Moral hazard and adverse selection effects on financial asset securitization market

• Main Authors: Syu-Rong Peng, 彭續榮
• Other Authors: Sun,Yu-Feng
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/40222697988145311824

碩士 === 嶺東科技大學 === 財務金融研究所 === 102 === In this study, the Taiwan stock market listing of the common shares of the object , the study period was from January 2006 to December 2013 , a total of 96 months. Utilization factor regression model to study the relationship between the way the listing of Taiwan 's financial market institutions investment portfolio return and risk , the purpose of research is to understand the operation of " financial asset securitization " of financial institutions , the excess return of its shares if there is better than non- operating "Financial asset Securitization " financial institutions , the excess return of its shares. The study found that the operation of " financial asset securitization " of financial institutions , the excess return of its shares if there is better than the non-operating " financial asset securitization " of financial institutions , the excess return of its stock , which describes moral hazard, adverse selection exists among financial assets in securitized products . Course of the study which also found that when the prior pattern formation, the data type for the values of the variables do a deeper analysis to understand its variable type is suitable for the study of methods and make the necessary conversion will increase the explanatory power of the model . This is often ignored by local researchers in general , and therefore easy to get no explanatory power factor mode erroneous results , which is an unexpected finding of this study and contribution.