| Summary: | 碩士 === 臺灣大學 === 會計學研究所 === 98 === I examine the relationship between investors‘ reaction and retained interest from bank loans securitization in liquidity-related events during the period of financial crisis from 2007 to 2009, to test whether different types of retained interest from different types of loans reflect different degrees of liquidity risk, through the concept of information risk. Empirical results imply that, credit-enhancing interest-only strips reflect more liquidity risk than subordinated asset-backed securities in securitized mortgage loans and commercial loans. Moreover, credit-enhancing interest-only strips from securitized commercial loans inform more liquidity risk than from securitized mortgage loans. I also find that the implicit recourse for securitized consumer loans reflect liquidity risk. The impact of liquidity risk is more significant in liquidity constraining events, similar to the results of previous literatures.
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