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

市场怎么对有毒资产进行估值？

作者：Francis A. Longstaff, Brett W. Myers

摘要：针对市场怎么对“有毒”的信用结构化证券估值的问题，文章研究了有毒资产中最“毒”的资产——普通品CDO的估值。理论上普通品CDO应该在本质上跟银行股票相似，因为两者都是代表贷款组合的剩余所有权。我们发现相比于固收产品收益率，普通品CDO收益跟股票收益更接近，并且跟金融类公司股票收益最接近。此外，接近三分之二的CDO收益率变动能够被基本面解释。

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.

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

翻译：傅亚平