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研究生:邱麗卿
研究生(外文):Li-Ching Chiu
論文名稱:資產證券化的誘因、股東財富效果與長期績效之研究
論文名稱(外文):The Incentives of Asset-Backed Securitization, Shareholder Wealth Effects and Long-Run Performance
指導教授:沈仰斌沈仰斌引用關係
指導教授(外文):Yang-Pin Shen
學位類別:博士
校院名稱:元智大學
系所名稱:管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2006
畢業學年度:95
語文別:英文
論文頁數:144
中文關鍵詞:資產證券化訊號發射負債代理問題自由現金流量
外文關鍵詞:Asset-backed securitizationInformation signalingAgency theoryFree cash flow theory
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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。
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.
Contents
Title ……………….…………………………………………..…………. i
Chinese Abstract …… ………………….………………….…………… ii
Abstract … ……………………. ….……….………….…….………… v
Acknowledgment …….……....………………………………………… ix
Contents ……………..…….……………………………….…………… x
Tables ……………………...…………………………..……………… xiii

Chapter 1 Introduction
1.1 Research background ………………………………………………….……….. 1
1.1.1 Motives ………………………………………………………….…………. 1
1.1.2 Purposes and management issues ……………………………….…………. 3
1.2 Organization of the thesis ………………………………………….…………… 4

Chapter 2 Literature review
2.1 What’s asset-backed securitization?.……………………………….……………5
2.1.1 The basic structure of asset-backed securitization …………….…………...5
2.1.2 The comparisons to other financing vehicles……………………………….6
2.2 The extant theories to explain asset-backed securitization………………………7
2.2.1 The information signaling or certification of firm quality………….………8
2.2.2 The alleviating debt agency problems ....................................................…..11
2.2.3 The alleviating managerial agency problems: free cash flow theory....…....13
2.2.4 The overcoming capital constraints and diversification ........................…...15
2.2.5 The economic scale ……………………………………………..…….……17
2.2.6 The debtholder expropriation problems ………………………..…….…….18
2.2.7 The overinvestment problems ………………………………..……….……19
2.3 The existing empirical evidence ………………………………..………………20

Chapter 3 The incentives of asset-backed securitization
3.1 Research problems and objectives ……………………………………………...22
3.2 Hypotheses development ……………………………………………………….24
3.2.1 Information signaling or certification of firm quality hypothesis…………..24
3.2.2 Alleviating debt agency cost hypothesis…………………………………….24
3.2.3 Alleviating managerial agency cost hypothesis……………………………..24
3.2.4 Overcoming capital constraint hypothesis…………………………………..25
3.2.5 Economic scale hypothesis………………………………………………….25
3.2.6 Debtholders expropriation proposition……………………………………...26
3.2.7 Overinvestment problems proposition………………………………………26
3.3 Research design………………………………………………………………….26
3.3.1 Sample selection and data description………………………………………26
3.3.2 Measurement of Proxy Variables……………………………………………27
3.3.2.1 Proxies for information signaling……………………………………….28
3.3.2.2 Proxies for debt agency costs………………………………………...…29
3.3.2.3 Proxies for managerial agency costs……………………………………31
3.3.2.4 Proxies for capital constraints…………………………………………..32
3.3.2.5 Proxies for economic scale……………………………………………...32
3.3.2.6 Other control variables………………………………………………….33
3.3.3 Research methodology………………………………………………………33
3.4 Empirical results………………………………………………………………….37
3.4.1 Descriptive Statistics………………………………………………………...37
3.4.2 Econometric Results…………………………………………………………39
3.5 Conclusions………………………………………………………………………42
3.6 References………………………………………………………………………..43

Chapter 4 Asymmetric information, debt agency problems and the economic impact of asset-backed securitization
4.1 Research problems and objectives……………………………………………….60
4.2 Hypotheses development………………………………………………………...60
4.2.1 Asymmetric information and asset securitization…………………………...60
4.2.2 Debt agency Problems and asset securitization……………………………..61
4.3 Research design………………………………………………………………….61
4.3.1 Sample selection and data description………………………………………61
4.3.2 Empirical study methodology……………………………………………….62
4.3.2 Firm Characteristics and the Gains from Asset Securitization……………...64
4.3.2.1 Residual standard deviation…………………………………………….64
4.3.2.2 Firm quality……………………………………………………………..65
4.3.2.3 Debt ratio………………………………………………………………..66
4.3.2.4 Tobin’s q………………………………………………………………...66
4.3.2.5 High-debt-ratio and high-growth……………………………………….66
4.3.2.6 Other control variables………………………………………………….67
4.4 Empirical study results…………………………………………………………...69
4.4.1 Overall Sample………………………………………………………………69
4.4.2 Analysis of Subsamples……………………………………………………...71
4.4.3 Cross-Sectional Regression Analysis………………………………………..72
4.5 Conclusions………………………………………………………………………75
4.6 References………………………………………………………………………..77

Chapter 5 The informational content of asset-backed securitization: information signaling and free cash flow hypotheses
5.1 Research problems and objectives……………………………...………………89
5.2 Hypotheses development……………………………………………………….89
5.2.1 Information signaling hypothesis………………………………………..…89
5.2.2 Free cash flow hypothesis………………………………………………….90
5.2.3 Overinvestment hypothesis………………………………………………...90
5.3 Research design………………………………………………………………....91
5.3.1 Empirical study methodology……………………………………………...91
5.3.2 Sample selection and data description……………………………………..92
5.3.2 Firm Characteristics and the Gains from Asset Securitization………….….93
5.3.2.1 Future abnormal earnings………………………………………….…..93
5.3.2.2 Unexpected future earnings……………………………………….…...94
5.3.2.3 Cash flow and Tobin’s q……………………………………………….94
5.3.2.4 High-cash-flow and low-growth………………………………………95
5.3.2.5 Other control variables………………………………………………...96
5.4 Empirical study results………………………………………………………….98
5.4.1 Overall Sample……………………………………………………………..98
5.4.2 Analysis of Subsamples…………………………………………………….99
5.4.3 Cross-Sectional Regression Analysis………………………………………101
5.5 Conclusions……………………………………………………………………..103
5.6 References……………………………………………...……………………….105

Chapter 6 Long-run performance following asset-backed securitization
6.1 Research problems and objectives……………………………………………...117
6.2 Hypotheses development……………………………………………………….119
6.2.1 Market underreaction or overreaction hypothesis………………………….119
6.2.2 Window of opportunity hypothesis………………………………………...120
6.3 Research design………………………………………………………………....120
6.3.1 Sample selection and summary statistics…………………………………..120
6.3.2 Performance measures for issuers and nonissuers…………………………123
6.3.2.1 Measurement of long-run abnormal stock-price performance…...……123
6.3.2.2 Measurement of long-run operating performance……………………..125
6.4 Results of the long-run stock price performance………………………………..127
6.5 Results of the operating performance…………………………………………...129
6.6 Conclusions……………………………………………………………………..131
6.7 References………………………………………………………………………132
Essay 1:Capital Market Imperfections and the Incentives of Asset-Backed Securitization

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Lehn, K., J. Netter and A. Poulsen, 1990, “Choice of Organizational Form: the Case of Leveraged Recapitalizations and Leverage Buyouts,” Journal of Financial Economics 27, 315-354.
Lockwood, L. J., R. C. Rutherford, and M. J. Herrera, 1996, “Wealth Effects of Asset Securitization,” Journal of Banking and Finance 20, 151-164.
MacKinlay, C. A., 1997, “Event Studies in Economics and Finance,” Journal of Economic Literature l, 13-39.
Martel J. and M. Mokrane, 2002, “Bank Financing Strategies, Diversification and Securitization,” working Paper, 1-30.
Miller, M. H., 1986, “Financial Innovation: the Last Twenty Years and the Next,” Journal of Financial and Quantitative Analysis 21, 459-471.
Minton, B., T. Opler and S. Stanton, 1997, “Asset Securitization among Industrial Firms,” working paper, 1-18.
Modigliani, F. and M. H. Miller, 1958, “The Cost of Capital, Corporation Finance and the Theory of Investment,” American Economic Review 48, 261–297.
Myers, S. C., 1977, “Determinants of Corporate Borrowing,” Journal of Financial Economics 5, 147-176.
Myers, S. C. and N. S. Majluf, 1984, “Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have,” Journal of Financial Economics 13, 187-221.
Okabe R. M., 1998, “The Impact of Asset Securitization: a Perspective for Investors,” Journal of Applied Corporate Finance 11, 97-108.
Oldfield, G., 1997, “The Economics of Structured Finance,” The Journal of Fixed Income, 92-99.
Opler, T. and S. Titman, 1993, “The Determinants of Leveraged Buyout Activity: Free Cash Flow vs. Financial Distress Costs,” The Journal of Finance 48, 1985-1999.
Ranieri, L. S., 1996, “The Origins of Securitization, Sources of Its Growth, and Its Future Potential,” in L. T. Kendall and M. J. Fishman, Ed., A Primer on Securitization, Massachusetts: MIT Press, 31-43.
Roever, A. W., 1998, “The Joy of Securitization: Understanding Securitization and Its Appeal, in: F. J. Fabozzi, Ed., Issuer Perspectives on Securitization, Pennsylvania: Frank J. Fabozzi Associates, 1-16.
Schwarcz, S. L., 2002, Structured Finance: A Guide to the Principles of Asset Securitization, New York: Practising Law Institute.
Sharpe, S. A. and H. H. Nguyen, 1995, “Capital Market Imperfections and the Incentive to Lease,” Journal of Financial Economics 39, 271-294.
Silver, A. A., 1998, “Rating Structured Securities,” in J. F. Frank, Ed., Issuer Perspectives on Securitization, Pennsylvania: Frank J. Fabozzi Associates, 67-91.
Singer, D., 2001, “Market Innovation in Securitization and Structured Finance,” in F. J. Fabozzi, Ed., Accessing Capital Markets through Securitization, Pennsylvania: Frank J. Fabozzi Associates, 1-11.
Skarabot, J., 2001, “Asset Securitization and Optimal Asset Structure of The Firm,” working paper, 1-51.
Smith, C. and R. Watts, 1992, “The Investment Opportunity Set and Corporate Financing, Dividend, and Compensation Policies,” Journal of Financial Economics 32, 263-292.
Sopranzetti, B. J., 1999, “Selling Accounts Receivable and The Underinvestment Problem,” The Quarterly Review of Economics and Finance 39, 291-301.
Stanton, S., 1998, “The Underinvestment Problem and Patterns in Bank Lending,” Journal of Financial Intermediation 7, 293-326.
Stulz, R. M. and H. Johnson, 1985, “An Analysis of Secured Debt,” Journal of Financial Economics 14, 501-521.
Thomas, H., 1999, “A Preliminary Look at Gains from Asset Securitization,” Journal of International Financial Markets, Institutions and Money 9, 321-333.
Thomas, H., 2001, “Effects of Asset Securitization on Seller Claimants,” Journal of Financial Intermediation 10, 306–330.
Titman, S. and R. Wessels, 1988, “The Determinants of Capital Structures Choice,” Journal of Finance 43, 1-19.
Wooldridge, J. M., 2002, Econometric Analysis of Cross Section and Panel Data, Cambridge, IL.
Zweig, P. L., 1989, The Asset Securitization Handbook, Dow Jones and Company, Homewood, IL.

Essay 2:Asymmetric Information, Debt Agency Problems and the Economic Impact of Asset Securitization
Alles, L. (2001). Asset Securitization in Australia: How and Why It Works, Journal of the Securities Institute of Australia Issue, 1-15.
Andrea, S., and Paul, S. (2000). Securitization as a Liquidity Option for Small Banks in South Africa, The ABAS International Conference, 10-12 July, 1-22.
Barclay, M. J. and Smith, C. W., Jr., (1995a). The Maturity Structure of Corporate Debt, Journal of Finance, 50, 609-631.
Berger, A., and Udell, G. (1993). Securitization, Risk and the Liquidity Problem in Banking, in “Structural Change in Banking” (M. Klausner and L. White, Eds), 227-291. Irwin Publishing, Homewood.
Berkovitch, E., and Kim, Han E. (1990). Financial Contracting and Leverage Over- and Under-Investment Incentives, The Journal of Finance, 45, 3, 765-794.
Benston, G. J. (1992). The Future of Asset Securitization: the Benefits and Costs of Breaking Up the Bank”, Journal of Applied Corporate Finance, 5, 1, 71-82.
Benveniste, L. M., and Berger, A. N. (1987). Securitization with Recourse: an Instrument that Offers Uninsured Bank Depositors Sequential Claims, Journal of Banking and Finance, 11, 403-424.
Bhagat, S., Marr, M., and Thomposon, R. (1985). The Rule 415 Experiment: Equity Market, Journal of Finance, 40, 1385-1401.
Blackwell, D., Marr, M., and Spivey, M. (1990). Shelf Registration and the Reduced Due Diligence Argument; Implications of the Underwriter Certification and the Implicit Insurance hypotheses, Journal of Financial and Quantitative Analysis, 25, 245-259.
Blum, L. and DiAngelo, C. (1998). Structuring Efficient Asset Backed Transactions, (In: Fabozzi, F. J. Issuer Perspectives on Securitization. Pennsylvania: Frank J. Fabozzi Associates), 17-44.
Bryan, L. J. (1988). Structured Securitized Credit: a Superior Technology for Lending, Journal of Applied Corporate Finance, 1, 3, 6-19.
Cleary, S. (1999). The Relationship Between Firm Investment and Financial Status, The Journal of Finance, 54, 673-692.
Dierkens, N. (1991). Information Asymmetry and Equity Issues, Journal of Financial and Quantitative Analysis, 26, 181-199.
Donahoo, K. K., and Shaffer, S. (1991). Capital Requirements and the Securitization Decision, Quarterly Review of Economics and Business, 31, 4, 13-23.
Fama, E. F., and French, K. R. (2001). Disappearing dividends: Changing firm characteristics or lower propensity to pay, Journal of Financial Economics 60, 3-43.
Guedes, J. and Opler, T. (1996). The Determinants of the Maturity of Corporate Debt Issues, The Journal of Finance, 51, 5, 1809-1833.
Geczy, C., Minton, B. A., and Schrand, C. (1997). Why Firms Use Currency Derivatives, The Journal of Finance, 52, 4, 1323-1354.
Greenbaum, S. I., and Thakor, J. V. (1987). Banking Funding Modes: Securitization versus Deposits, Journal of Banking and Finance, 11, 379-401.
Haley, W. J. (1990), “Securitization Techniques for Non-Mortgage Assets,” (In: Kuhn, Robert Lawrence. Mortgage and Asset Securitization. U.S. A: Richard D. Irwin, Inc.), 216-241.
Hill, C. A. (1997). Securitization: a Low Cost Sweetener for Lemons, Journal of Applied Corporate Finance, 10, 2, 64-71.
Hovakimian, G., and Titman, S. (2003). Corporate Investment with Financial Constraints: Sensitivity of Investment to Funds from Voluntary Asset Sales, NBER Working Paper No. W9432, 1-30.
Iacobucci, E. M., and Winter, R. A. (2005). Asset Securitization and Asymmetric Information, The Journal of Legal Studies, 34, 1,161-206.
Jain, B. A., Chander S., and Violet, T. (2003). Determinants of Dividend Initiation by IPO Issuing Firms, Towson University working paper.
James, C. (1988). The Use of Loan Sales and Standby Letters of Credit by Commercial Banks, Journal of Monetary Economics, 22, 395-422.
Jensen, M. C. (1986). Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers,” The American Economic Review, 76, 2, p323-329.
Jensen, M., and Meckling, W. (1976). The theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure, Journal of Financial Economics, 3, p305-360.
Johnson, S. A. (2001). To Securitize or Not? (In: Fabozzi, F. J. Accessing Capital Markets through Securitization. Pennsylvania: Frank J. Fabozzi Associates). 163-72.
Kendall, L. T. (1996). Securitization: a New Era in American Finance (In: Kendall, L. T. and Fishman, M. J. (eds). A Primer on Securitization. Massachusetts: MIT Press). 1-16.
Lang, L., Poulsen, A., and Stulz, R. M. (1995). Asset Sales, Firm Performance, and Agency Costs of Managerial Discretion, Journal of Financial Economics, 3-38.
Lang, L. H. P., Stulz, R. M., and Walking, R. A. (1991). A Test of the Free Cash Flow Hypothesis: The Case of Bidder Returns, Journal of Financial Economics, 29, 315-335.
Lewis, C. (1990). A Multiperiod Theory of Corporate Financial Policy under Taxation, Journal of Financial Quantitative Analysis, 25, 5-34.
Lockwood, L. J., Rutherford, R. C. and Herrera, M. J. (1996). Wealth Effects of Asset Securitization, Journal of Banking and Finance, 20, 151-164.
Minton, B., Opler, T., and Stanton, S. (1997). Asset Securitization among Industrial Firms, working paper, 1-18.
Modigliani, F. and Miller M. H. (1958). The Cost of Capital, Corporation Finance and the Theory of Investment. American Economic Review, 48, 3, 261–297.
Myers, S. C. (1977). Determinants of Corporate borrowing, Journal of Financial Economics, 5, 147-176.
Myers, S. C., and Majluf, N. S. (1984). Corporate Financing and Investment Decisions When Firms Have Information that Investors Do Not Have,” Journal of Financial Economics, 13, p187-221.
Okabe R. M. (1998). The Impact of Asset Securitization: a Perspective for Investors, Journal of Applied Corporate Finance, 11, 1, 97-108.
Opler, T., and Titman, S. (1993). The Determinants of Leveraged Buyout Activity: Free Cash Flow vs. Financial Distress Costs, The Journal of Finance, 48, 5, 1985-1999.
Pagano M., Panetta F., and Zingales, L. (1998). Why Do Companies Go Public? An Empirical Analysis, The Journal of Finance, 53,1, 27-64.
Pennacchi, G. G. (1988). Loan Sales and the Cost of Bank Capital, The Journal of Finance, 43,2, 375-396.
Ranieri, L. S. (1996). The Origins of Securitization, Sources of Its Growth, and Its Future Potential, (In: Kendall, L. T. and Fishman, M. J. (eds). A Primer on Securitization. Massachusetts: MIT Press), 31-43.
Roever, W. (1998). The Joy of Securitization: Understanding Securitization and its Appeal. (In: Fabozzi, F. J. Issuer Perspectives on Securitization. Pennsylvania: Frank J. Fabozzi Associates). 1-16.
Schwarcz, S. L. 2002. Structured Finance: A Guide to the Principles of Asset Securitization. 3d ed. New York: Practising Law Institute.
Shleifer, A., and Vishny, R. W. (1992). Liquidation Values and Debt Capacity: A Market Equilibrium Approach, Journal of Finance, 47, 4, 1343-1366.
Singer, D. (2001). Market Innovation in Securitization and Structured Finance, (In: Fabozzi, F. J. Accessing Capital Markets through Securitization. Pennsylvania: Frank J. Fabozzi Associates). 1-11.
Sopranzetti, B. J. (1999). Selling Accounts Receivable and the Underinvestment Problem, The Quarterly Review of Economics and Finance, 39, 291-301.
Smith, C., and Watts, R. (1992). The Investment Opportunity Set and Corporate Financing, Dividend, and Compensation policies, Journal of Financial Economics, 32, 263-292.
Stanton, S. (1998). The Underinvestment Problem and Patterns in Bank Lending, Journal of Financial Intermediation, 7, 293-326.
Stulz, R. M. and H. Johnson, (1985). An Analysis of Secured Debt, Journal of Financial Economics, 14, 501-521.
Thomas H. (1999). A Preliminary Look at Gains from Asset Securitization, Journal of International Financial Markets, Institutions and Money, 9, 321-333.
Thomas H. (2001). Effects of Asset Securitization on Seller Claimants, Journal of Financial Intermediation, 10, 306–330.
Titman, S. and Wessels, R. (1988). The Determinants of Capital Structures Choice, Journal of Finance, 43, 1-19.
White, H. (1980). A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity, Econometrica, 48, 817-838.

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

Alles, L., 2001. Asset securitization in Australia: how and why it works. Journal of the Securities Institute of Australia Issue, 1-15.
Andrea, S., Paul, S., 2000. Securitization as a liquidity option for small banks in South Africa. The ABAS International Conference, 1-22.
Barclay, M. J., Smith, C. W., Jr., 1995. The maturity structure of corporate debt. Journal of Finance 50, 609-631.
Berger, A., Udell, G., 1993. Securitization, risk and the liquidity problem in banking, in: Klausner, M. and White, L. (Eds), Structural Change in Banking, Irwin Publishing, Homewood, 227-291.
Berkovitch, E., Kim, H. E., 1990. Financial contracting and leverage over- and under-investment incentives. The Journal of Finance 45, 765-794.
Benston, G. J., 1992. The future of asset securitization: the benefits and costs of breaking up the bank. Journal of Applied Corporate Finance 5, 71-82.
Benveniste, L. M., Berger, A. N., 1987. Securitization with recourse: an instrument that offers uninsured bank depositors sequential claims. Journal of Banking and Finance 11, 403-424.
Bhagat, S., Marr, M., Thomposon, R., 1985. The rule 415 experiment: equity market. Journal of Finance 40, 1385-1401.
Blackwell, D., Marr, M., Spivey, M., 1990. Shelf registration and the reduced due diligence argument; implications of the underwriter certification and the implicit insurance hypotheses. Journal of Financial and Quantitative Analysis 25, 245-259.
Blum, L., DiAngelo, C., 1998. Structuring efficient asset backed transactions, in: Fabozzi, F. J., (Eds.), Issuer Perspectives on Securitization, Pennsylvania: Frank J. Fabozzi Associates, 17-44.
Bryan, L. J., 1988. Structured securitized credit: a superior technology for lending. Journal of Applied Corporate Finance 1, 6-19.
Cleary, S., 1999. The relationship between firm investment and financial status. The Journal of Finance 54, 673-692.
Dierkens, N., 1991. Information asymmetry and equity issues. Journal of Financial and Quantitative Analysis 26, 181-199.
Donahoo, K. K., Shaffer, S., 1991. Capital requirements and the securitization decision. Quarterly Review of Economics and Business 31, 13-23.
Fama, E. F., French, K. R., 2001. Disappearing dividends: changing firm characteristics or lower propensity to pay. Journal of Financial Economics 60, 3-43.
Guedes, J., Opler, T., 1996. The determinants of the maturity of corporate debt issues. The Journal of Finance 51, 1809-1833.
Geczy, C., Minton, B. A., Schrand, C., 1997. Why firms use currency derivatives. The Journal of Finance 52, 1323-1354.
Greenbaum, S. I., Thakor, J. V., 1987. Banking funding modes: securitization versus deposits. Journal of Banking and Finance 11, 379-401.
Haley, W. J., 1990. Securitization techniques for non-mortgage assets, in: Kuhn, R, L. (Eds.), Mortgage and Asset Securitization, U.S. A: Richard D. Irwin, Inc., 216-241.
Hill, C. A., 1997. Securitization: a low cost sweetener for lemons. Journal of Applied Corporate Finance 10, 64-71.
Hovakimian, G., Titman, S., 2003. Corporate investment with financial constraints: sensitivity of investment to funds from voluntary asset sales. NBER Working Paper No. W9432, 1-30.
Iacobucci, E. M., Winter, R. A., 2005. Asset securitization and asymmetric information. The Journal of Legal Studies 34, 161-206.
Jain, B. A., Chander S., Violet, T., 2003. Determinants of dividend initiation by IPO issuing firms. Towson University working paper.
James, C., 1988. The use of loan sales and standby letters of credit by commercial banks. Journal of Monetary Economics 22, 395-422.
Jensen, M. C., 1986. Agency costs of free cash flow, corporate finance, and takeovers. The American Economic Review 76, 323-329.
Jensen, M., Meckling, W., 1976. The theory of the Firm: managerial behavior, agency costs and ownership structure. Journal of Financial Economics 3, 305-360.
Johnson, S. A., 2001. To securitize or not? in Fabozzi, F. J. (Eds), Accessing Capital Markets through Securitization, Pennsylvania: Frank J. Fabozzi Associates, 163-72.
Kendall, L. T., 1996. Securitization: a new era in American finance, in: Kendall, L. T. and Fishman, M. J. (Eds), A Primer on Securitization, Massachusetts: MIT Press, 1-16.
Lang, L., Poulsen, A., Stulz, R. M., 1995. Asset sales, firm performance, and agency costs of managerial discretion. Journal of Financial Economics, 3-38.
Lang, L. H. P., Stulz, R. M., Walking, R. A., 1991. A test of the free cash flow hypothesis: the case of bidder returns. Journal of Financial Economics 29, 315-335.
Lewis, C., 1990. A multiperiod theory of corporate financial policy under taxation. Journal of Financial Quantitative Analysis 25, 5-34.
Lockwood, L. J., Rutherford, R. C., Herrera, M. J., 1996. Wealth effects of asset securitization. Journal of Banking and Finance 20, 151-164.
Minton, B., Opler, T., Stanton, S., 1997. Asset securitization among industrial firms. Working paper, 1-18.
Myers, S. C., 1977. Determinants of corporate borrowing. Journal of Financial Economics 5, 147-176.
Myers, S. C., Majluf, N. S., 1984. Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial Economics 13, 187-221.
Okabe, R. M., 1998. The impact of asset securitization: a perspective for investors. Journal of Applied Corporate Finance 11, 1, 97-108.
Opler, T., Titman, S., 1993. The determinants of leveraged buyout activity: free cash flow vs. financial distress costs. The Journal of Finance, 48, 5, 1985-1999.
Pagano, M., Panetta F., Zingales, L., 1998. Why do companies go public? An empirical analysis. The Journal of Finance 53, 27-64.
Pennacchi, G. G., 1988. Loan sales and the cost of bank capital. The Journal of Finance 43, 375-396.
Ranieri, L. S., 1996. The origins of securitization, sources of its growth, and its future potential, in: Kendall, L. T. and Fishman, M. J. (Eds), A Primer on Securitization, Massachusetts: MIT Press, 31-43.
Roever, A. W., 1998. The joy of securitization: understanding securitization and its appeal, in: Fabozzi, F. J. (Eds.), Issuer Perspectives on Securitization, Pennsylvania: Frank J. Fabozzi Associates, 1-16.
Schwarcz, S. L., 2002. Structured Finance: A Guide to the Principles of Asset Securitization. New York: Practising Law Institute.
Shleifer, A., Vishny, R. W., 1992. Liquidation values and debt capacity: a market equilibrium approach. Journal of Finance 47, 1343-1366.
Singer, D., 2001. Market innovation in securitization and structured finance, in: Fabozzi, F. J. (Eds.), Accessing Capital Markets through Securitization, Pennsylvania: Frank J. Fabozzi Associates, 1-11.
Sopranzetti, B. J., 1999. Selling accounts receivable and the underinvestment problem. The Quarterly Review of Economics and Finance 39, 291-301.
Smith, C., Watts, R., 1992. The investment opportunity set and corporate financing, dividend, and compensation policies. Journal of Financial Economics 32, 263-292.
Stanton, S., 1998. The underinvestment problem and patterns in bank lending. Journal of Financial Intermediation 7, 293-326.
Stulz, R. M., Johnson, H., 1985. An analysis of secured debt. Journal of Financial Economics 14, 501-521.
Thomas, H., 1999. A preliminary look at gains from asset securitization. Journal of International Financial Markets, Institutions and Money 9, 321-333.
Thomas, H., 2001. Effects of asset securitization on seller claimants. Journal of Financial Intermediation 10, 306–330.
Titman, S., Wessels, R., 1988. The determinants of capital structures choice. Journal of Finance 43, 1-19.
White, H., 1980. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48, 817-838.

Essay 4:Long-Run Performance following Asset-Backed Securitization
Barber, B. M., Lyon, J. D., 1996. Detecting abnormal operating performance: the empirical power and specification of test statistics. Journal of Financial Economics 41, 359-399.
Barber, B. M., Lyon, J. D., 1997. Detecting long-run abnormal stock returns: the empirical power and specification of test statistics. Journal of Financial Economics 43, 341-372.
Benston, G. J., 1992. The future of asset securitization: the benefits and costs of breaking up the bank. Journal of Applied Corporate Finance 5, 71-82.
Benveniste, L. M., Berger, A. N., 1987. Securitization with recourse: an instrument that offers uninsured bank depositors sequential claims. Journal of Banking and Finance 11, 403-424.
Bryan, L. J., 1988. Structured securitized credit: a superior technology for lending. Journal of Applied Corporate Finance 1, 6-19.
Donahoo, K. K., Shaffer, S., 1991. Capital requirements and the securitization decision, Quarterly Review of Economics and Business 31, 13-23.
Fama, E. F., 1998. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49, 283-306.
Fama, E. F., French, K. R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
Greenbaum, S. I., Thakor, J. V., 1987. Banking funding modes: securitization versus deposits. Journal of Banking and Finance 11, 379-401.
Hertzel, M., Lemmon, M., Linck, J. S., Rees, L., 2002. Long-run performance following private placements of equity. The Journal of Finance, LVII, 2595-2617.
Hill, C. A., 1997. Securitization: a low cost sweetener for lemons. Journal of Applied Corporate Finance 10, 64-71.
Iacobucci, E. M., Winter, R. A., 2005. Asset securitization and asymmetric information. The Journal of Legal Studies 34, 161-206.
Ikenberry, D., Josef L., Theo V., 1995. Market underreaction to open market share repurchases. Journal of Financial Economics 39, 181-208.
Lee, I., Loughran, T., 1998. Performance following convertible bond issuance. Journal of Corporate Finance 4, 185-207.
Lockwood, L. J., Rutherford, R. C., Herrera, M. J., 1996. Wealth effects of asset securitization. Journal of Banking and Finance 20, 151-164.
Loughran, T., Ritter, J. R., 1995. The new issues puzzle. Journal of Finance 50, 23-51.
Loughran, T., Ritter, J. R., 1997. The operating performance of firms conducting seasoned equity offerings. Journal of Finance 52, 1823-1850.
McLaguhlin, R., Safieddine, A., Vasudevan, G., 1998. The long-run performance of convertible debt issuers. Journal of Financial Research 21, 373-388.
Michaely, R., Thaler, R. H., Womack, K. L., 1995. Price reactions to dividend initiations and omissions: overreaction or drift? Journal of Finance 50, 573-608.
Minton, B., Opler, T., Stanton, S., 1997. Asset securitization among industrial firms. Working paper, 1-18.
Mitchell, M. L., Stafford, E., 2000. Managerial decisions and long-term stock price performance. Journal of Business 73, 287-329.
Ritter, J. R., 1991. The long-run performance of initial public offerings. Journal of Finance 46, 3-27.
Shen Y. P., Chiu L. C., 2005. The informational content of asset securitization: information signaling and free cash flow hypotheses. Working paper, 1-37.
Stanton, S., 1998. The underinvestment problem and patterns in bank lending. Journal of Financial Intermediation 7, 293-326.
Thomas, H., 1999. A preliminary look at gains from asset securitization. Journal of International Financial Markets, Institutions and Money 9, 321-333.
Thomas, H., 2001. Effects of asset securitization on seller claimants. Journal of Financial Intermediation 10, 306–330.
Zweig, P. L., 1989. The Asset Securitization Handbook. Dow Jones and Company, Inc., Homewood, IL.
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