题名

以離散隨機效果Logit模型探討資產證券化的決定因素

并列篇名

A Discrete Random Effects Logit Model of the Determinants of Asset-Backed Securitization

DOI

10.6545/JFS.2008.16(2).3

作者

沈仰斌(Yang-Pin Shen)；邱麗卿(Li-Ching Chiu)；盧秋玲(Chiu-Ling Lu)

关键词

資產證券化 ； 訊號發射 ； 代理理論 ； 自由現金流量 ； 離散隨機效果Logit模型 ； Asset-backed securitization ； information signaling ； agency theory ； free cash flow ； discrete random effects logit model

期刊名称

財務金融學刊

卷期/出版年月

16卷2期（2008 / 06 / 30）

页次

69 - 100

内容语文

英文
中文摘要

本研究為由比較從事證券化的公司以及非證券化的公司，來探討公司進行資產證券化籌資的決定因素。藉由Panel data approach和discrete random effects logit model（Chamberlain, 1980: Wooldridge，2002）來控制個別公司異質性問題，我們發現公司特性和無法觀察的個別異質性，是公司使用資產證券化籌資的重要決定因素。研究結果如下所示：一、與訊號投射或公司品質認證的觀點一致，高獲利能力的公司傾向使用資產投券化籌資，為此向市場持佈訊息。二、證券化的公司太多持有較不利的投資機會和較多現金流量，顯示資產設券化可以降低管理者代理問題，符合自由現金流量假說。三、高舉債且高成長的公司使用資產證券化籌資來降低負債代理成本。四、低自有資本比率和大規模的公司，傾向使用資產證券化籌資，顯示資本限制與規模經濟也是公司資產證券化的決定因素。五、融資公司近年來較銀行業積極使用資產證券化籌資，顯示資產證券化成為一般產業的重要籌資工具之一。然而我們實證指出證券化剝奪債權人利益的假說益不成立，另外，過度投資的道德危機問題並非資產證券化的潛在誘因。
英文摘要

A discrete random effects logit model that allows unobserved heterogeneity in asset securitization behavior among individual firms to be controlled is investigated using firm-level panel data. The empirical result shows that both observed firm characteristics and unobserved firm-level heterogeneity are important determinants of the incidence of asset securitization behavior. Securitizing firms tend to be more profitable than firms that do not securitize assets, which is consistent with the information signaling theory. Consistent with the free cash flow theory, we find that securitizing firms can be characterized as having a combination of unfavorable investment opportunities and relatively large cash flows. Managers may use asset securitization to convey information to the market about how their firm will use future cash flows. The alleviating debt agency cost is identified as an important driver of asset securitization, in particular for firms with a high debt ratio but high growth. Our estimates also show that securitizing firms are larger and have less capital than their non-securitizing counterparts. However, the debtholder expropriation and overinvestment problems are not its main drivers. The results of this study have important managerial implications.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
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