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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 劉啟群 | |
| dc.contributor.author | Yu-Fang Chu | en |
| dc.contributor.author | 朱玉芳 | zh_TW |
| dc.date.accessioned | 2021-05-20T19:58:55Z | - |
| dc.date.available | 2010-08-20 | |
| dc.date.available | 2021-05-20T19:58:55Z | - |
| dc.date.copyright | 2010-08-20 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-07-04 | |
| dc.identifier.citation | References:
Adhikari, A., and L. Betancourt. 2008. Accounting for Securitizations: A Comparison of SFAS 140 and IASB 39. Journal of International Financial Management and Accounting 19: 73-105. Bens, D., and S. Monahan. 2005. Altering investment decisions to manage financial reporting outcomes: Asset backed commercial paper conduits and FIN 46. Working paper, University of Chicago. Calomiris, C., and J. Mason. 2004. Credit card securitization and regulatory arbitrage. Journal of Financial Services Research 26: 5–27. Chen, W., C. Liu, and Stephen G. Ryan. 2008. Characteristics of Securitizations that Determine Issuers’ Retention of the Risks of the Securitized Assets. The Accounting Review Vol. 83: 1181–1215. Chiu, L. 2006. The Incentives of Asset-Backed Securitization, Shareholder Wealth Effects and Long-Run Performance. Ph.D. Thesis. Submitted to Graduate School of Management Yuan Ze University. Dechow, P., L. Myers, and C. Shakespeare. 2005. Playing with assumptions to report a rosy future today: The role of corporate governance in the reporting of asset securitization. Working paper, University of Michigan. Dionne, G., and T. Harchaoui. 2003. Banks’ capital, securitization and credit risk: An empirical evidence for Canada. Working paper, HEC Montreal and Statistics Canada. Financial Accounting Standards Board (FASB). 1998. Accounting for Derivative Instruments and Hedging Activities. Statement of Financial Accounting Standards No. 133. Norwalk, CT: FASB. _____. 2000. Accounting for Transfers and Servicing of Financial Assets and Extinguishments of Liabilities. Statement of Financial Accounting Standards No. 140. Norwalk, CT: FASB. _____. 2006. Accounting for Servicing of Financial Assets. Statement of Financial Accounting Standards No. 156. Norwalk, CT: FASB. Goh, B., J. Ng, and K. Yong. 2009. Market pricing of banks’ fair value assets reported under SFAS 157 during the 2008 economics crisis. Working paper, Singapore Management University and Massachusetts Institute of Technology. Higgins, E. J., and J. Mason. 2004. What is the value of recourse to asset backed securities? A clinical study of credit card banks. Journal of Banking & Finance 28: 875–899. Karaoglu, N. 2005. Regulatory capital and earnings management in banks: The case of loan sales and securitizations. Working paper, University of Southern California. Kolev, K. 2009. Do investors perceive marking-to-model as marking-to-myth? Early evidence from FAS 157 disclosure. Working paper, New York University. Lambert, R., C. Leuz, and R. Verrecchia. 2007. Accounting information, disclosure, and the cost of capital. Journal of Accounting Research 45, 385-420. Landsman, W., K. Peasnell, and C. Shakespeare. 2006. Are asset securitizations sales or loans? Working paper, The University of North Carolina at Chapel Hill. Lev B. and Nan Zhou. 2009. Unintended Consequence: Fair Value Accounting Informs on Liquidity Risk. Working paper, New York University Minton, B., A. Sanders, and P. Strahan. 2004. Securitization by banks and finance companies: Efficient financial contracting or regulatory arbitrage? Working paper, The Ohio State University. Ng, J.. 2009. The Effect of Information Quality on Liquidity Risk. Working paper, University of The Wharton School University of Pennsylvania. Niu, F., and G. Richardson. 2006. Are securitizations in substance sales or secured borrowings: Capital market evidence. Contemporary Accounting Research 23: 1105–1133. Pastor, L. and R. Stambaugh. 2003. Liquidity risk and expected stock returns. Journal of Political Economy 111, 642-685. Pavel, C., and D. Phillis. 1987. Why commercial banks sell loans: An empirical analysis. Federal Reserve Bank of Chicago Economic Perspectives 14: 3–14. Riedl,E., and G. Serafeim. 2009. Information Risk and Fair Value: An Examination of Equity Betas and Bid-Ask Spreads. Working paper, Harvard Business School. Schipper, K., and T. Yohn. 2007. Standard-setting issues and academic research related to the accounting for financial asset transfers. Accounting Horizons 21: 59–80. Song, C., W. Thomas, and H. Yi. 2008. Value relevance of SFAS 157 fair value hierarchy information and the impact of corporate governance mechanisms. Working paper, University of Oklahoma. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/8611 | - |
| dc.description.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. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-20T19:58:55Z (GMT). No. of bitstreams: 1 ntu-99-R97722012-1.pdf: 542582 bytes, checksum: 5785c5a1873ce2e48121e12d30441301 (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | Contents
I. Introduction……………………………………………………………….1 II. Background……………………………………………………………….8 Typical Securitization Structure and Certain General Characteristic……....8 Accounting for Securitizations under SFAS No. 140……...........................9 III. Related Literature and Hypothesis Development……………………..12 Related Literature…………………………………………………………12 Hypothesis Development……………………………………….................15 IV. Research Design and Data………...……………………………………. 17 Research Design…………………………………………………………...17 Data ……………………………………………………………………….22 V. Empirical Results……………………………………………....................24 Descriptive statistics……………………………………………………….24 Correlation…………………………………………………………………25 Regression Analyses……………………………………………………….25 Sensitivity Analyses………………………………………………………..27 VI. Conclusions………………………………………………………………..29 References………………………………………………………………………31 Table Table1 : Event Description 35 Table2 : Variable Definition 54 Table3 : Descriptive Statistics (MCR) 56 Table4 : Descriptive Statistics (All variables) 61 Table5 : Correlation Table 64 Table6 : Regression Results 67 Appendix I: Regression Results with SIZE .. 68 Appendix II: Descriptive Statistics 69 Appendix II - I: MCMAR...………………………………………………...........69 Appendix II - II: MCAR…………………………………………………............74 Appendix III:Description Statistics(All variables) 79 Appendix III - I: CMAR..…………………………………………………..........79 Appendix III - II: CAR.…...………………………………………………...........82 Appendix IV : Correlation Table 83 Appendix IV - I: CMAR 85 Appendix IV - II: CAR 88 Appendix VI : Regression Results 91 Appendix VI - I: CMAR. 91 Panel A: Control Variable without SIZE 91 Panel B: Control Variable with SIZE 92 Appendix VI - II: CAR 93 Panel A: Control Variable without SIZE 93 Panel B: Control Variable with SIZE 94 | |
| dc.language.iso | en | |
| dc.title | 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 | zh_TW |
| dc.title | The Relation between Liquidity Risk and the Stock Returns during the Financial Crisis: An Examination Using the Three types of Securitized Loans | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳維慈,陳妮雲 | |
| dc.subject.keyword | 證券化,保留權益,資訊品質,流動性風險,金融海嘯, | zh_TW |
| dc.subject.keyword | securitizations,retained interests,information quality,liquidity risk,financial crisis, | en |
| dc.relation.page | 94 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2010-07-05 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 會計學研究所 | zh_TW |
| 顯示於系所單位： | 會計學系 | |
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|---|---|---|---|
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