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題名 揭露品質與貸款訂約-來自東亞聯貸市場的證據
Disclosure quality and loan contracting: Evidence from East Asian syndicated loan markets
作者 張翊毫
Jhang, Yi-Hao
貢獻者 詹凌菁
張翊毫
Jhang, Yi-Hao
關鍵詞 揭露品質
會計資料之分解
借款利差
法律傳統
Disclosure quality
Disaggregation of accounting data
Loan spread
Legal tradition
日期 2019
上傳時間 1-Jul-2019 10:40:36 (UTC+8)
摘要 本研究探討借款公司的財務報表揭露品質與貸款合約條款間的關聯性。本研究採用Chen, Miao, and Shevlin (2015) 所構建用以衡量財務報表揭露品質指標(DQ)，發現銀行提供較高的借款利差以及較為嚴苛的非價格條款予DQ較低的借款公司。此外，在比較DQ在大陸法系以及普通法系國家的效果差異後，本研究發現在採用大陸法系的國家中，財務報表分解程度較低的借款公司承受較高的借款利差。在額外測試中，本研究發現當有外國銀行參貸時，財務報表分解程度較低的公司承受較高的借款利差、較小的借款金額、更短的到期日。此外，當借款予財務報表分解程度較低的公司時，聯貸結構中的參貸者數量會增加以減低自身風險。總結而言，本研究認為財務報表分解程度在銀行決定債務條款時能提供有價值的增額資訊。
In this paper, I examine whether and how a firm’s disclosure quality of financial statements is associated with the terms of loan contracts. Following the parsimonious disclosure quality measure (DQ) constructed by Chen, Miao, and Shevlin (2015) which captures the disaggregation level of accounting line items, I find that banks provide higher spreads and more stringent non-price terms to firms with lower DQ. Moreover, I examine the effect of DQ on legal traditions of common law and civil law, I find that firms providing less disaggregated financial statements receive unfavorable loan spreads in countries of civil law origins. Additional analyses reveal that borrowers with low DQ receive unfavorable loan spreads, smaller loan amounts, and shorter maturities when foreign banks are involved in lending. Besides, I find that the size of syndicate becomes larger when lending to borrowers with lower DQ. To conclude, my findings suggest that the incremental information in DQ is valuable to banks in determining loan contract terms.
參考文獻 Asquith, P., Gertner, R., & Scharfstein, D. (1994). Anatomy of financial distress: An examination of junk-bond issuers. The Quarterly Journal of Economics, 109(3), 625-658.
Bae, K. H., & Goyal, V. K. (2009). Creditor rights, enforcement, and bank loans. The Journal of Finance, 64(2), 823-860.
Ball, R., Robin, A., & Wu, J. S. (2003). Incentives versus standards: properties of accounting income in four East Asian countries. Journal of Accounting and Economics, 36(1-3), 235-270.
Barry, C. B., & Brown, S. J. (1985). Differential information and security market equilibrium. Journal of Financial and Quantitative Analysis, 20(4), 407-422.
Berger, P. G., & Hann, R. (2003). The impact of SFAS No. 131 on information and monitoring. Journal of Accounting Research, 41(2), 163-223.
Beyer, A., Cohen, D. A., Lys, T. Z., & Walther, B. R. (2010). The financial reporting environment: Review of the recent literature. Journal of Accounting and Economics, 50(2-3), 296-343.
Bharath, S. T., Sunder, J., & Sunder, S. V. (2008). Accounting quality and debt contracting. The Accounting Review, 83(1), 1-28.
Bolton, P., & Scharfstein, D. S. (1996). Optimal debt structure and the number of creditors. Journal of Political Economy, 104(1), 1-25.
Botosan, C. A. (1997). Disclosure level and the cost of equity capital. The Accounting Review, 323-349.
Botosan, C. A., & Plumlee, M. A. (2002). A re‐examination of disclosure level and the expected cost of equity capital. Journal of Accounting Research, 40(1), 21-40.
Casey, R., Gao, F., Kirschenheiter, M., Li, S., & Pandit, S. (2018). Measuring Reporting Quality. Available at SSRN: https://ssrn.com/abstract=3126504
Chen, S., Miao, B., & Shevlin, T. (2015). A new measure of disclosure quality: The level of disaggregation of accounting data in annual reports. Journal of Accounting Research, 53(5), 1017-1054.
D’Souza, J., Ramesh, K., & Shen, M. (2010). Disclosure of GAAP line items in earnings announcements. Review of Accounting Studies, 15(1), 179-219.
Djankov, S., La Porta, R., Lopez-de-Silanes, F., & Shleifer, A. (2008). The law and economics of self-dealing. Journal of Financial Economics, 88(3), 430-465.
Djankov, S., La Porta, R., Lopez-de-Silanes, F., & Shleifer, A. (2003). Courts. The Quarterly Journal of Economics, 118(2), 453-517.
Ertimur, Y., Livnat, J., & Martikainen, M. (2003). Differential market reactions to revenue and expense surprises. Review of Accounting Studies, 8(2-3), 185-211.
Fairfield, P. M., Sweeney, R. J., & Yohn, T. L. (1996). Accounting classification and the predictive content of earnings. The Accounting Review, 337-355.
Fan, J. P., & Wong, T. J. (2002). Corporate ownership structure and the informativeness of accounting earnings in East Asia. Journal of Accounting and Economics, 33(3), 401-425.
FASB (Financial Accounting Standards Board). 2010. Staff Draft of an Exposure Draft on Financial Statement Presentation. Norwalk, CT: FASB.
Francis, J. R., Khurana, I. K., & Pereira, R. (2005). Disclosure incentives and effects on cost of capital around the world. The Accounting Review, 80(4), 1125-1162.
Gilson, S. C., John, K., & Lang, L. H. (1990). Troubled debt restructurings: An empirical study of private reorganization of firms in default. Journal of Financial Economics, 27(2), 315-353.
Graham, J. R., Li, S., & Qiu, J. (2008). Corporate misreporting and bank loan contracting. Journal of Financial Economics, 89(1), 44-61.
Healy, P. M., & Palepu, K. G. (2001). Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of Accounting and Economics, 31(1-3), 405-440.
Hirst, D. E., Koonce, L., & Venkataraman, S. (2007). How disaggregation enhances the credibility of management earnings forecasts. Journal of Accounting Research, 45(4), 811-837.
Jegadeesh, N., & Livnat, J. (2006). Revenue surprises and stock returns. Journal of Accounting and Economics, 41(1-2), 147-171.
Kim, J. B., Tsui, J. S., & Cheong, H. Y. (2011). The voluntary adoption of International Financial Reporting Standards and loan contracting around the world. Review of Accounting Studies, 16(4), 779-811.
La Porta, R., Lopez‐de‐Silanes, F., Shleifer, A., & Vishny, R. W. (1997). Legal determinants of external finance. The Journal of Finance, 52(3), 1131-1150.
Lansford, B., Lev, B., & Wu Tucker, J. (2013). Causes and consequences of disaggregating earnings guidance. Journal of Business Finance & Accounting, 40(1-2), 26-54.
Lee, S. W., & Mullineaux, D. J. (2004). Monitoring, financial distress, and the structure of commercial lending syndicates. Financial Management, 107-130.
Leuz, C., & Wysocki, P. D. (2016). The economics of disclosure and financial reporting regulation: Evidence and suggestions for future research. Journal of Accounting Research, 54(2), 525-622.
Lin, C., Ma, Y., Malatesta, P., & Xuan, Y. (2012). Corporate ownership structure and bank loan syndicate structure. Journal of Financial Economics, 104(1), 1-22.
Mazumdar, S. C., & Sengupta, P. (2005). Disclosure and the loan spread on private debt. Financial Analysts Journal, 61(3), 83-95.
Mian, A. (2006). Distance constraints: The limits of foreign lending in poor economies. The Journal of Finance, 61(3), 1465-1505.
Petersen, M. (2004). Information: Hard and Soft. Working paper. Northwestern University.
Porta, R. L., Lopez-de-Silanes, F., Shleifer, A., & Vishny, R. W. (1998). Law and finance. Journal of Political Economy, 106(6), 1113-1155.
Qian, J., & Strahan, P. E. (2007). How laws and institutions shape financial contracts: The case of bank loans. The Journal of Finance, 62(6), 2803-2834.
Schipper, K. (2007). Required disclosures in financial reports. The Accounting Review, 82(2), 301-326.
Sengupta, P. (1998). Corporate disclosure quality and the cost of debt. The Accounting Review, 459-474.
Stein, J. C. (2002). Information production and capital allocation: Decentralized versus hierarchical firms. The Journal of Finance, 57(5), 1891-1921
描述 碩士
國立政治大學
會計學系
106353006
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106353006
資料類型 thesis
dc.contributor.advisor 詹凌菁zh_TW
dc.contributor.author (Authors) 張翊毫zh_TW
dc.contributor.author (Authors) Jhang, Yi-Haoen_US
dc.creator (作者) 張翊毫zh_TW
dc.creator (作者) Jhang, Yi-Haoen_US
dc.date (日期) 2019en_US
dc.date.accessioned 1-Jul-2019 10:40:36 (UTC+8)-
dc.date.available 1-Jul-2019 10:40:36 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2019 10:40:36 (UTC+8)-
dc.identifier (Other Identifiers) G0106353006en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124100-
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) 106353006zh_TW
dc.description.abstract (摘要) 本研究探討借款公司的財務報表揭露品質與貸款合約條款間的關聯性。本研究採用Chen, Miao, and Shevlin (2015) 所構建用以衡量財務報表揭露品質指標(DQ)，發現銀行提供較高的借款利差以及較為嚴苛的非價格條款予DQ較低的借款公司。此外，在比較DQ在大陸法系以及普通法系國家的效果差異後，本研究發現在採用大陸法系的國家中，財務報表分解程度較低的借款公司承受較高的借款利差。在額外測試中，本研究發現當有外國銀行參貸時，財務報表分解程度較低的公司承受較高的借款利差、較小的借款金額、更短的到期日。此外，當借款予財務報表分解程度較低的公司時，聯貸結構中的參貸者數量會增加以減低自身風險。總結而言，本研究認為財務報表分解程度在銀行決定債務條款時能提供有價值的增額資訊。zh_TW
dc.description.abstract (摘要) In this paper, I examine whether and how a firm’s disclosure quality of financial statements is associated with the terms of loan contracts. Following the parsimonious disclosure quality measure (DQ) constructed by Chen, Miao, and Shevlin (2015) which captures the disaggregation level of accounting line items, I find that banks provide higher spreads and more stringent non-price terms to firms with lower DQ. Moreover, I examine the effect of DQ on legal traditions of common law and civil law, I find that firms providing less disaggregated financial statements receive unfavorable loan spreads in countries of civil law origins. Additional analyses reveal that borrowers with low DQ receive unfavorable loan spreads, smaller loan amounts, and shorter maturities when foreign banks are involved in lending. Besides, I find that the size of syndicate becomes larger when lending to borrowers with lower DQ. To conclude, my findings suggest that the incremental information in DQ is valuable to banks in determining loan contract terms.en_US
dc.description.tableofcontents 1. Introduction 1
2. Literature review and hypothesis development 5
2.1. Measure of disclosure quality 5
2.2. Disclosure and loan contracting 6
2.3. Hypothesis development 7
2.3.1. The effect of DQ on the terms of loan contracts 7
2.3.2. The effect of DQ on loan contracts in East Asia 8
3. Research design 9
3.1. Regression Analyses 9
3.2. Sample 13
4. Empirical findings 16
4.1. Summary statistics and correlation analysis 16
4.2. Main analysis 20
4.2.1. The effect of DQ on loan spreads 20
4.2.2. The effect of DQ on non-price terms of loan contracts 21
4.2.3. Test of countries legal origins 24
4.3. Additional analyses 26
4.3.1. Subsample analyses based on foreign lender participation 26
4.3.2. Test of syndicated loan structure 30
5. Conclusion 34
References 36
Appendix A: Variable definition 39
Appendix B: An Example for Constructing Balance Sheet Disclosure Score 40		zh_TW
dc.format.extent 1450665 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106353006en_US
dc.subject (關鍵詞) 揭露品質zh_TW
dc.subject (關鍵詞) 會計資料之分解zh_TW
dc.subject (關鍵詞) 借款利差zh_TW
dc.subject (關鍵詞) 法律傳統zh_TW
dc.subject (關鍵詞) Disclosure qualityen_US
dc.subject (關鍵詞) Disaggregation of accounting dataen_US
dc.subject (關鍵詞) Loan spreaden_US
dc.subject (關鍵詞) Legal traditionen_US
dc.title (題名) 揭露品質與貸款訂約-來自東亞聯貸市場的證據zh_TW
dc.title (題名) Disclosure quality and loan contracting: Evidence from East Asian syndicated loan marketsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Asquith, P., Gertner, R., & Scharfstein, D. (1994). Anatomy of financial distress: An examination of junk-bond issuers. The Quarterly Journal of Economics, 109(3), 625-658.
Bae, K. H., & Goyal, V. K. (2009). Creditor rights, enforcement, and bank loans. The Journal of Finance, 64(2), 823-860.
Ball, R., Robin, A., & Wu, J. S. (2003). Incentives versus standards: properties of accounting income in four East Asian countries. Journal of Accounting and Economics, 36(1-3), 235-270.
Barry, C. B., & Brown, S. J. (1985). Differential information and security market equilibrium. Journal of Financial and Quantitative Analysis, 20(4), 407-422.
Berger, P. G., & Hann, R. (2003). The impact of SFAS No. 131 on information and monitoring. Journal of Accounting Research, 41(2), 163-223.
Beyer, A., Cohen, D. A., Lys, T. Z., & Walther, B. R. (2010). The financial reporting environment: Review of the recent literature. Journal of Accounting and Economics, 50(2-3), 296-343.
Bharath, S. T., Sunder, J., & Sunder, S. V. (2008). Accounting quality and debt contracting. The Accounting Review, 83(1), 1-28.
Bolton, P., & Scharfstein, D. S. (1996). Optimal debt structure and the number of creditors. Journal of Political Economy, 104(1), 1-25.
Botosan, C. A. (1997). Disclosure level and the cost of equity capital. The Accounting Review, 323-349.
Botosan, C. A., & Plumlee, M. A. (2002). A re‐examination of disclosure level and the expected cost of equity capital. Journal of Accounting Research, 40(1), 21-40.
Casey, R., Gao, F., Kirschenheiter, M., Li, S., & Pandit, S. (2018). Measuring Reporting Quality. Available at SSRN: https://ssrn.com/abstract=3126504
Chen, S., Miao, B., & Shevlin, T. (2015). A new measure of disclosure quality: The level of disaggregation of accounting data in annual reports. Journal of Accounting Research, 53(5), 1017-1054.
D’Souza, J., Ramesh, K., & Shen, M. (2010). Disclosure of GAAP line items in earnings announcements. Review of Accounting Studies, 15(1), 179-219.
Djankov, S., La Porta, R., Lopez-de-Silanes, F., & Shleifer, A. (2008). The law and economics of self-dealing. Journal of Financial Economics, 88(3), 430-465.
Djankov, S., La Porta, R., Lopez-de-Silanes, F., & Shleifer, A. (2003). Courts. The Quarterly Journal of Economics, 118(2), 453-517.
Ertimur, Y., Livnat, J., & Martikainen, M. (2003). Differential market reactions to revenue and expense surprises. Review of Accounting Studies, 8(2-3), 185-211.
Fairfield, P. M., Sweeney, R. J., & Yohn, T. L. (1996). Accounting classification and the predictive content of earnings. The Accounting Review, 337-355.
Fan, J. P., & Wong, T. J. (2002). Corporate ownership structure and the informativeness of accounting earnings in East Asia. Journal of Accounting and Economics, 33(3), 401-425.
FASB (Financial Accounting Standards Board). 2010. Staff Draft of an Exposure Draft on Financial Statement Presentation. Norwalk, CT: FASB.
Francis, J. R., Khurana, I. K., & Pereira, R. (2005). Disclosure incentives and effects on cost of capital around the world. The Accounting Review, 80(4), 1125-1162.
Gilson, S. C., John, K., & Lang, L. H. (1990). Troubled debt restructurings: An empirical study of private reorganization of firms in default. Journal of Financial Economics, 27(2), 315-353.
Graham, J. R., Li, S., & Qiu, J. (2008). Corporate misreporting and bank loan contracting. Journal of Financial Economics, 89(1), 44-61.
Healy, P. M., & Palepu, K. G. (2001). Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of Accounting and Economics, 31(1-3), 405-440.
Hirst, D. E., Koonce, L., & Venkataraman, S. (2007). How disaggregation enhances the credibility of management earnings forecasts. Journal of Accounting Research, 45(4), 811-837.
Jegadeesh, N., & Livnat, J. (2006). Revenue surprises and stock returns. Journal of Accounting and Economics, 41(1-2), 147-171.
Kim, J. B., Tsui, J. S., & Cheong, H. Y. (2011). The voluntary adoption of International Financial Reporting Standards and loan contracting around the world. Review of Accounting Studies, 16(4), 779-811.
La Porta, R., Lopez‐de‐Silanes, F., Shleifer, A., & Vishny, R. W. (1997). Legal determinants of external finance. The Journal of Finance, 52(3), 1131-1150.
Lansford, B., Lev, B., & Wu Tucker, J. (2013). Causes and consequences of disaggregating earnings guidance. Journal of Business Finance & Accounting, 40(1-2), 26-54.
Lee, S. W., & Mullineaux, D. J. (2004). Monitoring, financial distress, and the structure of commercial lending syndicates. Financial Management, 107-130.
Leuz, C., & Wysocki, P. D. (2016). The economics of disclosure and financial reporting regulation: Evidence and suggestions for future research. Journal of Accounting Research, 54(2), 525-622.
Lin, C., Ma, Y., Malatesta, P., & Xuan, Y. (2012). Corporate ownership structure and bank loan syndicate structure. Journal of Financial Economics, 104(1), 1-22.
Mazumdar, S. C., & Sengupta, P. (2005). Disclosure and the loan spread on private debt. Financial Analysts Journal, 61(3), 83-95.
Mian, A. (2006). Distance constraints: The limits of foreign lending in poor economies. The Journal of Finance, 61(3), 1465-1505.
Petersen, M. (2004). Information: Hard and Soft. Working paper. Northwestern University.
Porta, R. L., Lopez-de-Silanes, F., Shleifer, A., & Vishny, R. W. (1998). Law and finance. Journal of Political Economy, 106(6), 1113-1155.
Qian, J., & Strahan, P. E. (2007). How laws and institutions shape financial contracts: The case of bank loans. The Journal of Finance, 62(6), 2803-2834.
Schipper, K. (2007). Required disclosures in financial reports. The Accounting Review, 82(2), 301-326.
Sengupta, P. (1998). Corporate disclosure quality and the cost of debt. The Accounting Review, 459-474.
Stein, J. C. (2002). Information production and capital allocation: Decentralized versus hierarchical firms. The Journal of Finance, 57(5), 1891-1921		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU201900089en_US