자산유동화의 구조가 주식가치에 미치는 영향에 관한 연구: NPL 채권 유동화를 중심으로

This study analyzes the effects of securitization of non-performing assets on non-performing loans (hereafter called “NPL”) of financial institutions and identifies the significant factors of such effects depending on the characteristics of the asset-backed securities (ABS). The empirical results show that the securitization by financial institutions has a positive effect on the increase in stock price and that the securitization of real estate NPL results in the increase in stock price in the short term but performs in the decrease thereafter. The securitization of NPL that includes trust asset, however, results in the increase in stock price and contributes to the increased stability of stock price when a special purpose company is established. This result indicates that focusing on credit ratings of a company contributes to the increased stability of the overall financial markets in the management of loans. This study, through an empirical analysis, confirms the theoretical frame that a trust enables a trust company to control the funds and protect the ownership through transparent execution of funds. And it is also noteworthy that these results appear differently depending on the characteristics of the issuance, goods, region of securitized assets.