證券化對創始機構的影響：臺灣實證研究

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Title:	證券化對創始機構的影響：臺灣實證研究
Other Titles:	The Effect of Securitization on the Originator: Evidence from Taiwan
Authors:	楊惠文 Yang, Hui-Wen
Contributors:	黃琛瑞 Huang, Chen-Jui 東海大學財務金融學系
Keywords:	證券化;創始機構;不動產抵押貸款擔保證券;金融資產擔保證券 Securitization;Originator;MBS;ABS;CAMELS
Date:	2007
Issue Date:	2011-03-24T03:20:15Z (UTC)
Abstract:	本文嘗試分析2003至2006年台灣資料，就2002年金融資產證券化條例通過後證券化對台灣創始機構之影響，提出創新之研究成果。首先檢驗創始機構於實施證券化時，是否存有股價之超額報酬。實證結果顯示，該事件確為創始機構股東創造與證券發行量成正相關之財富效果。此外，累積異常報酬因證券化標的資產之不同而有差異，同時該報酬與創始機構之負債比率呈現負相關，意味著舉債程度高(低)之創始機構享有較小(大)之財富效果。其次透過「實施證券化銀行」與「未實施證券化銀行」之營運績效比較，發現前者之CAMELS財務比率(特別是與資本、流動性、敏感性相關者)獲得改善，提供當前實務、相關理論與實證研究重要之意涵。 This thesis intends to propose, after ratification of the Financial Asset Securitization Act in 2002, the first evidence on the effect of securitization on Taiwan’s originators with data between 2003 and 2006. Firstly, the scope for excess returns at the time of securitization is examined. A significant wealth effect, positively related to the issuance size for the originator’s shareholders is found. Besides, cumulative abnormal returns depend on the type of assets to be securitized, and appear negatively correlated to the originator’s debt ratio, implying a greater (smaller) wealth effect for a low-debt leverage (high-debt leverage) originator. Secondly, the impact on the originator’s operating performance is studied with a comparative study between securitizing banks and non-securitizing banks. The former exhibit improvement in their financial ratios established by CAMELS, particularly those associated with capital, liquidity, and sensitivity, providing implications for current practice as well as relevant theoretical and empirical research.
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