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

Abstract

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.