| Asset Securitization, as the most important financial innovation since 1970s, is also the research focus of real estate finance. Commercial real estate was the real estate finance key developed projects, also by focusing on the financial field. Currently, there are two ways to deal with in the international commercial real estate finance: mortgage-backed securities and real estate investment trusts. Asset securitization has important significance in expanding financing channels for the real estate industry, dispersing and reducing liquidity risk of commercial bank.Asset securitization was introduced to China in 2005, and the first branch asset-backed securities listed on, asset securitization in our country has developed rapidly, and accumulated a number of transaction data. In this paper, I use the data of China’s commercial real estate asset-backed securities, with the capital asset pricing model and the event study method, to research the market performance and the wealth effect of asset-backed securities.By building Capital Asset Pricing Model obtain the Jensen index, proved the performance of asset-backed securities superior to market. Therefore, asset-backed securities is a way which provide for the market with excellent investment tool to hedge risk. The event study results show that most of the asset securitization had no significant impact on the company’s stock price, so shareholders do not have the wealth effect. Comprehensive analysis of the results of empirical research, the paper concludes with some policy and investment advice. |
PDF Full Text Request