Are Asset Securitizations Sales or Loans?
通过股票市场估值回归，检验市场是否将特殊目的实体（SPE）的资产和负债视为发起人的资产和负债，发现市场认为资产证券化实质是担保借款而非销售。
ABSTRACT: This study addresses whether asset securitizations are really asset sales or a form of secured borrowing, by estimating cross-sectional equity valuation regressions to assess whether the stock market treats securitized assets and liabilities held by a special purpose entity (SPE) as assets and liabilities of the sponsor-originator (S-O). Although all sample firms account for asset securitizations as sales, we find that the market views such SPE assets and liabilities as belonging to the S-O, i.e., the risk and rewards of ownership of the transferred assets reside with the S-O and not the SPE. Our findings are consistent with the explanation that sale-based asset securitizations enable SPE bondholders to retain priority in bankruptcy of the S-O while also enabling the S-O to obtain lower borrowing costs by implicitly guaranteeing the SPE’s debt.