|Author Name||EGAMI Masahiko (Kyoto University) / HOSONO Kaoru (Faculty Fellow, RIETI)|
|Creation Date/NO.||March 2016 16-J-018|
|Research Project||Study on Corporate Finance and Firm Dynamics|
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How does securitization affect issuers' asset risk? And how do capital markets respond to securitization? We answer these questions by examining changes in the asset values of the sponsors of Japanese Real Estate Investment Trusts (J-REITs) before and after the announcements of the establishment of J-REITs. To this aim, we precisely estimate the sponsors' asset values and compare their levels, volatilities, and comovements with the market index of the real estate industries. While no consistent change is found for the levels and volatilities of asset values, a negative effect of the announcement of J-REITs is consistently found for the comovements with the market index of the real estate industries. Furthermore, for the sponsors that do not fall in the real estate industries, the comovements with their own industries are found likely to be larger after the announcement of J-REITs.