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Korean Journal of Financial Studies 2013;42(1):227-262.
Published online February 28, 2013.
A Study on the Effects of Security Value on the Structure of a Securitized Asset
Jae Seung Baek, Dong Jin Yun, Jin Yong Yang
자산유동화의 구조가 주식가치에 미치는 영향에 관한 연구
백재승, 윤동진, 양진용
Abstract
This study analyzes the effects of the securitization of non-performing assets on the 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 securitization by financial institutions has a positive effect on stock price and that the securitization of real estate NPL contributes to a rise in stock price in the short term but a fall in the mid- and long-term. The securitization of NPL that includes trust assets, however, results in an increase in stock price and contributes to the increased stability of a 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 funds and to protect the ownership through the transparent execution of funds. And it is also noteworthy that these results appear differently depending on the characteristics of the issuance, goods, and region of the securitized assets.
Key Words: 부실채권,신탁,자산유동화,주식가치,증권화,Asset-Backed Securities(ABS),NPL 채권,NPL(non-performing Loans),Securitization,Trusts,Valuation


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