A Study On The Short-term Wealth Effects Of Enterprises Asset Based Securitization Based On A-share Listed Companies In China

Asset Backed Securitization(ABS)originated in the American financial market.Chinese ABS business set sail from 2005,experienced the pilot period,the suspension period,re-recovery period and then developed rapidly in 2014 based on national policy's support.At the end of 2016,the domestic asset-backed securities stock was close to 1.20 trillion yuan.In 2016,the total assets of securitized products' issue amount was 842.05 billion yuan,of which 52.08%were Enterprise Asset Based Securitization products,replacing the Credit Assets Based Securitization products and becoming the largest variety based on circulation.The rapid development of Enterprise ABS is mainly because it has the following advantages:First,Enterprise ABS can convert lower liquidity assets into cash assets with high liquidity,raise asset turnover.Secondly,the underlying basic assets can produce a stable cash flow,repayment sources are more secure,financing costs are lower.At last but not the least,Enterprise ABS as an off-balance sheet financing channel,can improve the issuer's financial structure,optimize the balance sheet.The rapid development of Enterprise ABS in our country provides us with a new research direction,and the transaction data accumulated on the market also provide data support for empirical research.This paper first introduces the research background,significance of the article,the main research contents,the operation mechanism and development status of Enterprise ABS in China.This paper argues that Enterprise ABS can bring short-term wealth effect to issuers,but it is still a kind of loan relationship in essence.There are many uncertainties in the actual operation,so we need to study the wealth effect of Enterprise ABS through empirical research.Based on the research of securities wealth effect both at home and abroad,this paper uses the Event Study and the Fama-French three-factor model to analyze the short-term wealth effect of the asset securitization of Chinese A-share listed companies.This paper first carries on the empirical test to the short-term wealth effect of the Enterprise ABS generally,and then classifies the Enterprise ABS according to the four aspects,the basic asset type,the issuing scale,the issuer's volume and the issuer's industry,to analyze the short-term wealth effect respectively.The results show that:in general,Enterprise ABS brings positive short-term wealth effect to the listed companies.The basic assets of ABS are different,and the short-term wealth effect is different.The short-term wealth effect of Enterprise ABS is significantly positive of the listed companies with small market value but not significant of the listed companies with big market value.Enterprises ABS of large-scale issuance is more likely to bring positive short-term wealth effect to the listed companies than the issuance of small-scale.Enterprise ABS's short-term wealth effect of non-financial institutions is significantly positive,but it does not have much impact on the financial institutions.