자산유동화증권의 과소평가와 그 결정요인

We find the underpricing of asset backed securities and investigate its determinants. The main results of empirical analysis are summarized as follows. First, the asset backed security spreads compared with the same level of the corporate bond spreads continue to be high and shows underpricing. Second, the asset backed securities during the period of the empirical analysis consistently underestimate the corporate bond and show that they are affected by structural factors than by temporary factors. Third, the asset backed security spreads have a very significant relationship with maturity, credit rating and issue amount. The issue amount has a strong reverse relationship with the asset backed security spread, and if issue amount increases, the spread decreases. However, in the case of corporate bond spreads, the issue amount has a weak reverse relationship with the spread and the price does not depend strongly on the market liquidity. The regression analysis on the corresponding spreads, however, issue amount has a strong reverse relationship with the asset backed security spread but has a positive relationship with the corporate bond spread and shows that market shock cost exists with the large issue. Finally, All the regression analyses show that the determinants other than the credit rating of the asset backed securities selectively affect the spread. In particular, among the determinants related with the issue conditions of the asset backed securities security type and priority related with the loss given default strongly affect the spread.