资产证券化一般被认为是具有良好流动性的"非信息敏感"设计,但随着次贷危机的发生,大量质量良好的资产支持证券却在较长时期内难以获得流动性.基于信息不对称视角,将投资者信心引入资产证券化流动性问题分析,进行了相应的理论分析;并采用事件研究的方法,对美国住房抵押贷款资产支持证券交易数据进行了实证分析.研究结果显示,当资产证券化设计所传递的积极信号能够有效提升投资者信心时,投资者就会提高对资产支持证券的定价,从而提升资产证券化流动性;体现在随着资产证券化信用评级的增强,投资者对资产支持证券的定价会出现显著的超额收益;在投资者信心大幅度丧失的情况下,资产证券化流动性会迅速枯竭,从而引发流动性危机.建议在资产证券化监管与政策制定实施过程中,应建立投资者的信心,加强资产证券化相关信息的披露,合理安排对资产证券化设计创新的限制.%Securitization was generally considered as the information-insensitive design with high liquidity. But a large a-mount of asset-backed securities in good quality were in the lack of liquidity for a relatively long time after the subprime crisis. Based on the perspective of information asymmetry, this research introduces investor confidence in the analysis of securitization liquidity issue. We construct both theoretical and empirical analyses. In the empirical analysis,we apply event study method to the data sample of MBS trading data on the USA market. The research results show that when the signals from the design of secu-ritization can increase the investor confidence effectively,the investors tend to increase the pricing of the asset-backed securities, and thus increase the liquidity of securitization;it shows that along with the upgrade of the credit ratings in securitization,the in-vestors′bid price for the asset-backed securities has significant excess earnings;In case of the despair of investor confidence,the liquidity of securitization would dry up dramatically and lead to liquidity crisis. It is suggested that in the process of asset securiti-zation supervision,policy formulation and implementation,we should establish the confidence of the investors,strengthen the in-formation disclosure related to the asset securitization,and rationally arrange the restrictions on the design and innovation of the asset securitization.
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