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題名 年報文字探勘-來自聯合貸款市場的證據
Textual analysis in 10-K: evidence from syndicated loan
作者 吳哲銘
Wu, Che-Ming
貢獻者 詹凌菁
吳哲銘
Wu, Che-Ming
關鍵詞 文字探勘
情緒
年報
利差
抵押擔保
債務條款
聯貸特性
Textual analysis
Sentiment
10-K filings
Loan spread
Collateral
Debt covenant
Syndicated loan feature
日期 2018
上傳時間 3-Jul-2018 17:23:10 (UTC+8)
摘要 近十年來文字探勘的相關研究議題受到越來越多重視，但是大多數的研究者都專注在文字情緒表達和權益市場之間的關係，甚少研究探討其與債權市場之間的關聯。因此，本研究的目的為探討企業的文字情緒表達是否會影響聯合貸款之特性。本研究採用聯合貸款市場中的美國借款者為樣本，實證結果顯示10-K報告中的負面文字情緒表達與借款利差、被要求提供抵押擔保的機率呈正向關係，而與借款金額和借款到期期間呈負向關係。再者，本研究發現負面文字情緒表達與限制性條款違約機率呈正向關係。總結而言，本研究在探討文字情緒表達和債務條款的關聯性與幫助貸款者了解借款人對他們的文字情緒表達如何反應上應有其重要性。
In the past decade, there has been a tremendous wave of interest in the field of textual analysis. However, researchers have concentrated on the relationship between textual sentiment expression and the equity market. There has thus far been relatively little research into the debt market. It is my purpose in this study to investigate whether corporation-expressed textual sentiment affects the features of the syndicated loan. Using a sample of U.S. borrowers in the syndicated loan market, the results show that negative textual sentiment expressed in 10-K filings is positively associated with loan spreads and the probability of loans being secured, while negatively associated with loan amounts and maturity. Moreover, I find that negative sentiment is positively associated with the probability of covenant violation. To conclude, this study may be of importance in exploring the association between textual sentiment expression and debt contract terms, as well as in providing borrowers with a better understanding of how lenders respond to their sentimental expression in 10-K filings.
參考文獻 Allee, K. D., & Deangelis, M. D. (2015). The structure of voluntary disclosure narratives: Evidence from tone dispersion. Journal of Accounting Research, 53 (2), 241-274.
Allen, T. (1990). Developments in the international syndicated loan market in the 1980s. Quarterly Bulletin, Bank of England, February.
Armstrong, J. (2003). The syndicated loan market: Developments in the north American context: Bank of Canada.
Bae, K.-H., & Goyal, V. K. (2009). Creditor rights, enforcement, and bank loans. The Journal of Finance, 64 (2), 823-860.
Barnish, K., Miller, S., & Rushmore, M. (1997). The new leveraged loan syndication market. Journal of Applied Corporate Finance, 10 (1), 79-88.
Bharath, S. T., Sunder, J., & Sunder, S. V. (2008). Accounting quality and debt contracting. The Accounting Review, 83 (1), 1-28.
Campbell, J. L., Chen, H., Dhaliwal, D. S., Lu, H.-m., & Steele, L. B. (2014). The information content of mandatory risk factor disclosures in corporate filings. Review of Accounting Studies, 19 (1), 396-455.
Chan, A. L.-C., Hsieh, Y.-T., Lee, E., & Yueh, M.-L. (2015). Does financial statement information affect cross-border lending by foreign banks in the syndicated loan market? Evidence from a natural experiment. Journal of Accounting and Public Policy, 34 (5), 520-547.
Christensen, H. B., & Nikolaev, V. V. (2012). Capital versus performance covenants in debt contracts. Journal of Accounting Research, 50 (1), 75-116.
Costello, A. M., & Wittenberg-Moerman, R. (2011). The impact of financial reporting quality on debt contracting: Evidence from internal control weakness reports. Journal of Accounting Research, 49 (1), 97-136.
Davis, A. K., Piger, J. M., & Sedor, L. M. (2012). Beyond the numbers: Measuring the information content of earnings press release language. Contemporary Accounting Research, 29 (3), 845-868.
Degryse, H., & Ongena, S. (2005). Distance, lending relationships, and competition. The Journal of Finance, 60 (1), 231-266.
Demerjian, P. R., & Owens, E. L. (2016). Measuring the probability of financial covenant violation in private debt contracts. Journal of Accounting and Economics, 61 (2), 433-447.
Demers, E., & Vega, C. (2011). Linguistic tone in earnings announcements: News or noise? FRB International Finance Discussion Paper.
Dennis, S. A., & Mullineaux, D. J. (2000). Syndicated loans. Journal of financial Intermediation, 9 (4), 404-426.
Dichev, I. D., & Skinner, D. J. (2002). Large–sample evidence on the debt covenant hypothesis. Journal of Accounting Research, 40 (4), 1091-1123.
Duke, J. C., & Hunt, H. G. (1990). An empirical examination of debt covenant restrictions and accounting-related debt proxies. Journal of Accounting and Economics, 12 (1), 45-63.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33 (1), 3-56.
Ferris, S. P., Hao, Q., & Liao, M.-Y. (2013). The effect of issuer conservatism on IPO pricing and performance. Review of Finance, 17 (3), 993-1027.
Fields, T. D., Lys, T. Z., & Vincent, L. (2001). Empirical research on accounting choice. Journal of Accounting and Economics, 31 (1), 255-307.
Gadanecz, B. (2004). The syndicated loan market: Structure, development and implications.　BIS Quarterly Review, 4, 75-89.
GarcÍA, D. (2013). Sentiment during Recessions. The Journal of Finance, 68 (3), 1267-
Giannetti, M., & Laeven, L. (2012). The flight home effect: Evidence from the syndicated loan market during financial crises. Journal of Financial Economics, 104 (1), 23-43.
Giannetti, M., & Yafeh, Y. (2012). Do cultural differences between contracting parties matter? Evidence from syndicated bank loans. Management Science, 58 (2), 365-383.
Govindaraj, S., & Segal, B. (2008). The incremental information content of tone change in management discussion and analysis. Working paper.
Graham, J. R., Li, S., & Qiu, J. (2008). Corporate misreporting and bank loan contracting. Journal of Financial Economics, 89 (1), 44-61.
Huang, X., Teoh, S. H., & Zhang, Y. (2014). Tone management. The Accounting Review, 89 (3).
Jegadeesh, N., & Wu, D. (2013). Word power: A new approach for content analysis. Journal of Financial Economics, 110 (3), 712-729.
Jorion, P., Shi, C., & Zhang, S. (2009). Tightening credit standards: the role of accounting quality. Review of Accounting Studies, 14 (1), 123-160.
Kang, T., Park, D.-H., & Han, I. (2017). Beyond the numbers: The effect of 10-K tone on firms’ performance predictions using text analytics. Telematics and Informatics.　Forthcoming.
Kearney, C., & Liu, S. (2014). Textual sentiment in finance: A survey of methods and models. International Review of Financial Analysis, 33 (Supplement), 171-185.
Kim, J.-B., Tsui, J., & H. Yi, C. (2011). The voluntary adoption of International Financial Reporting Standards and loan contracting around the world. Review of Accounting Studies, 16 (4), 779-811.
Kothari, S. P., Li, X., & Short, J. E. (2009). The effect of disclosures by management, analysts, and business press on cost of capital, return volatility, and analyst forecasts: A study using content analysis. The Accounting Review, 84 (5), 1639-1670.
Li, C., Xie, Y., & Zhou, J. (2010). National level, city level auditor industry specialization and cost of debt. Accounting Horizons, 24 (3), 395-417.
Li, F. (2006). Do Stock Market investors understand the risk sentiment of corporate annual reports? Working paper. Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=898181
Li, F., Lundholm, R., & Minnis, M. (2013). A measure of competition based on 10-K Filings. Journal of Accounting Research, 51 (2), 399-436.
Loughran, T., & McDonald, B. (2011). When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. The Journal of Finance, 66 (1), 35-65.
Loughran, T., & McDonald, B. (2013). IPO first-day returns, offer price revisions, volatility, and form S-1 language. Journal of Financial Economics, 109 (2), 307-326.
Loughran, T., & McDonald, B. (2016). Textual analysis in accounting and finance: A survey. Journal of Accounting Research, 54 (4), 1187-1230.
Loughran, T., McDonald, B., & Yun, H. (2009). A wolf in sheep’s clothing: The use of ethics-related terms in 10-K reports. Journal of Business Ethics, 89 (1), 39-49.
McKee, A. (2003). Textual analysis: A Beginner`s guide: SAGE Publications.
Mosteller, F., Wallace, D. L., & Nerbonne, J. (1964). Inference and disputed authorship. Center for the Study of Language and Information.
Ortiz-Molina, H., & Penas, M. F. (2008). Lending to small businesses: the role of loan maturity in addressing information problems. Small Business Economics, 30 (4).
Press, E. G., & Weintrop, J. B. (1990). Accounting-based constraints in public and private debt agreements: Their association with leverage and impact on accounting choice. Journal of Accounting and Economics, 12 (1-3), 65-95.
Qian, J. U. N., & Strahan, P. E. (2007). How laws and institutions shape financial contracts: The case of bank loans. The Journal of Finance, 62 (6), 2803-2834.
Rhodes, T., Campbell, M., & Dawson, C. (2004). Syndicated lending: Practice and documentation: Euromoney Books.
Rogers, J. L., Buskirk, A. V., & Zechman, S. L. C. (2011). Disclosure tone and shareholder litigation. The Accounting Review, 86 (6), 2155-2183.
Skinner, D. J. (1994). Why firms voluntarily disclose bad news. Journal of Accounting Research, 32 (1), 38-60.
Strahan, P. (1999). Borrower risk and the price and nonprice terms of bank loans. Working paper. Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=192769.
Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The Journal of Finance, 62 (3), 1139-1168.
Watts, R. L., & Zimmerman, J. L. (1986). Positive accounting theory. Englewood Cliffs, N.J.: Prentice-Hall.
Watts, R. L., & Zimmerman, J. L. (1990). Positive accounting theory: A ten year perspective. The Accounting Review, 65 (1), 131-156.
Williams, C. B. (1975). Mendenhall`s studies of word-length distribution in the works of shakespeare and bacon. Biometrika, 62 (1), 207-212.
描述 碩士
國立政治大學
會計學系
105353004
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105353004
資料類型 thesis
dc.contributor.advisor 詹凌菁zh_TW
dc.contributor.author (Authors) 吳哲銘zh_TW
dc.contributor.author (Authors) Wu, Che-Mingen_US
dc.creator (作者) 吳哲銘zh_TW
dc.creator (作者) Wu, Che-Mingen_US
dc.date (日期) 2018en_US
dc.date.accessioned 3-Jul-2018 17:23:10 (UTC+8)-
dc.date.available 3-Jul-2018 17:23:10 (UTC+8)-
dc.date.issued (上傳時間) 3-Jul-2018 17:23:10 (UTC+8)-
dc.identifier (Other Identifiers) G0105353004en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118213-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計學系zh_TW
dc.description (描述) 105353004zh_TW
dc.description.abstract (摘要) 近十年來文字探勘的相關研究議題受到越來越多重視，但是大多數的研究者都專注在文字情緒表達和權益市場之間的關係，甚少研究探討其與債權市場之間的關聯。因此，本研究的目的為探討企業的文字情緒表達是否會影響聯合貸款之特性。本研究採用聯合貸款市場中的美國借款者為樣本，實證結果顯示10-K報告中的負面文字情緒表達與借款利差、被要求提供抵押擔保的機率呈正向關係，而與借款金額和借款到期期間呈負向關係。再者，本研究發現負面文字情緒表達與限制性條款違約機率呈正向關係。總結而言，本研究在探討文字情緒表達和債務條款的關聯性與幫助貸款者了解借款人對他們的文字情緒表達如何反應上應有其重要性。zh_TW
dc.description.abstract (摘要) In the past decade, there has been a tremendous wave of interest in the field of textual analysis. However, researchers have concentrated on the relationship between textual sentiment expression and the equity market. There has thus far been relatively little research into the debt market. It is my purpose in this study to investigate whether corporation-expressed textual sentiment affects the features of the syndicated loan. Using a sample of U.S. borrowers in the syndicated loan market, the results show that negative textual sentiment expressed in 10-K filings is positively associated with loan spreads and the probability of loans being secured, while negatively associated with loan amounts and maturity. Moreover, I find that negative sentiment is positively associated with the probability of covenant violation. To conclude, this study may be of importance in exploring the association between textual sentiment expression and debt contract terms, as well as in providing borrowers with a better understanding of how lenders respond to their sentimental expression in 10-K filings.en_US
dc.description.tableofcontents 1. INTRODUCTION 1
2. REVIEW OF LITERATURE AND DEVELOPMENT OF HYPOTHESES 5
2.1. Syndicated loans 5
2.1.1. Introduction to the syndicated loans 5
2.1.2. Development of syndicated loans market 6
2.1.3. Syndicated loan and financial statement information 8
2.1.4. Syndicated loan and other information 9
2.2. Textual analysis 9
2.2.1. Introduction to the textual analysis 9
2.2.2. Textual analysis about corporation-expressed sentiment 11
2.3. Hypothesis development 11
2.3.1. The effect of textual sentiment in the 10-K filings on borrowing rates. 11
2.3.2. The effect of textual sentiment in the 10-K filings on non-price terms of loan contracts 13
2.3.3. The effect of textual sentiment in the 10-K filings on the probability of covenant violation 14
3. SAMPLE AND RESEARCH METHOD 16
3.1. Measurement of sentiment in 10-K filings 16
3.2. Sample selection 17
3.3. Empirical model 19
4. EMPIRICAL FINDINGS 23
4.1. Summary statistics and correlation analyses 23
4.2. Test of H1 26
4.3. Test of H2 28
4.4. Test of H3 30
4.5. Additional analysis 32
4.5.1. Alternative measure of sentiment expression 32
4.5.2. Self-serving bias 34
4.5.3. Abnormal sentiment expression 38
4.5.4. Endogeneity 41
5. SUMMARY AND CONCLUSION 44
REFERENCES 46		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105353004en_US
dc.subject (關鍵詞) 文字探勘zh_TW
dc.subject (關鍵詞) 情緒zh_TW
dc.subject (關鍵詞) 年報zh_TW
dc.subject (關鍵詞) 利差zh_TW
dc.subject (關鍵詞) 抵押擔保zh_TW
dc.subject (關鍵詞) 債務條款zh_TW
dc.subject (關鍵詞) 聯貸特性zh_TW
dc.subject (關鍵詞) Textual analysisen_US
dc.subject (關鍵詞) Sentimenten_US
dc.subject (關鍵詞) 10-K filingsen_US
dc.subject (關鍵詞) Loan spreaden_US
dc.subject (關鍵詞) Collateralen_US
dc.subject (關鍵詞) Debt covenanten_US
dc.subject (關鍵詞) Syndicated loan featureen_US
dc.title (題名) 年報文字探勘-來自聯合貸款市場的證據zh_TW
dc.title (題名) Textual analysis in 10-K: evidence from syndicated loanen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Allee, K. D., & Deangelis, M. D. (2015). The structure of voluntary disclosure narratives: Evidence from tone dispersion. Journal of Accounting Research, 53 (2), 241-274.
Allen, T. (1990). Developments in the international syndicated loan market in the 1980s. Quarterly Bulletin, Bank of England, February.
Armstrong, J. (2003). The syndicated loan market: Developments in the north American context: Bank of Canada.
Bae, K.-H., & Goyal, V. K. (2009). Creditor rights, enforcement, and bank loans. The Journal of Finance, 64 (2), 823-860.
Barnish, K., Miller, S., & Rushmore, M. (1997). The new leveraged loan syndication market. Journal of Applied Corporate Finance, 10 (1), 79-88.
Bharath, S. T., Sunder, J., & Sunder, S. V. (2008). Accounting quality and debt contracting. The Accounting Review, 83 (1), 1-28.
Campbell, J. L., Chen, H., Dhaliwal, D. S., Lu, H.-m., & Steele, L. B. (2014). The information content of mandatory risk factor disclosures in corporate filings. Review of Accounting Studies, 19 (1), 396-455.
Chan, A. L.-C., Hsieh, Y.-T., Lee, E., & Yueh, M.-L. (2015). Does financial statement information affect cross-border lending by foreign banks in the syndicated loan market? Evidence from a natural experiment. Journal of Accounting and Public Policy, 34 (5), 520-547.
Christensen, H. B., & Nikolaev, V. V. (2012). Capital versus performance covenants in debt contracts. Journal of Accounting Research, 50 (1), 75-116.
Costello, A. M., & Wittenberg-Moerman, R. (2011). The impact of financial reporting quality on debt contracting: Evidence from internal control weakness reports. Journal of Accounting Research, 49 (1), 97-136.
Davis, A. K., Piger, J. M., & Sedor, L. M. (2012). Beyond the numbers: Measuring the information content of earnings press release language. Contemporary Accounting Research, 29 (3), 845-868.
Degryse, H., & Ongena, S. (2005). Distance, lending relationships, and competition. The Journal of Finance, 60 (1), 231-266.
Demerjian, P. R., & Owens, E. L. (2016). Measuring the probability of financial covenant violation in private debt contracts. Journal of Accounting and Economics, 61 (2), 433-447.
Demers, E., & Vega, C. (2011). Linguistic tone in earnings announcements: News or noise? FRB International Finance Discussion Paper.
Dennis, S. A., & Mullineaux, D. J. (2000). Syndicated loans. Journal of financial Intermediation, 9 (4), 404-426.
Dichev, I. D., & Skinner, D. J. (2002). Large–sample evidence on the debt covenant hypothesis. Journal of Accounting Research, 40 (4), 1091-1123.
Duke, J. C., & Hunt, H. G. (1990). An empirical examination of debt covenant restrictions and accounting-related debt proxies. Journal of Accounting and Economics, 12 (1), 45-63.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33 (1), 3-56.
Ferris, S. P., Hao, Q., & Liao, M.-Y. (2013). The effect of issuer conservatism on IPO pricing and performance. Review of Finance, 17 (3), 993-1027.
Fields, T. D., Lys, T. Z., & Vincent, L. (2001). Empirical research on accounting choice. Journal of Accounting and Economics, 31 (1), 255-307.
Gadanecz, B. (2004). The syndicated loan market: Structure, development and implications.　BIS Quarterly Review, 4, 75-89.
GarcÍA, D. (2013). Sentiment during Recessions. The Journal of Finance, 68 (3), 1267-
Giannetti, M., & Laeven, L. (2012). The flight home effect: Evidence from the syndicated loan market during financial crises. Journal of Financial Economics, 104 (1), 23-43.
Giannetti, M., & Yafeh, Y. (2012). Do cultural differences between contracting parties matter? Evidence from syndicated bank loans. Management Science, 58 (2), 365-383.
Govindaraj, S., & Segal, B. (2008). The incremental information content of tone change in management discussion and analysis. Working paper.
Graham, J. R., Li, S., & Qiu, J. (2008). Corporate misreporting and bank loan contracting. Journal of Financial Economics, 89 (1), 44-61.
Huang, X., Teoh, S. H., & Zhang, Y. (2014). Tone management. The Accounting Review, 89 (3).
Jegadeesh, N., & Wu, D. (2013). Word power: A new approach for content analysis. Journal of Financial Economics, 110 (3), 712-729.
Jorion, P., Shi, C., & Zhang, S. (2009). Tightening credit standards: the role of accounting quality. Review of Accounting Studies, 14 (1), 123-160.
Kang, T., Park, D.-H., & Han, I. (2017). Beyond the numbers: The effect of 10-K tone on firms’ performance predictions using text analytics. Telematics and Informatics.　Forthcoming.
Kearney, C., & Liu, S. (2014). Textual sentiment in finance: A survey of methods and models. International Review of Financial Analysis, 33 (Supplement), 171-185.
Kim, J.-B., Tsui, J., & H. Yi, C. (2011). The voluntary adoption of International Financial Reporting Standards and loan contracting around the world. Review of Accounting Studies, 16 (4), 779-811.
Kothari, S. P., Li, X., & Short, J. E. (2009). The effect of disclosures by management, analysts, and business press on cost of capital, return volatility, and analyst forecasts: A study using content analysis. The Accounting Review, 84 (5), 1639-1670.
Li, C., Xie, Y., & Zhou, J. (2010). National level, city level auditor industry specialization and cost of debt. Accounting Horizons, 24 (3), 395-417.
Li, F. (2006). Do Stock Market investors understand the risk sentiment of corporate annual reports? Working paper. Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=898181
Li, F., Lundholm, R., & Minnis, M. (2013). A measure of competition based on 10-K Filings. Journal of Accounting Research, 51 (2), 399-436.
Loughran, T., & McDonald, B. (2011). When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. The Journal of Finance, 66 (1), 35-65.
Loughran, T., & McDonald, B. (2013). IPO first-day returns, offer price revisions, volatility, and form S-1 language. Journal of Financial Economics, 109 (2), 307-326.
Loughran, T., & McDonald, B. (2016). Textual analysis in accounting and finance: A survey. Journal of Accounting Research, 54 (4), 1187-1230.
Loughran, T., McDonald, B., & Yun, H. (2009). A wolf in sheep’s clothing: The use of ethics-related terms in 10-K reports. Journal of Business Ethics, 89 (1), 39-49.
McKee, A. (2003). Textual analysis: A Beginner`s guide: SAGE Publications.
Mosteller, F., Wallace, D. L., & Nerbonne, J. (1964). Inference and disputed authorship. Center for the Study of Language and Information.
Ortiz-Molina, H., & Penas, M. F. (2008). Lending to small businesses: the role of loan maturity in addressing information problems. Small Business Economics, 30 (4).
Press, E. G., & Weintrop, J. B. (1990). Accounting-based constraints in public and private debt agreements: Their association with leverage and impact on accounting choice. Journal of Accounting and Economics, 12 (1-3), 65-95.
Qian, J. U. N., & Strahan, P. E. (2007). How laws and institutions shape financial contracts: The case of bank loans. The Journal of Finance, 62 (6), 2803-2834.
Rhodes, T., Campbell, M., & Dawson, C. (2004). Syndicated lending: Practice and documentation: Euromoney Books.
Rogers, J. L., Buskirk, A. V., & Zechman, S. L. C. (2011). Disclosure tone and shareholder litigation. The Accounting Review, 86 (6), 2155-2183.
Skinner, D. J. (1994). Why firms voluntarily disclose bad news. Journal of Accounting Research, 32 (1), 38-60.
Strahan, P. (1999). Borrower risk and the price and nonprice terms of bank loans. Working paper. Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=192769.
Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The Journal of Finance, 62 (3), 1139-1168.
Watts, R. L., & Zimmerman, J. L. (1986). Positive accounting theory. Englewood Cliffs, N.J.: Prentice-Hall.
Watts, R. L., & Zimmerman, J. L. (1990). Positive accounting theory: A ten year perspective. The Accounting Review, 65 (1), 131-156.
Williams, C. B. (1975). Mendenhall`s studies of word-length distribution in the works of shakespeare and bacon. Biometrika, 62 (1), 207-212.		zh_TW
dc.identifier.doi (DOI) 10.6814/THE.NCCU.ACCT.008.2018.F07-