An Empirical Study On The Short-term Wealth Effects Of Asset Securitization On Listed Companies

Not until 2014 did the Asset-Backed Securitization(ABS)market witness the explosive growth driven by the policies of relevant national regulatory authorities.As a variety of bonds,Asset-Backed Securitization have successfully issued thousands of orders in China.First,the issuers expands from the commercial banks and joint-stock banks in the past into many enterprises nowadays.Then,the issuance scale increases year by year with the simplification of various policies,regulations and approval systems,which also lead the investor structure become more reasonable so that the proportion of banks and financial institutions is basically the same.At the same time,the coverage of basic assets of Asset-Backed Securitization has also been enlarged,and innovative products have been further enriched.From the early credit assets as a single type of securities,gradually expanded to the accounts receivable debt,corporate debt and other forms.The thriving development of domestic Asset-Backed Securitization market,have laid the foundation for us to do further empirical research.This paper analyze the short-term wealth effect of Asset-Backed Securitization on the issuers from the perspective of basic assets.First,summarizing the research on relevant literatures and expounding the research backgrounds,research purposes and research contents of this paper.Then,though the definition and the development of Asset-Backed Securitization,and comparing the nature of various Asset-Backed Securitization based on the underlying assets perspective to discuss.Theoretically speaking,Asset-Backed Securitization can bring short-term wealth effect though analysis.On this basis,this paper use the qualitative research and quantitative research,combining theoretical research and empirical research to study the impact of the short-term wealth effect of Asset-Backed Securitization on the issuers.At last,summarizing the conclusion of this paper and research prospects.The results shows that securitization has brought positive short-term wealth effect to the listed companies.The short-term wealth effect of is most significant within two days before and after the issuance date.By further studying the factors that influence the short-term wealth effect,it is found that there is a significant positive correlation between the spread and the subordinated proportion of products and the accumulated excess return.However,there is a negative correlation between the issuance scale and issuance duration and the accumulated excess returns.