资产证券化中的差额支付承诺与市场有效性——基于交易成本与合约理论的分析  

The Contract of Indemnity and Transaction Cost of Asset-backed Securitization

作　　者：王剑锋[1] 周与琴 徐万肖 WANG Jian-feng;ZHOU Yu-qin;XU Wan-xiao(School of Finance,University of International Business and Economics,Beijing 100029,China)

机构地区：[1]对外经济贸易大学金融学院,北京100029

出　　处：《现代财经（天津财经大学学报）》2021年第7期59-74,共16页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

摘　　要：为探究资产证券化合约中差额支付承诺条款的有效性问题,本文基于交易成本经济学与合约理论,构建了"信息传递成本—道德风险成本"研究框架,在理论分析基础上,选用2012-2019年资产证券化数据进行实证检验,结果表明:差额支付承诺条款增加了资产证券化合约的交易成本;募集方式和发行机构信用水平会进一步影响该条款的交易成本效应。私募方式以及发行机构的高信用等级特征会显著增加交易成本,故而选择该条款的概率较低。本文在拓展差额支付承诺量化研究的同时,为相关政策的完善以及差额支付承诺条款的选择提供了启示。In order to explore the validity of the contract of indemnity in asset-backed securitization contract, this paper constructs the framework of "information transmission cost-moral hazard cost" based on transaction cost economics and contract theory. On the basis of theoretical analysis, this paper selects the data of asset-backed securitization from 2012 to 2019 for empirical test. The results show that: first, the contract of indemnity increases the transaction cost of asset-backed securitization;second, the way of raising funds and the credit level of issuing institutions will further affect the transaction cost of this clause. The private placement method and the high credit rating characteristics of the issuing institution will significantly increase the transaction cost, so the probability of choosing this clause is low. This paper not only expands the quantitative research of the contract of indemnity, but also provides enlightenment for the improvement of relevant policies and the selection of this clause.

关 键 词：差额支付承诺 资产证券化 交易成本 

分 类 号：F830.2[经济管理—金融学]