Research On The Short-Term Wealth Effect Of Asset Securitization On State-Owned Commercial Banks

The Fifth Plenary Session of the 19th Central Committee of the Communist Party of China put forward the "Suggestions of the Central Committee of the Communist Party of China on Formulating the Fourteenth Five-Year Plan for National Economic and Social Development and the Long-term Goals for 2035".The importance of the "14th Five-Year Plan" period.In recent years,my country has entered a new era of rapid development of asset securitization,and state-owned commercial banks have also carried out asset securitization business(asset securitization business usually refers to the issuance of ABS products)to reform and innovate,so whether the issuance of ABS products can affect state-owned commercial banks.make an impact?What is the impact? In response to these problems,this paper focuses on the changes in wealth effect after the issuance of ABS products by state-owned commercial banks,and explores whether the issuance of ABS products by state-owned commercial banks can bring about a positive short-term wealth effect? The short-term wealth effect brought by the ABS product within a few days after the issuance is the largest? What factors will affect the size of the short-term wealth effect brought by ABS products? Are their effects positive or negative?This paper firstly sorts out the relevant principles of asset securitization,summarizes the scale and types of ABS products issued by state-owned commercial banks,and finally chooses the Fama-French three-factor model as the empirical model of this paper.In the empirical research,this paper selects the asset securitization products of state-owned commercial banks from January 1,2019 to December 31,2021 as a sample,uses the event research method,and selects 120 to 20 days before the listing date of ABS products as the estimation period.The event window is 10 days before and after the occurrence date,and an empirical analysis of the issuance of ABS products by state-owned commercial banks is carried out from the perspective of cumulative excess returns and average cumulative excess returns.The wealth effect is the largest and most pronounced.Next,on the basis of the previous article,the paper uses multiple linear regression to further explore the influencing factors of short-term wealth effect,and takes the basic elements of ABS products as explanatory variables.The growth rate of business income has a negative impact on the cumulative excess earnings.The credit rating,issuance rate,repayment frequency of ABS products,and the net assets per share of state-owned commercial banks have a positive impact on the cumulative excess earnings.The impact will vary depending on the size of the window.In response to the above research results,the article first puts forward suggestions to the market supervision department.The status of SPV should be clarified through legal forms,and the emerging financial technology means-blockchain technology should be used to strengthen the information disclosure mechanism;Improve its own credit governance mechanism on the basis of providing credit protection;finally,the article suggests that individual investors can buy stocks on the day state-owned commercial banks issue ABS products,and sell stocks on the 5th day after issuance to increase capital gains;Due to the multi-participatory nature of the ABS operation process,it is recommended that all intermediaries use their professional capabilities,scientifically grade ABS products,and play the role of "one wall" to isolate risks from the market.