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題名 公司取得銀行聯貸是否是一項特殊資訊？ 以美國公司在證券管理委員會的呈報樣本及日內交易資料為例
Are bank loans special? Evidence from SEC filings and US intraday data
作者 許玉美
Hsu, Yu Mei
貢獻者 張元晨
Chang, Yuan Chen
許玉美
Hsu, Yu Mei
關鍵詞 銀行聯貸
宣告
Bank loans
Announcements
日期 2013
上傳時間 10-Feb-2014 14:47:56 (UTC+8)
摘要 公司取得聯貸是否是一項特殊資訊？過去已經有許多文獻指出，銀行核定企業的聯合貸款對投資人來說是一項特殊資訊，因為當銀行借錢給公司之前，通常有實地查核的動作，一旦銀行核定該項貸款，則代表銀行認可借款公司的財務狀況，所以會對股市投資人產生認證效果，市場會將該訊息視為一項對公司股價有正面影響的訊息。但是晚近文獻出現不同的看法，有學者發現獲得銀行貸款的公司，除了長期經營績效並未表現較好之外，其短期宣告效果也有樣本選擇偏誤的問題。
本文嘗試利用較完整的公司獲得聯貸資金的樣本、以及較高頻率的股價資料，重新檢視公司取得聯貸是否是一項特殊資訊。在實證部份，採用較完整的公司獲得聯貸資金的樣本，此資料來自美國證券管理委員會EDGAR資料庫。本論文以該資料庫做為搜集聯貸宣告的樣本，可以避免樣本選擇偏誤的問題。實證結果發現聯貸宣告時，並沒有產生顯著正向的股價報酬，本論文也發現美國公司近年來有逐漸將聯貸訊息轉移到盤後再宣告的趨勢，因此本論文再將聯貸案宣告的資料，分成交易時間和非交易時間加以分析，而實證結果顯示，不論於交易時間或非交易時間出現的聯貸宣告，其公司股價均沒有顯著的異常報酬，而且很多公司甚至有負報酬的現象。最後，本論文進一步使用高頻率的日內資料來分析，公司取得聯貸是否是一項特殊資訊。而實證結果發現，雖然在銀行核定公司聯貸的前後，該公司股價的日內報酬率為正值，但是在統計上並不顯著。因此基於以上的實證結果，本論文的結論為：銀行核定企業聯合貸款並不具有認證效果，因此並不是一項特殊的資訊。
參考文獻 1. Asquith, P. and Mullins, D., 1986. Equity issues and offering dilution, Journal of Financial Economics, 15, 61-89.
2. Bagnoli, M., Clement, M., and Watts, S., 2006, Around the clock media coverage and the timing of earnings announcements, University of Austin working paper.
3. Barclay, M. J., and Dunbar, C. G., 1996. Private information and the costs of trading around quarterly earnings announcements, Financial Analysts Journal, 52, 75-84.
4. Barclay, M. J. and Hendershott, T., 2003. Price discovery and trading after hours, Review of Financial Studies, 16, 1041-1073.
5. Bauwens, L., Omrane, W. B., and Giot, P., 2005. News announcements, market activity and volatility in the euro/dollar foreign exchange market, Journal of International Monaey and Finance, 24, 1108-1125.
6. Berkman, H. and Truong, C., 2009. Event day 0? After-hours earnings announcement, Journal of Accounting Research, 47, 71-103.
7. Best, R. and Zhang, H., 1993. Alternative information sources and the information content of bank loans, Journal of Finance, 48, 1507-1522.
8. Billett, M. T., Flannery, M. J., and Garfinkel, J. A., 1995. The effect of lender identity on a borrowing firm’s equity return, Journal of Finance, 50, 699-718.
9. Billett, M. T., Flannery, M. J., and Garfinkel, J. A., 2006. Are bank loans special? Evidence on the post-announcement performance of bank borrowers, Journal of Financial and Quantitative Analysis, 41, 733-751.
10. Brown, S. J. and Warner, J. B., 1980. Measuring security price performance, Journal of Financial Economics, 8, 205-258.
11. Brown, S. J. and Warner, J. B., 1985. Using daily stock returns: The case of event studies, Journal of Financial Economics, 14, 3-31.
12. Carter, M. E. and Soo, B. S., 1999. The relevance of form 8-K reports, Journal of Accounting Research, 37, 119-132.
13. Dellavigna, S. and Pollet, J. M., 2009. Investor inattention and Friday earnings announcement, Journal of Finance, 64, 709-749.
14. Diamond, D. W., 1984. Financial intermediation and delegated monitoring, Review of Economic Studies, 51, 393-414.
15. Diamond, D. W., 1985. Optimal release of information by firms, Journal of Finance, 40, 1071-1094.
16. Diamond, D. W., 1991. Monitoring and reputation: The choice between bank loans and directly placed debt, Journal of Political Economy, 99, 689-721.
17. Diamond, D. W. and Verrecchia, R. E., 1991. Disclosure, liquidity, and the cost of capital, Journal of Finance, 46, 1325-1359.
18. Eckbo, B. E., 1986. Valuation effects of corporate debt offerings, Journal of Financial Economics, 15, 119-151.
19. Ederington, L. H. and Lee, J. H., 1993. How markets process information: news releases and volatility, Journal of Finance, 48, 1161-1191.
20. Fama, E. F., 1985. What’s different about banks, Journal of Monetary Economics, 15, 29-39.
21. Fama, E. F., Fisher, L., Jensen, M. C., and Roll, R., 1969. The Adjustment of stock prices to new information, International Economic Review, 10, 1-21.
22. Fama, E. F. and French, K. R., 2004. The Capital asset pricing model: Theory and evidence, Journal of Economic Perspectives, 18, 25-46.
23. Fama, E. F. and MacBeth, J. D., 1973. Risk, return, and equilibrium: Empirical tests, Journal of Political Economy, 81, 607-636.
24. Fields, L. P., Fraser, D. R., Berry, T. L., and Byers, S., 2006. Do bank loan relationships still matter? Journal of Money, Credit, and Banking, 38, 1195-1209.
25. Francis, J., Pagach, D. and Stephan, J., 1992. The stock market response to earnings announcements released during trading versus nontrading periods, Journal of Accounting Research, 30, 165-184.
26. Gonzalez, L., 2010. Bank loans and bubbles: how informative are the announcements? Working paper.
27. Graham, J. R., Koski, J. L., and Loewenstein, U., 1994. Information flow and liquidity around anticipated and unanticipated dividend announcements, Journal of Business, 67, 2301-2336.
28. Green, T. C., 2004. Economic news and the impact of trading on bond prices, Journal of Finance, 59, 1201-1233.
29. Greene, J. T. and Watts, S. G., 1996. Price discovery on the NYSE and the NASDAQ: the case of overnight and daytime news releases, Financial Management, 25, 19-42.
30. Griffin, P. A., 2003. Got information? Investor response to Form 10-K and Form 10-Q EDGAR filings, Review of Accounting Studies, 8, 433-460.
31. James, C., 1987. Some evidence on the Uniqueness of bank loans, Journal of Financial Economics, 19, 217-235.
32. Jiang, Cristine X., Likitapiwat, Tanakorn, and McInish, Thomas, H., 2013. Information content of earnings announcements: evidence from after-hours trading, Journal of Financial and Quantitative Analysis, 1-58.
33. Jung, K. Y., Kim, Y. C., and Stulz, R. M., 1996. Timing, investment opportunities, managerial discretion, and the security issue decision, Journal of Financial Economics, 42, 159-185.
34. Lee, C. M. C., Mucklow, B., and Ready, M. J., 1993. Spreads, depths, and the impact of earnings information: an intraday analysis, Review of Financial Studies, 6, 345-374.
35. Leland, H. E. and Pyle, D. H., 1977. Information asymmetries, financial structure and financial intermediation, Journal of Finance, 32, 371-387.
36. Lerman, A. and Livnat, J., 2010. The new Form 8-K disclosures, Review of Accounting Studies, 15, 752-778.
37. Li, E. X., Ramesh, K., and Shen, M., 2011. The role of newswires in screening and disseminating value-relevant information in periodic SEC reports, Accounting Review, 86, 669-701.
38. Lummer, S. L. and McConnell, J. J., 1989. Further evidence on the bank lending process and the capital market response to bank loan agreements, Journal of Financial Economics, 25, 99-122.
39. Maskara, P. K. and Mullineaux, D. J., 2011. Information asymmetry and self-selection bias in bank loan announcement studies, Journal of Financial Economics, 101, 684-694.
40. Michaely, R., Rubin, A., and Vedrashko, A., 2011. Corporate governance and the timing of earnings announcement, Working paper.
41. Mikkelson, W. and Partch, M., 1986. Valuation effects of security offerings and the issuance process, Journal of Financial Economics, 15, 31-60.
42. Morse, D., and Ushman, N., 1983. The effect of information announcements on the market structure, Accounting Review, 58, 247-258.
43. Nini, G., 2008. How non-banks increased the supply of bank loans: evidence from institutional term loans, Working paper.
44. Nini, G., Smith, D. C., and Sufi, A., 2009. Credit control rights and firm investment policy, Journal of Financial Economics, 92, 400-420.
45. Ng, J., Rusticus, T., and Verdi, R., 2008. Implications of transaction costs for the post-earnings-announcement drift, Journal of Accounting Research, 46 (3), 661-696.
46. Ongena, S., and Roscovan, V., 2009. Bank loan announcements and borrower stock returns. Does bank origin matter? Working paper.
47. Ross, D. G., 2010. The “Dominant bank effect: ” How high lender reputation affects the information content and terms of bank loans, Review of Financial Studies, 23, 2730-2756.
48. Schwartz, K. B. and Soo, B. S., 1996. Evidence of regulatory noncompliance with SEC disclosure rules on auditor changes, Accounting Review, 71, 555-572.
49. Securities and Exchange Commission (SEC), 2002. Financial reporting release nos. 33-8106; 34-46084: Proposed rule: Additional Form 8-K disclosure requirements and acceleration of filing date (June 17).
50. Securities and Exchange Commission (SEC), 2004. Financial reporting release nos. 33-8400; 34-49424: Final rule: Additional Form 8-K disclosure requirements and acceleration of filing date (August 23).
51. Skinner, D. J., 1993. Bid-ask spreads around earnings announcements: Evidence from the NASDAQ national market system, Working paper.
52. Slovin, M. B., Johnson, S.A., Glascock, J. L.,1992. Firm size and the information content of bank loan announcements, Journal of Banking and Finance, 16, 1057-1071.
53. Seppi, D. J., 1992. Block trading and information revelation around quarterly earnings announcements, Review of Financial Studies, 5, 281-305.
54. You, H. and Zhang, X., 2009. Financial reporting complexity and investor underreaction to 10-K information, Review of Accounting Studies, 14, 559-586.
描述 博士
國立政治大學
財務管理研究所
95357504
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095357504
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.advisor Chang, Yuan Chenen_US
dc.contributor.author (Authors) 許玉美zh_TW
dc.contributor.author (Authors) Hsu, Yu Meien_US
dc.creator (作者) 許玉美zh_TW
dc.creator (作者) Hsu, Yu Meien_US
dc.date (日期) 2013en_US
dc.date.accessioned 10-Feb-2014 14:47:56 (UTC+8)-
dc.date.available 10-Feb-2014 14:47:56 (UTC+8)-
dc.date.issued (上傳時間) 10-Feb-2014 14:47:56 (UTC+8)-
dc.identifier (Other Identifiers) G0095357504en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/63647-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 95357504zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 公司取得聯貸是否是一項特殊資訊？過去已經有許多文獻指出，銀行核定企業的聯合貸款對投資人來說是一項特殊資訊，因為當銀行借錢給公司之前，通常有實地查核的動作，一旦銀行核定該項貸款，則代表銀行認可借款公司的財務狀況，所以會對股市投資人產生認證效果，市場會將該訊息視為一項對公司股價有正面影響的訊息。但是晚近文獻出現不同的看法，有學者發現獲得銀行貸款的公司，除了長期經營績效並未表現較好之外，其短期宣告效果也有樣本選擇偏誤的問題。
本文嘗試利用較完整的公司獲得聯貸資金的樣本、以及較高頻率的股價資料，重新檢視公司取得聯貸是否是一項特殊資訊。在實證部份，採用較完整的公司獲得聯貸資金的樣本，此資料來自美國證券管理委員會EDGAR資料庫。本論文以該資料庫做為搜集聯貸宣告的樣本，可以避免樣本選擇偏誤的問題。實證結果發現聯貸宣告時，並沒有產生顯著正向的股價報酬，本論文也發現美國公司近年來有逐漸將聯貸訊息轉移到盤後再宣告的趨勢，因此本論文再將聯貸案宣告的資料，分成交易時間和非交易時間加以分析，而實證結果顯示，不論於交易時間或非交易時間出現的聯貸宣告，其公司股價均沒有顯著的異常報酬，而且很多公司甚至有負報酬的現象。最後，本論文進一步使用高頻率的日內資料來分析，公司取得聯貸是否是一項特殊資訊。而實證結果發現，雖然在銀行核定公司聯貸的前後，該公司股價的日內報酬率為正值，但是在統計上並不顯著。因此基於以上的實證結果，本論文的結論為：銀行核定企業聯合貸款並不具有認證效果，因此並不是一項特殊的資訊。		zh_TW
dc.description.tableofcontents 第一章 緒論: 公司取得銀行聯貸是否是一項特殊資訊? 以美國公司在證券管理委員會的呈報樣本及日內交易資料為例 1
第二章 聯貸宣告日資料分析 5
第一節 文獻回顧 5
第二節 資料來源與說明 8
第三節 假說設定與研究方法 10
第四節 實證結果 12
第三章 調整盤後聯貸宣告分析 22
第一節 文獻回顧 22
第二節 資料來源與說明 23
第三節 假說設定與研究方法 24
第四節 實證結果 26
第四章 聯貸宣告日內資料分析 43
第一節 文獻回顧 43
第二節 資料來源與說明 45
第三節 假說設定與研究方法 45
第四節 實證結果 47
第五章 結論和未來研究方向 106		zh_TW
dc.format.extent 7602779 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095357504en_US
dc.subject (關鍵詞) 銀行聯貸zh_TW
dc.subject (關鍵詞) 宣告zh_TW
dc.subject (關鍵詞) Bank loansen_US
dc.subject (關鍵詞) Announcementsen_US
dc.title (題名) 公司取得銀行聯貸是否是一項特殊資訊？ 以美國公司在證券管理委員會的呈報樣本及日內交易資料為例zh_TW
dc.title (題名) Are bank loans special? Evidence from SEC filings and US intraday dataen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. Asquith, P. and Mullins, D., 1986. Equity issues and offering dilution, Journal of Financial Economics, 15, 61-89.
2. Bagnoli, M., Clement, M., and Watts, S., 2006, Around the clock media coverage and the timing of earnings announcements, University of Austin working paper.
3. Barclay, M. J., and Dunbar, C. G., 1996. Private information and the costs of trading around quarterly earnings announcements, Financial Analysts Journal, 52, 75-84.
4. Barclay, M. J. and Hendershott, T., 2003. Price discovery and trading after hours, Review of Financial Studies, 16, 1041-1073.
5. Bauwens, L., Omrane, W. B., and Giot, P., 2005. News announcements, market activity and volatility in the euro/dollar foreign exchange market, Journal of International Monaey and Finance, 24, 1108-1125.
6. Berkman, H. and Truong, C., 2009. Event day 0? After-hours earnings announcement, Journal of Accounting Research, 47, 71-103.
7. Best, R. and Zhang, H., 1993. Alternative information sources and the information content of bank loans, Journal of Finance, 48, 1507-1522.
8. Billett, M. T., Flannery, M. J., and Garfinkel, J. A., 1995. The effect of lender identity on a borrowing firm’s equity return, Journal of Finance, 50, 699-718.
9. Billett, M. T., Flannery, M. J., and Garfinkel, J. A., 2006. Are bank loans special? Evidence on the post-announcement performance of bank borrowers, Journal of Financial and Quantitative Analysis, 41, 733-751.
10. Brown, S. J. and Warner, J. B., 1980. Measuring security price performance, Journal of Financial Economics, 8, 205-258.
11. Brown, S. J. and Warner, J. B., 1985. Using daily stock returns: The case of event studies, Journal of Financial Economics, 14, 3-31.
12. Carter, M. E. and Soo, B. S., 1999. The relevance of form 8-K reports, Journal of Accounting Research, 37, 119-132.
13. Dellavigna, S. and Pollet, J. M., 2009. Investor inattention and Friday earnings announcement, Journal of Finance, 64, 709-749.
14. Diamond, D. W., 1984. Financial intermediation and delegated monitoring, Review of Economic Studies, 51, 393-414.
15. Diamond, D. W., 1985. Optimal release of information by firms, Journal of Finance, 40, 1071-1094.
16. Diamond, D. W., 1991. Monitoring and reputation: The choice between bank loans and directly placed debt, Journal of Political Economy, 99, 689-721.
17. Diamond, D. W. and Verrecchia, R. E., 1991. Disclosure, liquidity, and the cost of capital, Journal of Finance, 46, 1325-1359.
18. Eckbo, B. E., 1986. Valuation effects of corporate debt offerings, Journal of Financial Economics, 15, 119-151.
19. Ederington, L. H. and Lee, J. H., 1993. How markets process information: news releases and volatility, Journal of Finance, 48, 1161-1191.
20. Fama, E. F., 1985. What’s different about banks, Journal of Monetary Economics, 15, 29-39.
21. Fama, E. F., Fisher, L., Jensen, M. C., and Roll, R., 1969. The Adjustment of stock prices to new information, International Economic Review, 10, 1-21.
22. Fama, E. F. and French, K. R., 2004. The Capital asset pricing model: Theory and evidence, Journal of Economic Perspectives, 18, 25-46.
23. Fama, E. F. and MacBeth, J. D., 1973. Risk, return, and equilibrium: Empirical tests, Journal of Political Economy, 81, 607-636.
24. Fields, L. P., Fraser, D. R., Berry, T. L., and Byers, S., 2006. Do bank loan relationships still matter? Journal of Money, Credit, and Banking, 38, 1195-1209.
25. Francis, J., Pagach, D. and Stephan, J., 1992. The stock market response to earnings announcements released during trading versus nontrading periods, Journal of Accounting Research, 30, 165-184.
26. Gonzalez, L., 2010. Bank loans and bubbles: how informative are the announcements? Working paper.
27. Graham, J. R., Koski, J. L., and Loewenstein, U., 1994. Information flow and liquidity around anticipated and unanticipated dividend announcements, Journal of Business, 67, 2301-2336.
28. Green, T. C., 2004. Economic news and the impact of trading on bond prices, Journal of Finance, 59, 1201-1233.
29. Greene, J. T. and Watts, S. G., 1996. Price discovery on the NYSE and the NASDAQ: the case of overnight and daytime news releases, Financial Management, 25, 19-42.
30. Griffin, P. A., 2003. Got information? Investor response to Form 10-K and Form 10-Q EDGAR filings, Review of Accounting Studies, 8, 433-460.
31. James, C., 1987. Some evidence on the Uniqueness of bank loans, Journal of Financial Economics, 19, 217-235.
32. Jiang, Cristine X., Likitapiwat, Tanakorn, and McInish, Thomas, H., 2013. Information content of earnings announcements: evidence from after-hours trading, Journal of Financial and Quantitative Analysis, 1-58.
33. Jung, K. Y., Kim, Y. C., and Stulz, R. M., 1996. Timing, investment opportunities, managerial discretion, and the security issue decision, Journal of Financial Economics, 42, 159-185.
34. Lee, C. M. C., Mucklow, B., and Ready, M. J., 1993. Spreads, depths, and the impact of earnings information: an intraday analysis, Review of Financial Studies, 6, 345-374.
35. Leland, H. E. and Pyle, D. H., 1977. Information asymmetries, financial structure and financial intermediation, Journal of Finance, 32, 371-387.
36. Lerman, A. and Livnat, J., 2010. The new Form 8-K disclosures, Review of Accounting Studies, 15, 752-778.
37. Li, E. X., Ramesh, K., and Shen, M., 2011. The role of newswires in screening and disseminating value-relevant information in periodic SEC reports, Accounting Review, 86, 669-701.
38. Lummer, S. L. and McConnell, J. J., 1989. Further evidence on the bank lending process and the capital market response to bank loan agreements, Journal of Financial Economics, 25, 99-122.
39. Maskara, P. K. and Mullineaux, D. J., 2011. Information asymmetry and self-selection bias in bank loan announcement studies, Journal of Financial Economics, 101, 684-694.
40. Michaely, R., Rubin, A., and Vedrashko, A., 2011. Corporate governance and the timing of earnings announcement, Working paper.
41. Mikkelson, W. and Partch, M., 1986. Valuation effects of security offerings and the issuance process, Journal of Financial Economics, 15, 31-60.
42. Morse, D., and Ushman, N., 1983. The effect of information announcements on the market structure, Accounting Review, 58, 247-258.
43. Nini, G., 2008. How non-banks increased the supply of bank loans: evidence from institutional term loans, Working paper.
44. Nini, G., Smith, D. C., and Sufi, A., 2009. Credit control rights and firm investment policy, Journal of Financial Economics, 92, 400-420.
45. Ng, J., Rusticus, T., and Verdi, R., 2008. Implications of transaction costs for the post-earnings-announcement drift, Journal of Accounting Research, 46 (3), 661-696.
46. Ongena, S., and Roscovan, V., 2009. Bank loan announcements and borrower stock returns. Does bank origin matter? Working paper.
47. Ross, D. G., 2010. The “Dominant bank effect: ” How high lender reputation affects the information content and terms of bank loans, Review of Financial Studies, 23, 2730-2756.
48. Schwartz, K. B. and Soo, B. S., 1996. Evidence of regulatory noncompliance with SEC disclosure rules on auditor changes, Accounting Review, 71, 555-572.
49. Securities and Exchange Commission (SEC), 2002. Financial reporting release nos. 33-8106; 34-46084: Proposed rule: Additional Form 8-K disclosure requirements and acceleration of filing date (June 17).
50. Securities and Exchange Commission (SEC), 2004. Financial reporting release nos. 33-8400; 34-49424: Final rule: Additional Form 8-K disclosure requirements and acceleration of filing date (August 23).
51. Skinner, D. J., 1993. Bid-ask spreads around earnings announcements: Evidence from the NASDAQ national market system, Working paper.
52. Slovin, M. B., Johnson, S.A., Glascock, J. L.,1992. Firm size and the information content of bank loan announcements, Journal of Banking and Finance, 16, 1057-1071.
53. Seppi, D. J., 1992. Block trading and information revelation around quarterly earnings announcements, Review of Financial Studies, 5, 281-305.
54. You, H. and Zhang, X., 2009. Financial reporting complexity and investor underreaction to 10-K information, Review of Accounting Studies, 14, 559-586.		zh_TW