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題名 破產公司回收率對其供應商借款條件之影響
The Impact of Bankrupt Firm’s Recovery Rate on Supplier’s Loan Condition作者 張廷安 貢獻者 張元晨
張廷安關鍵詞 回收率
供應鏈
破產
銀行貸款
Recovery rate
Supply chain
Bankruptcy
Bank loan日期 2019 上傳時間 7-Aug-2019 16:05:29 (UTC+8) 摘要 本文以1987~2013年間的美國公司為樣本，研究客戶公司破產後，供應商向銀行借款之利差(Loan Spread)是否發生顯著改變，以及研究客戶公司破產後的實際回收率(Recovery Rate)高低，是否對供應商向銀行貸款的利差有顯著影響。\n實證結果發現，在客戶公司破產發生後，供應商向銀行貸款的利率顯著上升，平均上升約17~18%，造成供應商債務資金成本上升，該結果與本文及現有文獻之假設相符。而本文的結果還發現，當客戶公司的實際破產回收率愈高，供應商向銀行貸款的利差也愈大，顯示銀行並未認為供應商之客戶公司之破產回收率愈高，能更大程度地彌補供應商之業務損失，而給予較低的貸款利率，該結果與本文假設不符。\n但在本文放寬了供應商借款事件年限及刪除缺漏值很多的自變數後，本文的迴歸樣本數大幅提升，迴歸結果為供應商在客戶公司破產後向銀行借款的利率相較破產前依然顯著上升。至於客戶公司的破產回收率高低則產生了與先前不同的結果，當客戶公司的破產回收率愈高，銀行給予供應商的貸款利差愈低，因為銀行認為客戶公司的破產回收率能成為其供應商的一部份還款來源，因此視供應商為還款風險較低之借款者，兩項結果皆符合本文之假設。
This study uses the US firms from 1987 to 2013 as a sample to examine whether the spread of bank loan increases significantly after the bankruptcy of the client firm, and whether the actual recovery rate of bankrupt client firm has a significant impact on the loan spread of supplier firm’s bank loan.\nThe empirical results show that after the bankruptcy of client firm, the loan spread of suppliers increased significantly by 17-18% on average, resulting in the increase of supplier firm’s cost of debt. This result is consistent with the assumption in this study and existing literature. We also find that the higher the recovery rate of the client firm, the larger the spread of supplier’s bank loan. This indicates that banks see that the higher recovery rate of bankruptcy client firm, to some extent, could not compensates for the loss of the supplier firm and give supplier firm a lower spread of bank loan. This result is inconsistent with the assumptions in this study.\nHowever, after we extended the period of suppliers borrowing and deleted variables with lots of missing values, the number of observations increased substantially. The result shows that after the bankruptcy of client firm, the loan spread of suppliers remain significantly higher after bankruptcy of client firm. As for the recovery rate, we find different results. When recovery rate of the client firm is higher, the lower the spread of supplier’s bank loan. This is because when the recovery rate of client is higher, the lower loan spread given by the bank to suppliers for the reason that recovery rate can be a way of repayments from suppliers, so banks consider suppliers as the borrower with low repayment risk. These results are consistent with our assumptions in this study.參考文獻 Ak, B.K., Patatoukas, P.N., 2015. Customer-base concentration and inventory efficiencies: evidence from the manufacturing sector. Production and Operations Management.\nAlmeida, H. and M. Campello, 2007. Financial Constraints, Asset Tangibility and Corporate Investment. Review of Financial Studies 20(5), 1429-1460.\nAltman, E. I., Brady, B., Resti, A., and Sironi, A. 2005. The link between default and recovery rates: Theory, empirical evidence, and implications. Journal of Business, 78, 2203–2227.\nBakshi, Gurdip and Dilip Madan 2006, A Theory of Volatility Spread. Working Paper, Robert H. Smith School of Business, University of Maryland.\nBalduzzi, P., E. Elton, and T. Green, 2001, Economic News and Bond Prices: Evidence from U.S. Treasury Market, forthcoming, Journal of Financial and Quantitative Analysis\nBharath, S. T., & Shumway, T. 2008. Forecasting default with the Merton distance to default model. Review of Financial Studies, 21, 1339–1369.\nCampello, M., Gao, J., 2017. Customer concentration and loan contract terms. Journal of Financial Economics, 123, 108–136.\nCampello, M., Lin, C., Ma, Y., Zou, H., 2011. The real and financial implications of corporate hedging. Journal of Finance 66, 1615-48.\nChang Y, Hsieh YT, Liu W, Miu P. 2019. Intra‐industry bankruptcy contagion: Evidence from the pricing of industry recovery rates. Eur Financ Manag. 2019; 1–32.\nCohen, L., Frazzini, A., 2008. Economic links and predictable returns. Journal of Finance 4, 1977–2011.\nElton, E., M. Gruber, D.. Agrawal, and C. Mann, 2001, Explaining the Rate Spreads on Corporate Bonds, Journal of Finance, 56, 247-277.\nGong, G., Luo,S., 2014. Supply chain lending and accounting conservatism. Working Paper, Pennsylvania State University and National University of Singapore.\nGraham, J., Li, S., Qiu, J., 2008. Corporate misreporting and bank loan contracting. Journal of Financial Economics 89, 44-61.\nHertzel, M., Li, Z., Officer, M., Rodgers, K., 2008. Inter-firm linkages and the wealth effects of financial distress along the supply chain. Journal of Financial Economics 87, 374-387.\nHertzel, M., Officer, M., 2012. Industry contagion in loan spreads. Journal of Financial Economics 103, 493-506\nHouston, J. F., Lin, C., Zhu, Z., 2016. The financial implications of supply chain changes. Manage Science 62, 2520–2542.\nHu, A., Jefferson, G., Qian, J., 2005. R&D and Technology Transfer: Firm Level Evidence from Chinese Industry. Review of Economics and Statistics, 87, 780-786.\nHull, J. C. 2012. Options, futures, and other derivatives (8th ed.). Upper Saddle River, NJ: Prentice Hall.\nJarrow, R.A., Yu, F., 2001. Counterparty risk and the pricing of defaultable securities. Journal of Finance 5, 1765–1799.\nKale, J., Shahrur, H., 2007. Corporate capital structure and the characteristics of suppliers and customers. Journal of Financial Economics 83, 321–365.\nKolay, M., M. Lemmon, and E. Tashjian, 2012, Spillover Effects in the Supply Chain: Evidence from Chapter 11 Filings, working paper The University of Utah.\nLang, L., Stulz, R., 1992. Contagion and competitive intra-industry effects of bankruptcy announcements. Journal of Financial Economics 32, 45–60.\nLiu, Wenchien, Peter Miu, Yuanchen Chang, and Bogie Ozdemir. 2012. Information Asymmetry and Bank Regulation: Can the Spread of Debt Contracts Be Explained by Recovery Rates? Journal of Financial Intermediation\nMerton, R., 1974. On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance 29, 449-470.\nOhlson, J.A., 1980. Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research 18, 109–131.\nOlsen, C., Dietrich, J.R., 1985. Vertical information transfers: the association between retailers’ sales announcements and suppliers’ security returns. Journal of Accounting Research 23, 144–166.\nPandit, S., Wasley, S., Zach, T., 2011. Information externalities along the supply chain: the economic determinants of suppliers’ stock price reaction to their major customers’ earnings announcements. Contemporary Accounting Research 28, 1304–1343.\nRaman, K., Shahrur, H., 2008. Relationship-specific investments and earnings management: evidence on corporate suppliers and customers. The Accounting Review 83, 1041–1081.\nReinartz, W., Krafft, M., & Hoyer, W. D. 2004. The customer relationship management process: Its measurement and impact on performance. Journal of Marketing Research, 41(3), 293–305.\nRoberts, M. R. 2015. The role of dynamic renegotiation and asymmetric information in financial contracting. Journal of Finance Economics, 116, 61–81.\nTitman, S., 1984. The elect of capital structure on a firm`s liquidation decision. Journal of Financial Economics 13, 137-151.\nTitman, S., Wessels, R., 1988. The determinants of capital structure. Journal of Finance 43, 1–40. 描述 碩士
國立政治大學
財務管理學系
105357021資料來源 http://thesis.lib.nccu.edu.tw/record/#G1053570211 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.author (Authors) 張廷安 zh_TW dc.creator (作者) 張廷安 zh_TW dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:05:29 (UTC+8) - dc.date.available 7-Aug-2019 16:05:29 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:05:29 (UTC+8) - dc.identifier (Other Identifiers) G1053570211 en_US dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=143164 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 105357021 zh_TW dc.description.abstract (摘要) 本文以1987~2013年間的美國公司為樣本，研究客戶公司破產後，供應商向銀行借款之利差(Loan Spread)是否發生顯著改變，以及研究客戶公司破產後的實際回收率(Recovery Rate)高低，是否對供應商向銀行貸款的利差有顯著影響。\n實證結果發現，在客戶公司破產發生後，供應商向銀行貸款的利率顯著上升，平均上升約17~18%，造成供應商債務資金成本上升，該結果與本文及現有文獻之假設相符。而本文的結果還發現，當客戶公司的實際破產回收率愈高，供應商向銀行貸款的利差也愈大，顯示銀行並未認為供應商之客戶公司之破產回收率愈高，能更大程度地彌補供應商之業務損失，而給予較低的貸款利率，該結果與本文假設不符。\n但在本文放寬了供應商借款事件年限及刪除缺漏值很多的自變數後，本文的迴歸樣本數大幅提升，迴歸結果為供應商在客戶公司破產後向銀行借款的利率相較破產前依然顯著上升。至於客戶公司的破產回收率高低則產生了與先前不同的結果，當客戶公司的破產回收率愈高，銀行給予供應商的貸款利差愈低，因為銀行認為客戶公司的破產回收率能成為其供應商的一部份還款來源，因此視供應商為還款風險較低之借款者，兩項結果皆符合本文之假設。 zh_TW dc.description.abstract (摘要) This study uses the US firms from 1987 to 2013 as a sample to examine whether the spread of bank loan increases significantly after the bankruptcy of the client firm, and whether the actual recovery rate of bankrupt client firm has a significant impact on the loan spread of supplier firm’s bank loan.\nThe empirical results show that after the bankruptcy of client firm, the loan spread of suppliers increased significantly by 17-18% on average, resulting in the increase of supplier firm’s cost of debt. This result is consistent with the assumption in this study and existing literature. We also find that the higher the recovery rate of the client firm, the larger the spread of supplier’s bank loan. This indicates that banks see that the higher recovery rate of bankruptcy client firm, to some extent, could not compensates for the loss of the supplier firm and give supplier firm a lower spread of bank loan. This result is inconsistent with the assumptions in this study.\nHowever, after we extended the period of suppliers borrowing and deleted variables with lots of missing values, the number of observations increased substantially. The result shows that after the bankruptcy of client firm, the loan spread of suppliers remain significantly higher after bankruptcy of client firm. As for the recovery rate, we find different results. When recovery rate of the client firm is higher, the lower the spread of supplier’s bank loan. This is because when the recovery rate of client is higher, the lower loan spread given by the bank to suppliers for the reason that recovery rate can be a way of repayments from suppliers, so banks consider suppliers as the borrower with low repayment risk. These results are consistent with our assumptions in this study. en_US dc.description.tableofcontents 第一章 緒論 6\n第一節 研究背景及動機 6\n第二節 研究架構 8\n第二章 文獻回顧及假設建立 9\n第一節 文獻回顧 9\n第二節 假設建立 12\n第三章 研究方法 13\n第一節 樣本及資料來源 13\n第二節 模型設計 15\n第四章 實證結果 18\n第一節 樣本敘述統計及t檢定 18\n第二節 客戶公司破產對供應商借款條件影響 21\n第三節 客戶公司之破產回收率對供應商借款條件影響 24\n第四節 放寬樣本篩選限制檢測迴歸結果 32\n第五章 研究結論、研究限制及後續建議 39\n第一節 研究結論 39\n第二節 研究限制及後續建議 40\n參考文獻 41 zh_TW dc.format.extent 1196363 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1053570211 en_US dc.subject (關鍵詞) 回收率 zh_TW dc.subject (關鍵詞) 供應鏈 zh_TW dc.subject (關鍵詞) 破產 zh_TW dc.subject (關鍵詞) 銀行貸款 zh_TW dc.subject (關鍵詞) Recovery rate en_US dc.subject (關鍵詞) Supply chain en_US dc.subject (關鍵詞) Bankruptcy en_US dc.subject (關鍵詞) Bank loan en_US dc.title (題名) 破產公司回收率對其供應商借款條件之影響 zh_TW dc.title (題名) The Impact of Bankrupt Firm’s Recovery Rate on Supplier’s Loan Condition en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ak, B.K., Patatoukas, P.N., 2015. Customer-base concentration and inventory efficiencies: evidence from the manufacturing sector. Production and Operations Management.\nAlmeida, H. and M. Campello, 2007. Financial Constraints, Asset Tangibility and Corporate Investment. Review of Financial Studies 20(5), 1429-1460.\nAltman, E. I., Brady, B., Resti, A., and Sironi, A. 2005. The link between default and recovery rates: Theory, empirical evidence, and implications. Journal of Business, 78, 2203–2227.\nBakshi, Gurdip and Dilip Madan 2006, A Theory of Volatility Spread. Working Paper, Robert H. Smith School of Business, University of Maryland.\nBalduzzi, P., E. Elton, and T. Green, 2001, Economic News and Bond Prices: Evidence from U.S. Treasury Market, forthcoming, Journal of Financial and Quantitative Analysis\nBharath, S. T., & Shumway, T. 2008. Forecasting default with the Merton distance to default model. Review of Financial Studies, 21, 1339–1369.\nCampello, M., Gao, J., 2017. Customer concentration and loan contract terms. Journal of Financial Economics, 123, 108–136.\nCampello, M., Lin, C., Ma, Y., Zou, H., 2011. The real and financial implications of corporate hedging. Journal of Finance 66, 1615-48.\nChang Y, Hsieh YT, Liu W, Miu P. 2019. Intra‐industry bankruptcy contagion: Evidence from the pricing of industry recovery rates. Eur Financ Manag. 2019; 1–32.\nCohen, L., Frazzini, A., 2008. Economic links and predictable returns. Journal of Finance 4, 1977–2011.\nElton, E., M. Gruber, D.. Agrawal, and C. Mann, 2001, Explaining the Rate Spreads on Corporate Bonds, Journal of Finance, 56, 247-277.\nGong, G., Luo,S., 2014. Supply chain lending and accounting conservatism. Working Paper, Pennsylvania State University and National University of Singapore.\nGraham, J., Li, S., Qiu, J., 2008. Corporate misreporting and bank loan contracting. Journal of Financial Economics 89, 44-61.\nHertzel, M., Li, Z., Officer, M., Rodgers, K., 2008. Inter-firm linkages and the wealth effects of financial distress along the supply chain. Journal of Financial Economics 87, 374-387.\nHertzel, M., Officer, M., 2012. Industry contagion in loan spreads. Journal of Financial Economics 103, 493-506\nHouston, J. F., Lin, C., Zhu, Z., 2016. The financial implications of supply chain changes. Manage Science 62, 2520–2542.\nHu, A., Jefferson, G., Qian, J., 2005. R&D and Technology Transfer: Firm Level Evidence from Chinese Industry. Review of Economics and Statistics, 87, 780-786.\nHull, J. C. 2012. Options, futures, and other derivatives (8th ed.). Upper Saddle River, NJ: Prentice Hall.\nJarrow, R.A., Yu, F., 2001. Counterparty risk and the pricing of defaultable securities. Journal of Finance 5, 1765–1799.\nKale, J., Shahrur, H., 2007. Corporate capital structure and the characteristics of suppliers and customers. Journal of Financial Economics 83, 321–365.\nKolay, M., M. Lemmon, and E. Tashjian, 2012, Spillover Effects in the Supply Chain: Evidence from Chapter 11 Filings, working paper The University of Utah.\nLang, L., Stulz, R., 1992. Contagion and competitive intra-industry effects of bankruptcy announcements. Journal of Financial Economics 32, 45–60.\nLiu, Wenchien, Peter Miu, Yuanchen Chang, and Bogie Ozdemir. 2012. Information Asymmetry and Bank Regulation: Can the Spread of Debt Contracts Be Explained by Recovery Rates? Journal of Financial Intermediation\nMerton, R., 1974. On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance 29, 449-470.\nOhlson, J.A., 1980. Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research 18, 109–131.\nOlsen, C., Dietrich, J.R., 1985. Vertical information transfers: the association between retailers’ sales announcements and suppliers’ security returns. Journal of Accounting Research 23, 144–166.\nPandit, S., Wasley, S., Zach, T., 2011. Information externalities along the supply chain: the economic determinants of suppliers’ stock price reaction to their major customers’ earnings announcements. Contemporary Accounting Research 28, 1304–1343.\nRaman, K., Shahrur, H., 2008. Relationship-specific investments and earnings management: evidence on corporate suppliers and customers. The Accounting Review 83, 1041–1081.\nReinartz, W., Krafft, M., & Hoyer, W. D. 2004. The customer relationship management process: Its measurement and impact on performance. Journal of Marketing Research, 41(3), 293–305.\nRoberts, M. R. 2015. The role of dynamic renegotiation and asymmetric information in financial contracting. Journal of Finance Economics, 116, 61–81.\nTitman, S., 1984. The elect of capital structure on a firm`s liquidation decision. Journal of Financial Economics 13, 137-151.\nTitman, S., Wessels, R., 1988. The determinants of capital structure. Journal of Finance 43, 1–40. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900171 en_US
