CBO의 가격결정과 그 결정요인

We find the underpricing of collateralized bond obligations and investigate its determinants. The main results of empirical analysis are summarized as follows:Firstly, the collateralized bond obligation spread compared with the same level of the corporate bond spread continues to be high and shows underpricing. Secondly,the collateralized bond obligation spread has a very significant relationship with maturity, credit rating and issue amount. The issue amount has a strong reverse relationship with the collateralized bond obligation spread, and if issue amount increases, the spread decreases. However, in the case of corporate bond spread,the issue amount has a weak reverse relationship with the spread and the price does not depend strongly on the market liquidity. Thirdly All the regression analyses show that the determinants other than the credit rating of the collateralized bond obligations selectively affect the spread. In particular, among the determinants related with the issue conditions of the collateralized bond obligations security type and priority related with the loss given default strongly affect the spread. Finally, as we compare the pool of collateralized bond obligations with those of other collateral ABS's, we find that collateralized bond obligation spread is not lower than other collateral ABS spreads. And, as we compare the determinants of collateralized bond obligation spread with those of other ABS spreads, we find the issue amount has differential impact on collateralized bond obligation spread. Other collateral ABS's have strong negative relationship between issue amount and spread, but collateralized bond obligation has weak negative relationship between issue amount and spread.