The Relation between Liquidity Risk and the Stock Returns during the Financial Crisis: An Examination Using the Three types of Securitized Loans
| Autor: | Yu-Fang Chu, 朱玉芳 |
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| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 Securitization has been the main activity in many bank holding companies. According to the prior literature, some risks of the off-balance sheet securitized loans are retained on the originator through retained interests that are evaluated by many parameters, leading to higher estimation risks and increasing the uncertainty of the originator’s value, which implies that the information qualities are poor and thus influences the firm’s liquidity risk and stock price. Since during the financial crisis period, there are many liquidity-related events, I investigate the association between the stock return and liquidity risk by examining if the three off-balance sheet banks’ loan securitizations reflecting information quality and liquidity risk are relevant to investors due to the estimation risks and uncertainty of retained interests on the originator. In addition, there are differences in the externally verifiable credit risk, retained risks and information qualities of three loan types of off-balance sheet ABS, so I further assume that the associations between the investors’ reaction and the three loan types are different. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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