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題名 台灣上市櫃公司聯合貸款宣告效果、決策動機及其股價報酬之研究
Stock Returns, Announcement Effects and Motivations of Syndicated Loans: Evidence from Taiwan Listed Companies作者 何元瑜 貢獻者 屠美亞
何元瑜關鍵詞 聯合貸款
宣告效果
資訊不對稱
錯誤評價
成長機會
syndicated laon
announcement effects
information asymmetry
mispricing
growth opportunities日期 2015 上傳時間 14-Jul-2015 10:37:27 (UTC+8) 摘要 過去文獻多認為銀行因其特殊身分，具有解決資訊不對稱的能力和監督效果，本研究之目的為探討台灣上市櫃公司發行聯合貸款之宣告效果及其長期股價報酬績效並連結公司發行聯合貸款之決策動機。 研究樣本包含聯貸契約生效日介於1996年至2013年之台灣上市櫃公司，以事件研究法探討聯合貸款契約生效之宣告效果及不同資金用途之宣告效果，再以Rhodes-Kropf, Robinson and Viswanathan (2005)之市價淨值比拆解法拆解出市價淨值比中的錯誤評價和成長機會項目，觀察發行聯合貸款公司之特性；最後以Fama and French三因子模型衡量長期股價異常報酬。 實證結果發現，台灣上市櫃公司於聯貸契約生效日具有顯著正向異常報酬。以資金用途分類後發現，只有借新還舊和營運資金兩類用途具有正向宣告效果，資本支出類則無。拆解聯合貸款公司之市價淨值比發現，其具有較未發行聯合貸款公司的股價高估和成長機會較低的現象。最後檢驗聯合貸款公司之長期異常報酬，發現股價高估的投資組合具有顯著正向異常報酬，此現象可解釋為何公司會選擇於股價高估時辦理聯合貸款，因可解決資訊不對稱的問題而增加公司價值。也發現一些成長機會高的公司具有顯著正向異常報酬，代表成長機會高的公司若不怕財務彈性限制其成長機會，選擇以聯合貸款籌資，在銀行的監督之下，亦表現良好。綜合以上結果，聯合貸款於台灣為特殊的融資工具。 參考文獻 中文文獻 李正中 (2010) 上市櫃公司取得聯合貸款對股價報酬之影響，國立臺北大學國際財務金融碩士在職專班論文 林事達(2008) 台灣聯合貸款宣告對股價之影響~不同聯貸資金用途效果之探討，國立政治大學行政管理碩士學程碩士論文 陳朝鑫 (1996) 銀行團聯貸宣告對股東財富的影響-異質條件變異數分析法，國立政治大學企業管理學系碩士班論文 蔡欣貝 (2003) 台灣地區上市上櫃公司聯合貸款之實證研究，南台科技大學會計資訊系碩士班論文 鄭蕙嬋 (2011) 聯貸契約財務限制條款與企業的盈餘品質，國立政治大學財務管理研究所碩士班論文 賴玫樺 (2002) 銀行借貸宣告對企業股東長短期影響之研究，國立中山大學企業管理學系研究所碩士班論文 賴昱蓉 (2011) 銀行放款是否為特殊融資工具?以台灣聯合貸款為例，國立政治大學財務管理研究所碩士班論文 劉立文 (1996) 聯合貸款對股東財富影響之研究，國立交通大學科技管理研究所 劉炯桐 (2006) 上市上櫃公司銀行聯合貸款之宣告對股價的影響，國立高雄第一科技大學金融營運所碩士班論文 國外文獻 Aintablian, S., & Roberts, G. S. (2000). A note on market response to corporate loan announcements in Canada. Journal of Banking & Finance, 24(3), 381-393. Armitage, S. (1995). Banks` information about borrowers: the stock market response to syndicated loan announcements in the UK. Applied Financial Economics, 5(6), 449-459. Baker, M., & Wurgler, J. (2002). Market timing and capital structure. The journal of finance, 57(1), 1-32. Billett, M. T., Flannery, M. J., & Garfinkel, J. A. (2006). Are bank loans special? Evidence on the post-announcement performance of bank borrowers. Journal of Financial and Quantitative Analysis, 41(04), 733-751. Billett, M. T., KING, T. H. D., & Mauer, D. C. (2007). Growth opportunities and the choice of leverage, debt maturity, and covenants. The journal of finance, 62(2), 697-730. Bernanke, B. S. (1983). Non-monetary effects of the financial crisis in the propagation of the Great Depression: National Bureau of Economic Research. Berlin, M., & Loeys, J. (1988). Bond covenants and delegated monitoring. The journal of finance, 43(2), 397-412. CAMPBEL, T. S., & Kracaw, W. A. (1980). Information production, market signalling, and the theory of financial intermediation. The journal of finance, 35(4), 863-882. Chen, L., & Zhao, X. (2006b). On the relation between the market-to-book ratio, growth opportunity, and leverage ratio. Finance Research Letters, 3(4), 253-266. Cole, R. A. (1998). The importance of relationships to the availability of credit. Journal of Banking & Finance, 22(6), 959-977. Diamond, D. W. (1991). Monitoring and reputation: The choice between bank loans and directly placed debt. Journal of political Economy, 689-721. Eckbo, B. E. (1986). Valuation effects of corporate debt offerings. Journal of Financial economics, 15(1), 119-151. Fama, E. F. (1985). What`s different about banks? Journal of monetary economics, 15(1), 29-39. Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21. 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. Gul, F. A. (1999). Growth opportunities, capital structure and dividend policies in Japan. Journal of Corporate Finance, 5(2), 141-168. Harris, R. S., & Marston, F. C. (1994). Value versus growth stocks: Book-to-market, growth, and beta. Financial Analysts Journal, 50(5), 18-24. Hertzel, M. G., & Li, Z. (2010). Behavioral and rational explanations of stock price performance around SEOs: Evidence from a decomposition of market-to-book ratios. Journal of Financial and Quantitative Analysis, 45(4), 935-958 James, C. (1987). Some evidence on the uniqueness of bank loans. Journal of Financial economics, 19(2), 217-235. Jung, K., Kim, Y.-C., & Stulz, R. (1996). Timing, investment opportunities, managerial discretion, and the security issue decision. Journal of Financial economics, 42(2), 159-186. Korajczyk, R. A., Lucas, D. J., & McDonald, R. L. (1991). The effect of information releases on the pricing and timing of equity issues. Review of financial studies, 4(4), 685-708. Lang, L., Ofek, E., & Stulz, R. (1996). Leverage, investment, and firm growth. Journal of Financial economics, 40(1), 3-29. Lummer, S. L., & 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(1), 99-122. Mikkelson, W. H., & Partch, M. M. (1986). Valuation effects of security offerings and the issuance process. Journal of Financial economics, 15(1), 31-60. Modigliani, F., & Miller, M. H. (1963). Corporate income taxes and the cost of capital: a correction. The American economic review, 433-443. Myers, S. C. (1977). Determinants of corporate borrowing. Journal of Financial economics, 5(2), 147-175. Myers, S. C., & Majluf, N. S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial economics, 13(2), 187-221. Nakamura, L. I. (1989). Loan workouts and commercial bank information: Why banks are special. Working Papers from Federal Reserve Bank of Philadelphia Peterson, P. P. (1989). Event studies: A review of issues and methodology. Quarterly journal of business and economics, 36-66. Preece, D., & Mullineaux, D. J. (1996). Monitoring, loan renegotiability, and firm value: The role of lending syndicates. Journal of Banking & Finance, 20(3), 577-593. Rhodes–Kropf, M., Robinson, D. T., & Viswanathan, S. (2005). Valuation waves and merger activity: The empirical evidence. Journal of Financial economics, 77(3), 561-603. Ross, S. A. (1977). THE CAPITAL ASSET PRICING MODEL (CAPM), SHORT‐SALE RESTRICTIONS AND RELATED ISSUES. The journal of finance, 32(1), 177-183. Smith, C. W. (1986). Investment banking and the capital acquisition process. Journal of Financial economics, 15(1), 3-29. Taggart, R. A. (1977). A model of corporate financing decisions. The journal of finance, 32(5), 1467-1484. Ziebart, D. A. (1985). Control of beta reliability in studies of abnormal return magnitudes: A methodological note. Journal of Accounting Research, 920-926. 描述 碩士
國立政治大學
財務管理研究所
102357002
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102357002 資料類型 thesis dc.contributor.advisor 屠美亞 zh_TW dc.contributor.author (Authors) 何元瑜 zh_TW dc.creator (作者) 何元瑜 zh_TW dc.date (日期) 2015 en_US dc.date.accessioned 14-Jul-2015 10:37:27 (UTC+8) - dc.date.available 14-Jul-2015 10:37:27 (UTC+8) - dc.date.issued (上傳時間) 14-Jul-2015 10:37:27 (UTC+8) - dc.identifier (Other Identifiers) G0102357002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76584 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 102357002 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 過去文獻多認為銀行因其特殊身分，具有解決資訊不對稱的能力和監督效果，本研究之目的為探討台灣上市櫃公司發行聯合貸款之宣告效果及其長期股價報酬績效並連結公司發行聯合貸款之決策動機。 研究樣本包含聯貸契約生效日介於1996年至2013年之台灣上市櫃公司，以事件研究法探討聯合貸款契約生效之宣告效果及不同資金用途之宣告效果，再以Rhodes-Kropf, Robinson and Viswanathan (2005)之市價淨值比拆解法拆解出市價淨值比中的錯誤評價和成長機會項目，觀察發行聯合貸款公司之特性；最後以Fama and French三因子模型衡量長期股價異常報酬。 實證結果發現，台灣上市櫃公司於聯貸契約生效日具有顯著正向異常報酬。以資金用途分類後發現，只有借新還舊和營運資金兩類用途具有正向宣告效果，資本支出類則無。拆解聯合貸款公司之市價淨值比發現，其具有較未發行聯合貸款公司的股價高估和成長機會較低的現象。最後檢驗聯合貸款公司之長期異常報酬，發現股價高估的投資組合具有顯著正向異常報酬，此現象可解釋為何公司會選擇於股價高估時辦理聯合貸款，因可解決資訊不對稱的問題而增加公司價值。也發現一些成長機會高的公司具有顯著正向異常報酬，代表成長機會高的公司若不怕財務彈性限制其成長機會，選擇以聯合貸款籌資，在銀行的監督之下，亦表現良好。綜合以上結果，聯合貸款於台灣為特殊的融資工具。 zh_TW dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機與目的 3 第三節 研究架構 5 第二章 文獻探討 7 第一節 聯合貸款簡介 7 第二節 融資決策相關文獻回顧 10 第三節 銀行貸款宣告效果實證文獻回顧 13 第四節 銀行貸款公司之股票長期績效 16 第三章 研究方法 17 第一節 研究樣本與資料來源 17 第二節 研究假說 17 第三節 研究方法 20 第四章 實證結果 33 第一節 敘述統計 33 第二節 聯貸宣告效果之實證結果 37 第三節 以M/B衡量錯誤評價和成長機會 39 第四節 聯貸後長期股價報酬追蹤 48 第五章 結論與建議 57 參考文獻 61 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102357002 en_US dc.subject (關鍵詞) 聯合貸款 zh_TW dc.subject (關鍵詞) 宣告效果 zh_TW dc.subject (關鍵詞) 資訊不對稱 zh_TW dc.subject (關鍵詞) 錯誤評價 zh_TW dc.subject (關鍵詞) 成長機會 zh_TW dc.subject (關鍵詞) syndicated laon en_US dc.subject (關鍵詞) announcement effects en_US dc.subject (關鍵詞) information asymmetry en_US dc.subject (關鍵詞) mispricing en_US dc.subject (關鍵詞) growth opportunities en_US dc.title (題名) 台灣上市櫃公司聯合貸款宣告效果、決策動機及其股價報酬之研究 zh_TW dc.title (題名) Stock Returns, Announcement Effects and Motivations of Syndicated Loans: Evidence from Taiwan Listed Companies en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 中文文獻 李正中 (2010) 上市櫃公司取得聯合貸款對股價報酬之影響，國立臺北大學國際財務金融碩士在職專班論文 林事達(2008) 台灣聯合貸款宣告對股價之影響~不同聯貸資金用途效果之探討，國立政治大學行政管理碩士學程碩士論文 陳朝鑫 (1996) 銀行團聯貸宣告對股東財富的影響-異質條件變異數分析法，國立政治大學企業管理學系碩士班論文 蔡欣貝 (2003) 台灣地區上市上櫃公司聯合貸款之實證研究，南台科技大學會計資訊系碩士班論文 鄭蕙嬋 (2011) 聯貸契約財務限制條款與企業的盈餘品質，國立政治大學財務管理研究所碩士班論文 賴玫樺 (2002) 銀行借貸宣告對企業股東長短期影響之研究，國立中山大學企業管理學系研究所碩士班論文 賴昱蓉 (2011) 銀行放款是否為特殊融資工具?以台灣聯合貸款為例，國立政治大學財務管理研究所碩士班論文 劉立文 (1996) 聯合貸款對股東財富影響之研究，國立交通大學科技管理研究所 劉炯桐 (2006) 上市上櫃公司銀行聯合貸款之宣告對股價的影響，國立高雄第一科技大學金融營運所碩士班論文 國外文獻 Aintablian, S., & Roberts, G. S. (2000). A note on market response to corporate loan announcements in Canada. Journal of Banking & Finance, 24(3), 381-393. Armitage, S. (1995). Banks` information about borrowers: the stock market response to syndicated loan announcements in the UK. Applied Financial Economics, 5(6), 449-459. Baker, M., & Wurgler, J. (2002). Market timing and capital structure. The journal of finance, 57(1), 1-32. Billett, M. T., Flannery, M. J., & Garfinkel, J. A. (2006). Are bank loans special? Evidence on the post-announcement performance of bank borrowers. Journal of Financial and Quantitative Analysis, 41(04), 733-751. Billett, M. T., KING, T. H. D., & Mauer, D. C. (2007). Growth opportunities and the choice of leverage, debt maturity, and covenants. The journal of finance, 62(2), 697-730. Bernanke, B. S. (1983). Non-monetary effects of the financial crisis in the propagation of the Great Depression: National Bureau of Economic Research. Berlin, M., & Loeys, J. (1988). Bond covenants and delegated monitoring. The journal of finance, 43(2), 397-412. CAMPBEL, T. S., & Kracaw, W. A. (1980). Information production, market signalling, and the theory of financial intermediation. The journal of finance, 35(4), 863-882. Chen, L., & Zhao, X. (2006b). On the relation between the market-to-book ratio, growth opportunity, and leverage ratio. Finance Research Letters, 3(4), 253-266. Cole, R. A. (1998). The importance of relationships to the availability of credit. Journal of Banking & Finance, 22(6), 959-977. Diamond, D. W. (1991). Monitoring and reputation: The choice between bank loans and directly placed debt. Journal of political Economy, 689-721. Eckbo, B. E. (1986). Valuation effects of corporate debt offerings. Journal of Financial economics, 15(1), 119-151. Fama, E. F. (1985). What`s different about banks? Journal of monetary economics, 15(1), 29-39. Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21. 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. Gul, F. A. (1999). Growth opportunities, capital structure and dividend policies in Japan. Journal of Corporate Finance, 5(2), 141-168. Harris, R. S., & Marston, F. C. (1994). Value versus growth stocks: Book-to-market, growth, and beta. Financial Analysts Journal, 50(5), 18-24. Hertzel, M. G., & Li, Z. (2010). Behavioral and rational explanations of stock price performance around SEOs: Evidence from a decomposition of market-to-book ratios. Journal of Financial and Quantitative Analysis, 45(4), 935-958 James, C. (1987). Some evidence on the uniqueness of bank loans. Journal of Financial economics, 19(2), 217-235. Jung, K., Kim, Y.-C., & Stulz, R. (1996). Timing, investment opportunities, managerial discretion, and the security issue decision. Journal of Financial economics, 42(2), 159-186. Korajczyk, R. A., Lucas, D. J., & McDonald, R. L. (1991). The effect of information releases on the pricing and timing of equity issues. Review of financial studies, 4(4), 685-708. Lang, L., Ofek, E., & Stulz, R. (1996). Leverage, investment, and firm growth. Journal of Financial economics, 40(1), 3-29. Lummer, S. L., & 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(1), 99-122. Mikkelson, W. H., & Partch, M. M. (1986). Valuation effects of security offerings and the issuance process. Journal of Financial economics, 15(1), 31-60. Modigliani, F., & Miller, M. H. (1963). Corporate income taxes and the cost of capital: a correction. The American economic review, 433-443. Myers, S. C. (1977). Determinants of corporate borrowing. Journal of Financial economics, 5(2), 147-175. Myers, S. C., & Majluf, N. S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of Financial economics, 13(2), 187-221. Nakamura, L. I. (1989). Loan workouts and commercial bank information: Why banks are special. Working Papers from Federal Reserve Bank of Philadelphia Peterson, P. P. (1989). Event studies: A review of issues and methodology. Quarterly journal of business and economics, 36-66. Preece, D., & Mullineaux, D. J. (1996). Monitoring, loan renegotiability, and firm value: The role of lending syndicates. Journal of Banking & Finance, 20(3), 577-593. Rhodes–Kropf, M., Robinson, D. T., & Viswanathan, S. (2005). Valuation waves and merger activity: The empirical evidence. Journal of Financial economics, 77(3), 561-603. Ross, S. A. (1977). THE CAPITAL ASSET PRICING MODEL (CAPM), SHORT‐SALE RESTRICTIONS AND RELATED ISSUES. The journal of finance, 32(1), 177-183. Smith, C. W. (1986). Investment banking and the capital acquisition process. Journal of Financial economics, 15(1), 3-29. Taggart, R. A. (1977). A model of corporate financing decisions. The journal of finance, 32(5), 1467-1484. Ziebart, D. A. (1985). Control of beta reliability in studies of abnormal return magnitudes: A methodological note. Journal of Accounting Research, 920-926. zh_TW
