幸丽霞,王雅炯

• 1:中国矿业大学(北京)管理学院
• 2:上海杉达学院胜祥商学院

摘要(Abstract)：

本文通过建立信息价值模型分析了资产支持证券的信息敏感性及风险机制，并根据中国银行间信贷资产证券化市场数据进行了实证检验。结果表明，通过结构化分级技术将贷款组合现金流切分重组后形成的资产支持证券，其信息敏感性要小于普通债券，这种信息敏感性对资产支持证券的流动性有显著影响，信息成本对此有助推作用。证券化市场的风险来自资产支持证券信息敏感性的变化，尤其是优先级偏低的高风险债券，债券的信息敏感性提高后，若投资人无法以合理的成本通过获取私有信息识别真实风险，将导致市场出现流动性枯竭，进而引发系统性金融风险。为防范金融市场风险，建议完善资产支持证券的信息披露体系，鼓励发展债券的再评级市场，丰富资产支持证券市场投资人类型，尤其是高风险债券投资人，避免政策变化、风险事件等冲击给市场带来流动性风险。

关键词(KeyWords)： 信贷资产证券化;信息敏感性;金融风险;信息价值

Abstract:

Keywords:

基金项目(Foundation): 中央高校基本科研业务费专项资金(2021SKGL02)的资助

作者(Author): 幸丽霞,王雅炯

DOI: 10.16513/j.cnki.cje.20220927.001

参考文献(References)：

• 郭桂霞，巫和懋，魏旭，等.2014.银行资产证券化的风险自留监管：作用机制和福利效果[J].经济学(季刊),13(3):887-916.Guo G X,Wu H M,Wei X,et al.2014.Risk retention regulation of bank asset securitization:Mechanism and welfare effect[J].China Economic Quarterly,13(3):887-916.(in Chinese)
• 洪祥骏，宫蕾.2019.投资者会居安思危吗?——基于资产证券化信用评级的研究[J].投资研究，38(12):114-132.Hong J X,Gong L.2019.Will investors in safety be alert to danger?[J].Review of Investment Studies,38(12):114-132.(in Chinese)
• 洪祥骏，宫蕾.2021.房地产限购的信息价值与信贷风险——资产证券化市场的证据[J].中国工业经济，(7):63-80.Hong X J,Gong L.2021.Information value of housing purchase restriction and credit risk-evidence from asset-backed securities market[J].China Industrial Economics,(7):63-80.(in Chinese)
• 彭惠，吴雪玲.2006.资产证券化的分层动力——基于估值差异观点的改进[J].金融研究，(11):53-60.Peng H,Wu X L.2006.The tranching dynamics of securitization:A framework based on valuation differences[J].Journal of Financial Research,(11):53-60.(in Chinese)
• 幸丽霞，王雅炯，郭铭.2021.最低风险自留监管有利于银行资产证券化发展吗——基于发起银行最优化风险调整资本回报的视角[J].金融监管研究，(12):64-77.Xing L X,Wang Y J,Guo M.2021.Is the minimum risk retention regulation conducive to the development of bank asset securitization[J].Financial Regulation Research,(12):64-77.(in Chinese)
• 徐瑞慧，黎宁.2018.银行乐观情绪、信息准确度及资产证券化[R].中国人民银行工作论文2018年第1号.Xu R H,Li N.2018.Bank optimism,information accuracy and securitization[R].PBC Working Paper 2018-1.
• 余超.2015.信息不确定性与资产证券化的机制设计[J].金融理论与实践，(8):31-37.Yu C.2015.Information uncertainty and the design of securitization's mechanism[J].Financial Theory and Practice,(8):31-37.(in Chinese)
• 朱波，刘文震.2019.信用评级对我国资产证券化产品发行定价的影响机理[J].财经科学，(9):14-25.Zhu B,Liu W Z.2019.On influencing mechanism of credit rating to the pricing of asset securitization products in China[J].Finance & Economics,(9):14-25.(in Chinese)
• Agarwal S,Hauswald R.2010.Distance and private information in lending[J].The Review of Financial Studies,23(7):2757-2788.
• Amihud Y.2002.Illiquidity and stock returns:Cross-section and time-series effects[J].Journal of Financial Markets,5(1):31-56.
• Arnold G E,Rhodes M E.2021.Information sensitivity of corporate bonds:Evidence from the COVID-19 crisis[J].Finance Research Letters,42:101911.
• Charoenwong B,Morck R,Wiwattanakantang Y.2019.Asset prices and corporate responses to bank of Japan ETF purchases,Working Paper 25525[R].Cambridge:National Bureau of Economic Research.
• Covitz D,Liang N,Suarez G A.2013.The evolution of a financial crisis:Collapse of the asset-backed commercial paper market[J].The Journal of Finance,68(3):815-848.
• Dang T V,Gorton G,Holmstr?m B.2015.The information sensitivity of a security[R].Working Paper.
• Dang T V,Gorton G,Holmstr?m B,et al.2017.Banks as secret keepers[J].American Economic Review,107(4):1005-1029.
• Dang T V,Li W,Wang Y Q.(2021-07-26).[2022].The Empirical information sensitivity of treasury bonds and stocks[J/OL].Social Science Electronic Publishing.https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3892142.
• Demarzo P M.2005.The pooling and tranching of securities:A model of informed intermediation[J].The Review of Financial Studies,18(1):1-35.
• Diamond D W,Rajan R G.2009.Illiquidity and interest rate policy,Working Paper 15197[R].Cambridge:National Bureau of Economic Research.
• Downing C,Jaffee D,Wallace J N.2009.Is the market for mortgage-backed securities a market for lemons?[J].The Review of Financial Studies,22(7):2457-2494.
• Duffie D.2008.Innovations in credit risk transfer:Implications for financial stability,Working Papers 255[R].Bank for International Settlements.
• Fender I,Mitchell J.(2009-10-16).Incentives and tranche retention in securitisation:A screening model[J/OL].Social Science Electronic Publishing.https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1681488.
• Flanagan T,Purnanandam A.(2020-08-10).Corporate bond purchases after COVID-19:Who did the fed buy and how did the markets respond?[J/OL].Social Science Electronic Publishing.https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3668342.
• Gallagher E A,Schmidt L D W,Timmermann A,et al.2020.Investor information acquisition and money market fund risk rebalancing during the 2011—2012 Eurozone crisis[J].The Review of Financial Studies,33(4):1445-1483.
• Gorton G,Pennacchi G.1990.Financial intermediaries and liquidity creation[J].The Journal of Finance,45(1):49-71.
• Hanson S G,Sunderam A.2013.Are there too many safe securities?securitization and the incentives for information production[J].Journal of Financial Economics,108(3):565-584.
• Hattori M,Ohashi K.2011.Detrimental effects of retention regulation:Incentives of loan screening in securitization under asymmetric information[R].IMES Discussion Paper Series 11-E-17,Institute for Monetary and Economic Studies.https://ideas.repec.org/p/ime/imedps/11-e-17.html.
• Holmstr?m B.2009.Comment on “The Panic of 2007” by Gary B.Gorton in maintaining financial stability in a changing financial system[R].Federal Reserve Bank of Kansas City.
• Julliard C,Liu Z J,Seyedan S E,et al.(2019-07-17) [2021].What drives repo haircuts?evidence from the UK market[J/OL].Social Science Electronic Publishing.https://personal.lse.ac.uk/yuan/papers/repos.pdf.
• Kyle A S.1985.Continuous auctions and insider trading[J].Econometrica,53(6):1315-1335.
• Pérignon C,Thesmar D,Vuillemey G.2018.Wholesale funding dry-ups[J].The Journal of Finance,73(2):575-617.
• Pagano M,Volpin P.2021.Securitization,transparency,and liquidity[J].The Review of Financial Studies,25(8):2417-2453.
• Park S.2013.The design of subprime mortgage-backed securities and information insensitivity[J].International Economic Journal,27(2):249-284.
• BIS.1999.Market liquidity:Research findings and selected policy implications,CGFS Papers 11[R],Bank for International Settlements.