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証券化による発行者の資産リスクの変動と資本市場の評価―J-Reitのケース・スタディ―

Author

Listed:
  • 江上, 雅彦
  • 細野, 薫

Abstract

証券化の前後によって、発行者の資産価値はどのように変動するのか、つまり当該発行者の資産リスクはどう変化するのか、また資本市場において投資家は資産売却という変化に対してどのように対応するのか？こうした問いに答えるために、本稿では、J-REIT設立のアナウンスメント前後のスポンサーの資産価値を厳密に推計し、そのボラティリティや市場インデックスとの連動性を分析した。分析の結果、J-REIT設立のアナウンスの前後で、資産価値のボラティリティの変化に一定の傾向は見出されないものの、アナウンス後に不動産業の株式市場インデックスとの連動性は弱まる傾向があることを見出した。また、不動産業以外の企業がスポンサーの場合には、本業の属する株式市場インデックスとの連動性が高まるケースが見られた。

Suggested Citation

  • 江上, 雅彦 & 細野, 薫, 2016. "証券化による発行者の資産リスクの変動と資本市場の評価―J-Reitのケース・スタディ―," HIT-REFINED Working Paper Series 54, Institute of Economic Research, Hitotsubashi University.
    • Handle: RePEc:hit:remfce:54
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    More about this item

    Keywords

    証券化; J-REIT; 資産価値; 資産リスク;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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