资产支持证券跨产品的定价实证研究

An Empirical Study on the Pricing of Asset-backed Securities Across Products

作为一种创新的金融工具,资产证券化产品在中国金融市场正扮演着越来越重要的角色。本文通过对2005年8月~2016年12月发行的信贷资产支持证券(CLO)与企业资产支持证券(ABS)的数据进行分析,利用Wilcoxon秩和检验、OLS+异方差稳健标准误、FGLS等方法,揭示出CLO与ABS在价格、评级、结构设计,以及发行背景上的异同,发现12个影响因子对CLO与ABS价格的作用不仅随因子而异,而且在两种产品之间存在着显著的不同。基于描述性统计与回归的结果,本文给出了CLO与ABS各自独立定价和相互参考定价的框架,建议监管层应该关注ABS的流动性与信用评级的问题,以及承销商应该更积极地配对投资需求,降低融资成本。

As an innovative financing technique, securitization is playing a more and more important role in Chinese financial market. This research is based on the data of all of the Collateralized Loan Obligation （CLO） and Asset-Backed Security （ABS） issued in Chinese market from August 2005 to December 2016. By using Wilcoxon Two-Sample Test, Ordinary Least Square （OLS） with heteroscedasticity-robust standard error and Feasible Generalized Least Square （FGLS）, it reveals the difference of CLO and ABS on tranche spread, credit rating, transaction structure and macroeconomic background of issuing, and the fact that the impact of 12 factors on price not only varying from factor to factor, but also differing significantly between CLO and ABS. Based on the results of regression, this research summarizes frames for independent pricing and cross-reference pricing for ABS and CLO. Based on the results of univariate analysis as well as regression analysis, this research also suggests that CSRC should pay attention to the liquidity problem and moral hazard behind credit rating in ABS market AND underwriters of both ABS and CLO should make better use of trenching to reduce financing cost.