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題名 影響聯貸案超額認購之因素
The Determinants of Oversubscription in Syndicated Loans作者 馬唯瑄
Ma, Wei-Hsuan貢獻者 張元晨
Chang, Yuan-Chen
馬唯瑄
Ma, Wei-Hsuan關鍵詞 聯合貸款
超額認購
借款成本
財務特性
市場供需
Syndicated loans
Oversubscription
Cost of borrowing
Financial Characteristics
Market supply and demand日期 2019 上傳時間 7-Aug-2019 16:05:41 (UTC+8) 摘要 近年來國際聯合貸款市場已成為最大且最具彈性的國際資金市場之一，聯貸案中發生超額認購的情形也愈來愈普遍。本研究使用LPC Dealscan、Compustat、以及CRSP資料庫，探討影響聯貸案是否超額認購的可能因子。實證結果顯示，聯貸案之整體借款成本(Total Cost of Borrowing, TCB)愈大，超額認購可能性愈大; 聯貸發行所耗費時間(Time on the Market, TOM)愈長，愈容易超額認購; 貸款金額愈龐大、借款公司的資產及現金愈多，均會提升超額認購的機率; 而聯貸案中主貸銀行之聲譽愈高，超額認購可能性愈低; 最後，為衡量市場供需情形的影響，以市場上發行聯貸案之公司股價報酬作為市場需求面的替代變數，發行之聯貸案數量代表供給面的替代變數，結果顯示發行之聯貸案數量與超額認購呈顯著正相關，當時市場上發行的聯貸案數量愈多，則愈有可能有超額認購。
In recent years, the global syndicated loan market has become one of the largest and the most flexible international capital markets, and the case of oversubscription has become more common. This paper explores possible factors that affect the oversubscription of syndicated loans through the use of LPC Dealscan, the Compustat, and the CRSP databases. The empirical results show that the larger the total cost of borrowing (TCB), the greater the possibility of oversubscription. As for time-on-the-market (TOM), the longer the TOM takes, the easier the syndication can be oversubscribed. Furthermore, if the loan size, the asset of the borrowers, and the cash of the borrowers are large, the probability of oversubscription will increase. In contrast, loans syndicated by high reputation lead banks are associated with more oversubscriptions. Finally, in order to measure the impact of the market supply and demand, the stock return of the companies that issued loans is taken as the market demand side proxy, and the number of the joint loans issued represents the supply side proxy. The results indicate that the number of syndicated loan is positively correlated with oversubscription. If the number of syndicated loan issued at that time is larger, it is more likely to be oversubscribed.參考文獻 中文參考文獻蔡依純, 2010. 銀行團認購行為偏好探討–以國際聯貸市場為例, 未出版之碩士論文, 政治大學財務管理研究所盧怡寧, 2011. 超額認購後公司資金後續運用之研究, 未出版之碩士論文, 政治大學財務管理研究所英文參考文獻Baker, M.P., Wurgler, J., 2000. The equity share in new issues and aggregate stock returns. J. Finance 55, 2219–2257.Baker, M.P., Wurgler, J., 2006. Investor sentiment and the cross-section of stock returns. J. Finance 61, 1645–1680.Bayley, L., Lee, P.J., Walter, T.S., 2006. IPO flipping in Australia: cross-sectional explanations. Pacific-Basin Finance J. 14, 327–348.Beatty, R.P. and Ritter, J.R., 1986. Investment banking, reputation, and the underpricing of initial public offerings. Journal of Financial Economics, Vol. 15, pp. 213-32.Benveniste, L.M., Busaba, W.Y., 1997. Bookbuilding vs. fixed price: an analysis of competing strategies for marketing IPOs. J. Finan.Quant. Anal. 32, 383–403.Berg, T., A. Saunders, and S. Steffen., 2016. The total cost of corporate borrowing in the loan market: Don’t ignore the fees. Journal of Finance 71:1357–92.Billett, M., R. Elkamhi, L. Popov and R. Pungaliya, 2014. Bank skin in the game and loan contract design: Evidence from covenant‐lite loans. Journal of Financial and Quantitative Finance Vol. 51, No. 3, June 2016, pp. 839–873Cheng, L.T.W., Chan, K.C., Mak, B.S.C., 2005. Strategic share allocation and underpricings of IPOs in Hong Kong. International Business Review 14, 41–59.Guo, H., Brooks, R., 2009. Duration of IPOs between offering and listing: Cox proportional hazard models — evidence for Chinese A-share IPOs. Int. Rev. Finan. Anal. 18, 239–249.Ibbotson, R.G., Jaffe, J.F., 1975. Hot issue markets. J. Finance 30, 1027–1042.IVASHINA, V., AND Z. SUN., 2011. Institutional Demand Pressure and the Cost of Corporate Loans. Journal of Financial Economics 99, 500–522.Kenourgios, D. F., 2007. Initial performance of Greek IPOs, underwriter`s reputation and oversubscription, Managerial Finance, 33(5), 332–343.Low, S. W., & Yong, O., 2011. Explaining over-subscription in fixed-price IPOs:evidence from the Malaysian stock market. Emerging Market Reviews, 12, 205–216.Ross, D., 2010. The “dominant bank effect:” How high lender reputation affects the information content and terms of bank loans. Review of Financial Studies 23:1–27.Tajuddin, A. H., Abdullah, N. A. H., & Taufil-Mohd, K. N., 2016. Does Growth Opportunity Matter in Explaining the Oversubscription Phenomena of Malaysian IPO? Procedia-Social and Behavioral Sciences, 219, 748-754.Welch, I., 1992. Sequential sales, learning and cascades. J. Finance 47, 695–732. 描述 碩士
國立政治大學
財務管理學系
1063570091資料來源 http://thesis.lib.nccu.edu.tw/record/#G1063570091 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.advisor Chang, Yuan-Chen en_US dc.contributor.author (Authors) 馬唯瑄 zh_TW dc.contributor.author (Authors) Ma, Wei-Hsuan en_US dc.creator (作者) 馬唯瑄 zh_TW dc.creator (作者) Ma, Wei-Hsuan en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:05:41 (UTC+8) - dc.date.available 7-Aug-2019 16:05:41 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:05:41 (UTC+8) - dc.identifier (Other Identifiers) G1063570091 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124703 - 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) 1063570091 zh_TW dc.description.abstract (摘要) 近年來國際聯合貸款市場已成為最大且最具彈性的國際資金市場之一，聯貸案中發生超額認購的情形也愈來愈普遍。本研究使用LPC Dealscan、Compustat、以及CRSP資料庫，探討影響聯貸案是否超額認購的可能因子。實證結果顯示，聯貸案之整體借款成本(Total Cost of Borrowing, TCB)愈大，超額認購可能性愈大; 聯貸發行所耗費時間(Time on the Market, TOM)愈長，愈容易超額認購; 貸款金額愈龐大、借款公司的資產及現金愈多，均會提升超額認購的機率; 而聯貸案中主貸銀行之聲譽愈高，超額認購可能性愈低; 最後，為衡量市場供需情形的影響，以市場上發行聯貸案之公司股價報酬作為市場需求面的替代變數，發行之聯貸案數量代表供給面的替代變數，結果顯示發行之聯貸案數量與超額認購呈顯著正相關，當時市場上發行的聯貸案數量愈多，則愈有可能有超額認購。 zh_TW dc.description.abstract (摘要) In recent years, the global syndicated loan market has become one of the largest and the most flexible international capital markets, and the case of oversubscription has become more common. This paper explores possible factors that affect the oversubscription of syndicated loans through the use of LPC Dealscan, the Compustat, and the CRSP databases. The empirical results show that the larger the total cost of borrowing (TCB), the greater the possibility of oversubscription. As for time-on-the-market (TOM), the longer the TOM takes, the easier the syndication can be oversubscribed. Furthermore, if the loan size, the asset of the borrowers, and the cash of the borrowers are large, the probability of oversubscription will increase. In contrast, loans syndicated by high reputation lead banks are associated with more oversubscriptions. Finally, in order to measure the impact of the market supply and demand, the stock return of the companies that issued loans is taken as the market demand side proxy, and the number of the joint loans issued represents the supply side proxy. The results indicate that the number of syndicated loan is positively correlated with oversubscription. If the number of syndicated loan issued at that time is larger, it is more likely to be oversubscribed. en_US dc.description.tableofcontents 摘要 IAbstract II目錄 III表次 IV圖次 V第一章 緒論 1第一節 研究背景與動機 1第二節 研究架構 3第二章、文獻回顧 4第三章、研究方法 7第一節 資料來源與資料庫的合併 7第二節 樣本定義與樣本蒐集 7第三節 模型建立 8第四節 研究假說 9第四章、實證結果 10第一節 樣本敘述統計 10第二節 實證研究之闡述 15第五章、結論與後續研究 25第一節 結論 25第二節 研究限制與後續研究建議 26中文參考文獻 28英文參考文獻 29附錄 31 zh_TW dc.format.extent 954742 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1063570091 en_US dc.subject (關鍵詞) 聯合貸款 zh_TW dc.subject (關鍵詞) 超額認購 zh_TW dc.subject (關鍵詞) 借款成本 zh_TW dc.subject (關鍵詞) 財務特性 zh_TW dc.subject (關鍵詞) 市場供需 zh_TW dc.subject (關鍵詞) Syndicated loans en_US dc.subject (關鍵詞) Oversubscription en_US dc.subject (關鍵詞) Cost of borrowing en_US dc.subject (關鍵詞) Financial Characteristics en_US dc.subject (關鍵詞) Market supply and demand en_US dc.title (題名) 影響聯貸案超額認購之因素 zh_TW dc.title (題名) The Determinants of Oversubscription in Syndicated Loans en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文參考文獻蔡依純, 2010. 銀行團認購行為偏好探討–以國際聯貸市場為例, 未出版之碩士論文, 政治大學財務管理研究所盧怡寧, 2011. 超額認購後公司資金後續運用之研究, 未出版之碩士論文, 政治大學財務管理研究所英文參考文獻Baker, M.P., Wurgler, J., 2000. The equity share in new issues and aggregate stock returns. J. Finance 55, 2219–2257.Baker, M.P., Wurgler, J., 2006. Investor sentiment and the cross-section of stock returns. J. Finance 61, 1645–1680.Bayley, L., Lee, P.J., Walter, T.S., 2006. IPO flipping in Australia: cross-sectional explanations. Pacific-Basin Finance J. 14, 327–348.Beatty, R.P. and Ritter, J.R., 1986. Investment banking, reputation, and the underpricing of initial public offerings. Journal of Financial Economics, Vol. 15, pp. 213-32.Benveniste, L.M., Busaba, W.Y., 1997. Bookbuilding vs. fixed price: an analysis of competing strategies for marketing IPOs. J. Finan.Quant. Anal. 32, 383–403.Berg, T., A. Saunders, and S. Steffen., 2016. The total cost of corporate borrowing in the loan market: Don’t ignore the fees. Journal of Finance 71:1357–92.Billett, M., R. Elkamhi, L. Popov and R. Pungaliya, 2014. Bank skin in the game and loan contract design: Evidence from covenant‐lite loans. Journal of Financial and Quantitative Finance Vol. 51, No. 3, June 2016, pp. 839–873Cheng, L.T.W., Chan, K.C., Mak, B.S.C., 2005. Strategic share allocation and underpricings of IPOs in Hong Kong. International Business Review 14, 41–59.Guo, H., Brooks, R., 2009. Duration of IPOs between offering and listing: Cox proportional hazard models — evidence for Chinese A-share IPOs. Int. Rev. Finan. Anal. 18, 239–249.Ibbotson, R.G., Jaffe, J.F., 1975. Hot issue markets. J. Finance 30, 1027–1042.IVASHINA, V., AND Z. SUN., 2011. Institutional Demand Pressure and the Cost of Corporate Loans. Journal of Financial Economics 99, 500–522.Kenourgios, D. F., 2007. Initial performance of Greek IPOs, underwriter`s reputation and oversubscription, Managerial Finance, 33(5), 332–343.Low, S. W., & Yong, O., 2011. Explaining over-subscription in fixed-price IPOs:evidence from the Malaysian stock market. Emerging Market Reviews, 12, 205–216.Ross, D., 2010. The “dominant bank effect:” How high lender reputation affects the information content and terms of bank loans. Review of Financial Studies 23:1–27.Tajuddin, A. H., Abdullah, N. A. H., & Taufil-Mohd, K. N., 2016. Does Growth Opportunity Matter in Explaining the Oversubscription Phenomena of Malaysian IPO? Procedia-Social and Behavioral Sciences, 219, 748-754.Welch, I., 1992. Sequential sales, learning and cascades. J. Finance 47, 695–732. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900175 en_US
