顯示資本限制與規模經濟也是公司資產證券化的決定因素。五、財務公司近年來較銀行業積極使用資產證券化籌資，所以資產證券化亦可以作為一般產業的籌資工具之一。實證結果進一步顯示債權人剝奪與過度投資等道德危機問題並非資產證券化的潛在誘因。

第二部份:資訊不對稱、負債代理問題和資產證券化的利得
在過去關於資產證券化之財富效果的研究，其實證結果呈現不一致的結論，且並沒有深入探討其影響因素。故本文旨在以事件研究法探討資訊不對稱與負債代理問題能否解釋資產證券化的利得。本研究使用1985-2003共19年間所宣告的資產證券化發行事件為樣本。實證結果發現，平均而言，資產證券化發行宣告對證券化公司的股東有顯著正的異常報酬，且產業為金融業的公司有較高的顯著正的異常報酬。進一步的實證結果顯示較高品質公司可獲得較多的證券化利得。實證結果亦顯示有限的證據支持資訊不對稱假說。但進一步檢驗發現高品質公司在較高資訊不對稱的環境經營時仍可獲得較多的證券化利得，與訊息發射假說的觀點一致。相對地，研究結果並無明顯的證據顯示負債代理問題可以解釋證券化的利得。此外實證結果顯示財務強度高的公司可獲得較多證券化利得，這與Lockwood et al. (1996)所提出的財務彈性觀點一致。

第三部份:資產證券化的資訊內涵: 訊號發射與自由現金流量假說
在以往資產證券化的研究中，並沒有深入探討其資訊內涵。本文旨探討美國上市公司的資產證券化發行宣告是否具有資訊內涵，並進一步驗證訊號發射與自由現金流量假說對證券化公司異常報酬的影響。實證結果發現資產證券化發行宣告對證券化公司的股東有顯著正的異常報酬，顯示全體資產證券化發行宣告事件具有資訊內涵。不同產業結果顯示只有銀行業與財務公司有正面資訊內涵。進一步驗證結果顯示，訊號發射與自由現金流量假說對資產證券化的財富效果有重要的影響。即公司的預期異常盈餘，非預期的異常盈餘和現金流量與股東異常報酬有正相關。相對地，研究結果顯示高現金流量且低成長的證券化公司可獲得顯著正的異常報酬，故並沒有明顯證據顯示證券化公司有潛存過度投資問題。由於道德危機問題會抑制資產證券化活動，此意指證券化公司的財務狀況在實現證券化利得是重要的。研究結果顯示每股盈餘高的公司有較高的異常報酬亦支持此一觀點。此外銀行業的股東較一般產業有顯著高的異常報酬，顯示資產證券化也許可以消除資本管制的負擔。整體而言，實證結果認為證券化利得來自於證券化公司在訊息發射與自由現金流量分配上有比較優勢，而非來自財富剝奪。

第四部份:資產證券化後長期股票與營運績效之研究
本文旨在探討公司發行資產擔保證券後，美國上市證券化公司之長期股價和營運績效表現。研究樣本包含447個公開資產擔保證券在1990-2001期間發行。持有期間異常報酬 (BHAR)和Fama的三因子模型等二種方法，衡量證券化公司的長期股票績效。研究結果並無一致性的證據顯示證券化公司存在長期超額報酬，故不支持市場反應不足假說。但研究結果發現證券化公司在發行資產擔保證券之後，三個月至三年期間之持有期間報酬較配對公司佳。研究結果亦顯示資產證券化公司無論發行前或發行後，其產業調整後的長期經營績效並無一致性的結果(大部份比同產業佳)。但無證據顯示證券化公司存在證券發行擇時的現象，此結果可能導因於資產證券化本身的特質。然而，進一步探究市場投資人喜好資產擔保證券的投資動機時，實證結果發現市場投資人在證券化公司發行資產擔保證券時，對證券化公司當時的成長機會有過度樂觀的現象。最後，實證結果認為資產證券化市場有較弱的資訊內涵，符合市場效率假說。

關鍵字

資產證券化 ； 訊號發射 ； 負債代理問題 ； 自由現金流量

並列摘要

Essay 1：Capital Market Imperfections and the Incentives of Asset-Backed Securitization

This paper investigates the determinants of asset-backed securitization (ABS) activity by comparing firms that have securitized assets to those that have not. A discrete random effect logit model that allows controlling for unobserved heterogeneity among individual firms in asset securitization behavior is empirical investigated using firm-level panel data. The empirical application shows that both observed firm characteristics and unobserved firm-level heterogeneity are important determinants of the ABS incidence. Securitizing firms tend to be more profitable than firms which do not securitize assets, consistent with the view of information signaling or certification of firm quality. Consistent with the free cash flow theory, we find that securitizing firms can be characterized as having a combination of unfavorable investment opportunities (low Tobin’s q) and relatively high cash flow. Managers may use asset securitization to convey information about how the firms will use future cash flows to markets. As for alleviating debt agency cost, it is an important driver of asset securitization, in particular for firms with high debt ratio but also with high growth. In addition, firms with weaker capital and large size are more likely to use the ABS market. We also find that the debtholder expropriation and overinvestment problems associated with asset securitization are not important drivers of assets securitization.

Essay 2：Asymmetric Information, Debt Agency Problems and the Economic Impact of Asset Securitization

This paper examines the role of information asymmetries and debt agency problems in explaining the stock valuation effect of asset securitization. We find that asset securitization is significantly wealth creating for securitizers’ shareholders. Further examination indicates that high quality firms have significantly positive response to asset securitization. There is only limited support for the information asymmetry hypothesis. We find little evidence that the gains from asset securitization are more valuable for firms with high asymmetric information. However, those high quality firms are also more valuable under greater information asymmetry. In contrast, we find that debt agency problem hypothesis and debtholder expropriation proposition do not explain the economic effects of asset securitization. In addition, our results show that financially strong firms experience increasing shareholders wealth. This evidence is consistent with the financial slack proposition of Lockwood et al. (1996) that asset securitization signals good news concerning the firms’ financial slack. These findings hold even after controlling for other potential explanatory variables. Our study firstly provides a better understanding of the relative importance of various potential determinants in explaining variation in the economic impact of asset securitization.

Essay 3：The Informational Content of Asset Securitization: Information Signaling and Free Cash Flow Hypotheses

This paper examines the information signaling and free cash flow explanations of the impact of asset securitization on stock prices. It finds that asset securitization is significantly wealth creating for shareholders. The effects on shareholders are large for finance firms than industrial firms. We further document that the information signaling and free cash flow hypotheses play an important role in explaining the gains from asset securitizations. In contrast, we find that the overinvestment hypothesis associated with asset securitization do not explain the stock valuation effects of asset securitization. The effect that moral hazard problems deter asset securitization suggests that firms’ financial status is crucial for realizing the gains from asset securitization. Banks’ shareholders have benefited significantly more than other industrial firms’ shareholders, suggesting that asset securitization can alleviate regulatory burden. We interpret these findings to mean that a comparative advantage in information signaling and alleviating free cash flow rather than wealth appropriation explains the gains from asset securitization.

Essay 4：Long-Run Performance following Asset-Backed Securitization

We examine the long-run stock price and operating performance of 447 open-market asset-backed-security (ABS) issues. Our results show no evidence of market underreaction phenomenon but did observe some positive abnormal returns in the three-month to three-year period subsequent to the issue announcement, under the buy-and-hold abnormal return method. Our results also show that securitizers experience no improvement in operation performance following ABS offerings, but perform significantly better than their industrial and matching non-securitizing firms in some of the pre- and post-periods. Overall, our results confirm that with a weaker signaling power, open-market ABS programs thus have been market efficiency.

並列關鍵字

Asset-backed securitization ； Information signaling ； Agency theory ； Free cash flow theory

參考文獻

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