Journal of Financial and Quantitative Analysis / Volume 49 / Issue 02 / April 2014, pp 297-319

市場怎麼對有毒資産進行估值？

作者：Francis A. Longstaff, Brett W. Myers

摘要：針對市場怎麼對“有毒”的信用結構化證券估值的問題，文章研究了有毒資産中最“毒”的資産——普通品CDO的估值。理論上普通品CDO應該在本質上跟銀行股票相似，因為兩者都是代表貸款組合的剩餘所有權。我們發現相比于固收産品收益率，普通品CDO收益跟股票收益更接近，并且跟金融類公司股票收益最接近。此外，接近三分之二的CDO收益率變動能夠被基本面解釋。

How Does the Market Value Toxic Assets?

Francis A. Longstaff, Brett W. Myers

Abstract

How does the market value “toxic” structured-credit securities? We study the valuation of what is possibly the most toxic of all toxic assets: the equity tranche of a collateralized debt obligation (CDO). In theory, CDO equity should be similar in nature to bank stock since both represent residual claims on a portfolio of loans. We find CDO equity returns are much more related to stock returns than to fixed-income returns. CDO equity returns track the returns of financial stocks much more closely than any other industry. Nearly two-thirds of the variation in CDO returns can be explained by fundamentals.

原文鍊接：http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=9380430&fulltextType=RA&fileId=S0022109014000222

翻譯：傅亞平