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研究生:紀宜君
研究生(外文):Yi-Chun Chi
論文名稱:美國銀行資產證券化決定因素之研究
論文名稱(外文):Determinants of Securitization Activity In US banking industry
指導教授:劉啟群劉啟群引用關係
指導教授(外文):Chi-Chun Liu
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:會計學研究所
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:79
中文關鍵詞:SecuritizationSPVCapital ratioDepositsBankCost of fundLoan
外文關鍵詞:Cost of fundLoanSecuritizationSPVDepositsCapital ratioBank
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Securitization activities have been popular in U.S. banking industry for more than 30 years. Many banks benefit from securitizing financial assets but the implications of the trend for bank securitization are intricate. The purpose of this study is to investigate the determinants of bank securitization in the United States.
We find that banks don’t need to conform to the capital adequacy requirement on the assets securitized so the less the capital is, the more the securitizations are. The results also show that banks with larger size are more likely to engage in securitization activities because they have the capability to assume the cost of securitization. The positive coefficient of variance of EPS means that banks pack high-quality assets for sell and the remaining assets deteriorate with securitization and result to high risk. This study also provides evidence that loan ratio and deposit are negatively related to securitization. In contrast, we find no association between the growth rate, cost of fund, insolvency risk and securitization activities.
Taken together, these results suggest that the motives of banks securitization depend on the costs and benefits of such activities. Although the impact of securitization is still controversial, this study permits us to present some preliminary evidence.
1. Introduction………………………………………………………… 8
2. Benefits and Risk of Securitization…………………………………11
3. Prior Literature……………………………………………………...15
4. Hypothesis Development……………………………………………17
5. Research Design…………………………………………………….24
6. Source of Data and Sample Description……………………………25
7. Empirical Results…………………………………………………...26
8. Sensitivity Analyses………………………………………………..29
9. Conclusions………………………………………………………...30
Reference………………………………………………………….….....33
Appendix A:Data Items in Compustat………………………………....45
Appendix B:Combinations of Variables for Sensitivity Analyses…….46
Appendix C:Regression Results for Sensitivity Analyses……………..49
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