金融中介声誉与资产证券化的定价研究

贵州财经大学学报 ›› 2021 ›› Issue (01): 86-94.

金融中介声誉与资产证券化的定价研究

刘丹, 潘明颖, 王元芳

首都经济贸易大学, 北京 100081

收稿日期:2020-09-07 出版日期:2021-01-15 发布日期:2021-01-18
作者简介:刘丹(1984-),女,北京人,首都经济贸易大学讲师、博士、研究方向为资本市场,企业金融;潘明颖(1997-),女,河南洛阳人,首都经济贸易大学会计学院硕士研究生在读,研究方向为公司金融;王元芳(1983-),女,河南鹤壁人,首都经济贸易大学会计学院副教授、博士,研究方向为公司治理。
基金资助:
国家自然科学基金青年项目“卖空机制对企业投资行为的作用机理与效果研究——基于‘脱虚向实’的视角”（71903134）；北京市社会科学基金青年项目“资产证券化对深化北京市国有企业改革的经济效果研究”（17GLC073）；北京市教委科研计划“供给侧结构性改革下资产证券化对北京市实体经济发展的效果研究”（SM202010038012）。

Research on Reputation of Financial Intermediaries and Asset Securitization Pricing

LIU Dan, PAN Ming-ying, WANG Yuan-fang

Capital University of economics and trade, Beijing 100081, China

Received:2020-09-07 Online:2021-01-15 Published:2021-01-18

摘要/Abstract

摘要： 自2012年以来，资产证券化产品在我国的市场规模逐步扩大，在我国债券产品中扮演着重要的角色。研究金融中介评级影响资产证券化定价的机制，可为进一步完善资产证券化定价模型提供实证支持。利用《证券公司分类监管规定》公布的金融中介评级数据，以2011~2019年企业资产证券化产品为样本，研究金融中介声誉对资产证券化价格的影响。研究发现：金融中介机构的声誉对我国资产证券化产品的发行定价有显著的负向影响；对于低评级和高评级的金融中介而言，其对资产证券化产品发行定价的影响存在显著的差异；债券本身的信用评级也对发行定价有显著的负向影响。

关键词: 资产证券化定价, 金融中介声誉, 证券公司评级, 信用利差

Abstract: Securitization has gradually expanded its market scale in China and played an important role in China's bond products since 2012. In this paper, we use the financial intermediary rating data provided by "Securities Company Classification Supervision Regulations" published by CSRC, and the sample of asset-backed securitization from 2011 to 2019, to detect the effect of the reputation of financial intermediaries on the securitization pricing. It is found that the reputation of financial intermediaries has a significant negative influence on the issue pricing of securitization products in China. For financial intermediaries with low rating and high rating, there is a significant difference in their influence on the issue pricing of securitization products. Moreover, the credit rating of the bond itself has a significant negative impact on the issue pricing. This paper is the first to study the mechanism of financial intermediary rating influencing securitization pricing, which provides empirical support for the further improvement of securitization pricing model in China.

Key words: securitization pricing, reputation of financial intermediary, securities firm rating, credit spread

中图分类号:

F832

刘丹, 潘明颖, 王元芳. 金融中介声誉与资产证券化的定价研究[J]. 贵州财经大学学报, 2021(01): 86-94.

LIU Dan, PAN Ming-ying, WANG Yuan-fang. Research on Reputation of Financial Intermediaries and Asset Securitization Pricing[J]. Journal of Guizhou University of Finance and Economics, 2021(01): 86-94.

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