Research On The Pricing Of Asset Securitization Bonds In China ——From The Perspective Of Intermediary Reputation Mechanism

During the financial crisis from 2007 to 2009,mortgage-backed securities(MBS)investors suffered huge losses.Stakeholders in the securitization chain-sponsors,rating agencies,issuers and investors are accused of failing to meet the standards set by the implementation.The originator relaxed the loan standard of MBS mortgage loans,the rating agency underestimated the risks contained in these securities,the issuer failed to implement the repurchase terms,and investors were criticized for over reliance on credit rating.In recent years,due to the frequent occurrence of bond defaults and intermediary fraud,market participants have doubts about the risk research ability and professional ethics of independent evaluation of intermediaries.A large amount of evidence shows that the information contained in intermediaries is not embedded in corporate bond prices,and the impact of intermediary reputation on bond prices has become stronger.Asset securitization bond pricing has always been one of the research hotspots of finance,and has greatly stimulated the interest of financial theory and industry at home and abroad.More and more scholars have invested in the theoretical and empirical research of bond pricing in asset securitization market.Therefore,the research on intermediary reputation has important practical significance and academic value.China's asset securitization market is an emerging economic market,and there is also information asymmetry in the new bond issuance market.However,different from the mature bond market,the bonds in the asset securitization market are bonds based on basic assets,and the quality of "information authentication" of basic assets in the asset pool by intermediaries,It will be directly related to the degree of information asymmetry between investors and bond issuing enterprises.The consequences of information asymmetry: first,in the bond issuance stage,the information asymmetry between investors and bond issuing enterprises leads to the problem of adverse selection of investors;Second,after the issuance of bonds,the information asymmetry between investors and bond issuing enterprises induces the moral hazard of bond issuing enterprises.In fact,the issue pricing of asset securitization bonds is also a practical problem that has been perplexing market regulators.Frequent changes in the issuance system can explain this.Unfortunately,these systems and constraints did not restrict the pace of intermediary cheating.Therefore,it is necessary to further study the internal law of asset securitization bond issuance pricing in China.In view of this,this paper constructs an intermediary reputation mechanism model based on reputation theory to analyze the behavior between issuers,and then makes an empirical study on bond issuance pricing by borrowing the issuance data of China's asset securitization market,so as to answer the explanatory power of intermediary reputation on asset securitization bond issuance pricing and how it affects asset securitization bond pricing,And whether there are regulatory effects of other variables.Firstly,from the perspective of information asymmetry,this paper analyzes the impact of intermediary reputation on the issuance pricing of asset securitization bonds in China,and discusses the effectiveness of information collection,identification and transmission in bond issuance by using the manually collected and sorted intermediary reputation and micro level data of bond issuance,Whether it can slow down the information asymmetry between investors and bond issuing enterprises,and how it affects the pricing of bond issuance;Secondly,from the perspective of information disclosure,this paper studies the influence channel of the issuer's reputation on the issuance and pricing of asset securitization bonds,and discusses whether the issuer's reputation is affected by the transmission channel of subordination relationship by subdividing the types of issuers,That is,whether the subordinate equity between the initiator and the issuer changes the reputation of the issuer has an impact on the issuance pricing of asset securitization bonds in China;Finally,from the perspective of information transmission,this paper studies the impact mechanism and transmission channel of issuing intermediaries on the issuance and pricing of asset securitization bonds in China.Based on wind database and intermediary reputation data,this paper explores the actual effect of this content feature in China's asset securitization market from three dimensions: micro level,macro level and bond issuing subject level.Therefore,this paper takes the collection,disclosure and transmission of intermediaries as the clue,and studies the impact of intermediary characteristics at different levels from information subject,information disclosure behavior to information transmission content.The main research contents and conclusions of this paper are summarized as follows:(1)In order to reveal the relationship between the issuer's reputation and the issuance pricing of asset securitization bonds in China,from the perspective of the issuer's reputation,this paper investigates three aspects based on the issuer under the operating environment of China's financial market: first,investigate the impact of the issuer's reputation on the issuance pricing of asset securitization bonds in China and the underlying impact mechanism;Secondly,it further discusses the influence channel of the issuer's reputation on the issuance pricing of asset-backed bonds,and discusses whether the issuer's reputation is affected by the transmission channel of subordinate relationship by subdividing the types of issuers,that is,whether the subordinate equity between the initiator and the issuer changes the impact of the issuer's reputation on the issuance pricing of asset-backed bonds;Thirdly,it examines whether the issuer's reputation can weaken the impact of this subordination relationship on bond pricing,that is,whether the issuer's reputation has a regulatory effect on this subordination relationship.It is found that for ABS products of enterprise asset securitization special plan,the issuer's reputation has a significant impact on the issuance and pricing of asset securitization bonds.For the credit asset securitization clo products and asset-backed note ABN products,the issuer's reputation has no significant impact on the bond credit spread.Hierarchical institutions,the proportion of subordinated securities and the nature of equity of bond issuing enterprises are the transmission channels for the reputation of issuing institutions to affect the issuance pricing of asset securitization in China.The impact of the issuer's reputation on the issuance and pricing of asset-backed bonds is not affected by the subordination between the initiator and the issuer.The reputation of issuers can play the function of "information intermediary" and adjust the impact of subordinate relationship on the pricing of credit asset securitization bonds.The impact of subordination relationship on the issuance price difference of credit asset securitization bonds is affected by the number of bond layers and the proportion of secondary bonds.State owned equity and listed companies have not significantly affected the impact of subordination relationship on the issuance price difference of credit asset securitization products.Therefore,this paper points out that under the background of China's financial operation,the more effective measure to price assetbacked bonds is to improve the function of issuing institutions and reduce information asymmetry from the perspective of capital market infrastructure.(2)In order to reveal the relationship between underwriter reputation and the issuance pricing of asset securitization bonds in China,based on the perspective of underwriter reputation,this paper investigates the impact mechanism of underwriter reputation on the issuance pricing of asset securitization bonds in China under the operating environment of China's financial market.The study finds that underwriter reputation has a significant negative effect on the issuance pricing of asset securitization bonds in China,which shows that Underwriter reputation can alleviate the prior information asymmetry,and underwriter reputation is the guarantee of bond issuance quality.This effect shows a significant negative correlation in credit asset securitization market and enterprise asset securitization market,but it does not show a significant relationship in asset-backed bill market.The mechanism test shows that the underwriter's reputation mainly affects the issuance and pricing of asset securitization bonds in China through information effect and guarantee effect.In the enterprise asset securitization market,the guarantee effect of underwriter's reputation is the main channel affecting the issuance and pricing of asset securitization bonds.Hierarchical structure,the proportion of subprime securities,whether state-owned enterprises and whether listed companies are the transmission channels of the impact of underwriter reputation on the issuance and pricing of assetbacked bonds.Therefore,this paper points out that under the background of China's financial operation,the more effective measure to price asset-backed bonds is to improve the function of underwriters and reduce information asymmetry from the perspective of capital market infrastructure.(3)In order to reveal the relationship between credit rating and issuance pricing of asset securitization bonds in China,based on the perspective of information asymmetry,this paper investigates whether credit rating agencies play an information intermediary role in asset securitization bond issuance in the operating environment of China's financial market,alleviate the information asymmetry between bond issuing enterprises and investors,and affect bond issuance pricing.It is found that credit rating can significantly reduce the financing cost of sponsors,which proves that credit rating agencies play the function of "information intermediary" in the issuance of asset-backed bonds.There are some differences in this function between different bond issuance markets: the credit rating of ABS products of the special plan for enterprise asset securitization issued in the exchange market is relatively significant,and the clo products of credit asset securitization issued in the inter-bank market do not highlight the price effect of credit rating.The possible reasons for this phenomenon are that the information of ABS products in the exchange market is more transparent,and clo products in the inter-bank market are implicitly guaranteed by financial institutions.Second,the higher the number of issuance layers,the higher the quality of credit rating,and the stronger the ability of credit rating to alleviate the degree of information asymmetry,resulting in the smaller the interest margin of asset securitization issuance.This shows that the hierarchical structure design can improve the quality of credit rating and further alleviate the adverse selection problem in bond issuance.(4)In order to reveal the relationship between the reputation of accounting firms and the issuance pricing of asset securitization bonds in China,this paper examines whether accounting firms can play a significant role in ensuring the reliability of information transmission and affecting the issuance pricing of asset securitization bonds in the operating environment of China's financial market from the perspective of the reputation of accounting firms The issue pricing of asset securitization bonds in China shows a significant negative correlation effect,which shows that the reputation of accounting firms can reduce the degree of information asymmetry in the issue pricing of bonds in China's asset securitization market.This effect shows a significant negative correlation in the enterprise asset securitization market,but it shows no significant relationship in the credit asset securitization bond market and asset-backed note bond market.The mechanism test shows that the significance of the impact of the reputation of accounting firms on the issuance and pricing of asset securitization bonds in China will be different due to the differences in the issuance product market,the nature of property rights,the design of bond structure and the proportion of subordinated securities.Therefore,this study provides a basis for better supervision of the issuance and pricing of asset securitization bonds in China,and provides a reference for the continuous improvement of the reputation mechanism of accounting firms and the vigorous development of asset securitization market.The innovations of this paper are as follows:(1)This paper is a useful attempt to study the impact of intermediary reputation on the issuance and pricing of asset-backed bonds in China.Scholars in the existing studies have paid insufficient attention to the issue pricing of asset securitization.Before,scholars paid more attention to the pricing of a certain type of asset securitization products,or just focused on whether asset securitization can alleviate the bank's credit risk.However,intermediaries are the "hub" and "certification center" of information exchange of asset securitization bond issuance,The impact of intermediary reputation on bond issuance pricing needs to be deeply analyzed.Based on the methods of measuring the reputation of issuers,underwriters and credit rating agencies at home and abroad,this paper constructs the issuing intermediary reputation model,manually collects and arranges the issuing agency reputation data and underwriter rating research data,enriches the research on the reputation characteristics of intermediaries and the issuance pricing of asset-backed bonds,and realizes the research data Innovation of measurement method and reputation model.This paper enriches the research in the field of intermediary reputation and asset securitization issuance pricing,especially deepens the re understanding of the impact of issuers,credit evaluation,underwriters and accounting firms on asset securitization bond issuance pricing,which has important practical significance for China's asset securitization market supervision.(2)Based on the theoretical model of reputation mechanism,this paper constructs a four subject intermediary model of "initiator investor intermediary regulatory department" in China's asset securitization bond market to analyze the reputation formation mechanism of intermediaries.From this model,we can better understand the influence path and mechanism of intermediaries on the issuance and pricing of asset securitization bonds in China.The model constructed in this paper is helpful to a clearer understanding of the internal mechanism of signal transmission game of intermediaries in China's asset securitization market,and has practical significance to improve the requirements of information disclosure and the level of supervision.Previous scholars have reached different conclusions on whether credit rating agencies are effective in the bond market,and have not yet formed a unified conclusion.By discussing the performance of credit rating agencies in asset securitization market,this paper provides further evidence for clarifying the performance of credit rating agencies in bond market.(3)From the perspective of information disclosure,this paper expands the research on the impact between the reputation of issuing institutions and the affiliated relationship,enriches the research on the relationship between bond issuance information disclosure and asset securitization bond issuance pricing,and provides new ideas for domestic scholars to study the economic consequences of information disclosure in the process of asset securitization and the influencing factors of asset securitization issuance pricing.The information of issuing intermediaries has "spillover effect",which is an important basis for investors,analysts and auditors to make decisions.Although previous studies have shown that the information disclosure behavior in the issuance process is conducive to reduce the information asymmetry in the capital market and significantly reduce the bond issuance price,it ignores the impact of the subordinate relationship between the issuance intermediaries on the bond issuance pricing.The related statement information of intermediaries in the bond issuance instructions is an important part of the content and quality of bond information disclosure.Combined with China's asset securitization information disclosure system,this paper studies the relationship between the subordinate relationship between issuers and bond issuance pricing,and deeply discusses the influence mechanism of this relationship,It can not only objectively evaluate the role of the statement of relationship between intermediaries,provide some reference for the decision-making of regulatory authorities and investors,but also provide policy enlightenment for relevant departments to improve the issuance information disclosure of asset securitization products.(4)This paper enriches the research content of the impact of intermediaries on asset securitization bonds.It is found that the reputation of intermediaries has a signal transmission effect on the issuance and pricing of asset securitization bonds in China,which can alleviate the information asymmetry between bond issuing enterprises and investors,and provides new empirical evidence for the impact of intermediaries in emerging market countries on the pricing of asset securitization bonds.Scholars at home and abroad have inconsistent conclusions on the impact of intermediary reputation on bonds.The research conclusions of foreign scholars are difficult to directly interpret the issuance system of China's asset securitization market.This study will help to better clarify the internal mechanism of asset securitization bond issuance in China,and has practical significance for the issuance market supervision of asset securitization products,the continuous improvement of intermediaries and the vigorous development of asset securitization market.