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

Asset-Backed Securitization(ABS) originated in the United States since last century. Since 2004, the development of ABS in China has experienced three distinct stages: the piloted stage, the suspended stage and the recovered and re-development stage. At the end of 2011, ABS entered into a relative high-speed period of development. At present, total market volume is close to eight hundred billion. ABS has been favored because of its unique advantages. First of all, ABS can help financiers convert stock assets of low fluidity into highly liquid cash, which improves the liquidity of assets and the efficiency of capital turnover. In other words, ABS can revitalize stock assets. ABS use the underlying assets as collateral, and reduce the cost of capital. Furthermore, as a form of off-balance-sheet financing, ABS can improve the firm’s financial structure and optimize Enterprise balance Sheet effectively. Transaction data accumulated in the market also provides a rich source of data for further empir ical studies.This paper introduces academic research on ABS and analyzes the research background, research significance, research contents and development situation of ABS. Previous researches show that ABS has short-term wealth effect. However, the nature of securitization is still a lending relationship. And there are various uncertain factors during the actual operation. So the short-term wealth effects of ABS must be demonstrated through empirical analysis.Referencing the existed methods researching on short-term wealth effects, this paper used event study methodology combined with Fama-French three-factor model to study the short-term wealth effect of ABS in China listed companies by regarding excess returns as index. In addition to research on the short-term wealth effect of ABS, this paper further studies different supervisors, different underlying assets and different issuers. The results prove that securitization has brought positive short-term wealth effect to the listed companies. The short-term wealth effects of enterprise-ABS were significantly greater than those of credit-ABS. The short-term wealth effects of ABS with different basic asset types were obvious different. The short-term wealth effects of ABS issued by the small-sized listed companies are more remarkable than those of the larger ones. The short-term wealth effects of ABS issued by four state-owned banks have no obvious difference from those of Medium and small banks and both of them are not significant.