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題名 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
Syndicated Loan Announcements and the Market Value of the Lending Firms and the borrowing firms
作者 陳朝鑫
Chen, Ken
貢獻者 林炯垚<br>俞海琴
陳朝鑫
Chen, Ken
關鍵詞 銀行團聯貸
事件研究
GARCH 法
Syndicated Loan
Event Study
GARCH Approach
日期 1995
上傳時間 28-Apr-2016 14:39:38 (UTC+8)
摘要 本文研究主要在探討以銀行團聯貸宣告下，對台灣地區上市的參貸銀行和借款公司之股東財富有何影響？本研究以事件研究法（Event Study）對標準化異常報酬做檢定，同時由於過去對殘差項估計多是以古典最小平方法來估計，但是實際股票報酬率通常具有尖峰態的胖尾分配，因此本文同時採Bollerslev(1986)的GARCH估計法及傳統古典最小平方法估計，並對結果做一比較；實証結果如下：
參考文獻 中文部份:
1.沈中華，股價波動，性與結構性轉變之探討不同漲跌限制下的分析，台大管理
論叢，民國81 年，第五卷，第二期，頁25-44 。
2. 李兆倫，調整股價漲跌幅限影響震盪幅度之實證研究- - - -異值條件變異數分析法，中山大學企業管理研究所碩士論文，民國80年6 月。
3 . 沈中華，張大成，事件研究法語移動β，台大管理論叢，民國82年5月，第四
卷，第一期，頁13-5 。
3. 周志隆，股票風險波動之研究- - - -異質條件變異數分析法，台灣大學商學研究所碩士論文，民國80年6 月。
4. 林梨雪，現金增資宣告資訊內涵再探討:台灣地區上市公司實證研究，東吳
大學會計學研究所碩士論文，民國83年6 月。
5 . 徐偉傑，上市公司發行權益相關證券之融資效果資訊內涵- - - -異值條件變異數分析法，政治大學財務金融研究所碩士論文，民國84年6 月。
6. 徐燕山，台灣股票上市公司現金增資事件的另一種驗證，國立政治大學學報
民國83年9月，頁235-262 。
8. 莊欣達，國際聯合貸款簡介，華銀月刊， 530-534期，民國84年3 月-7月。
9. 游志偉，企業融資宣告與股價關係之實證研究以台灣股票上市公司為例，中
央大學企業管理研究所碩士論文民國81 年6 月。
10. 傅英芬，投資機會與現金增資之宣告效果- - - -異值條件變異數分析法，政治大學財務金融研究所碩士論文，民國84年6 月。
11 .鍾淑玲台灣股票市場風險性溢價與持續性波動之實證研究- - - -序列相關及異質條件變異數分析法，台灣大學商學研究所碩士論文，民國79年6 月。
12. 顏月珠，商用統計學，三民書局出版，民國80年8 月。

英文部份
1.Aliber,R.Z.(1984)International Banking: A Survey," Journal of Money,Credit, and Banking ,661-684.
2.Armitage, S.(1995a) Event study methods and evidence on their performance, Journal of Economic Surveys` 9,25-52.
3.Armi tage` S.(l995b) Banks Information About Borrowers: the stock Market Response to Syndicated Lean Announcements in the Uk, Applied Financial Economics,449-459.
4.Berlin, M. and L. Mester (1990) Debt covenants and renegotiation,Journal of Financial Intermediation 2,95-133.
5.Berndt, E.K., B.H.Hall, R.E.Hall and J.A.Hausman. (1974)
Estimation Inference in Nonlinear Sturctural Models, Annuals of Economics and Social Measurement, no 4,653-665.
6.Bollerslev, T.(1986)Generalized Autoregressive Conditional
Heteroskedasticity, Journal of Econometrics 31,307-327.
7.Bollerslev, T.(1987) A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, Review of Economics & Statistics 69,542-547.
8.Cornell, Bradford, and Alan Shapiro.(1986) The Reaction of Bank
Stock Prices to the International Debt Crisis` Journal of Banking and Finance 10,393-414.
9.Darity,W.A. ` Jr., and B. Horn. (1988) The Loan Pushers: The Role of Commercial Banksin the International Debt Crises, Cambridge, MA,Ballinger Publishers.
10.Davis,E.P. (1992) Debt, Financial Fragility, and Systemic Risk(Clarendon Press, Oxford).
11.Davis,S.I.(1977)How Risky is International Lending?, Harvard Business Review ` 135-143.
12.Diamond, D. (1984) Financial intermediation and delegated
monitoring, Review of Economic Studies, 51,393-414.
13.Ei ternan` D.K.and A. Stonehi11. (1986) Multinational Business Finance, Boston , MA, Addison-Wesley Publishing Company Inc.
14.Engle, F. (1982) Autoregressive Conditional Heteroscedasticity with Estimates of the United Kingdom Inflation, Journal of Economics 50,987-1007.
15.Fama,E.F.(1985)What`s Different About Banks?, Journal of Monetary Economics,323-327 .
16.Gertler, M. (1988) Financial structure and aggregate economic activity: an overview, Journal of Money, Eredit, and Banking,20,559-88.
17.Goodman,L.S.(1982)Can Risks in LDC Lending be Diversified? `Business Economics,12-19.
18.Gorton, G. and J. Kahn (1993) The design of bank loan contracts,collateral, and renegotiation, Working paper, National Buireau of Economic Research.
19.Gray` J .M. and H.P. Gray(l981)The Multinational Bank: A Financial MNC?, Journal of Banking and Finance ,33-63.
20.Grubel,H.(1968)Internationallyu Diversified Porfolios: Welfare Gains and Capi tal Flows, American Economic Review ,1299-1314.
21.Haner` F.T. and J. Ewing (1985) Country Risk Assessment: Theory and Worldwide Practice, New York, Praeger Publishers.
22.Hellvig, M.(1991) Banking, financial intermediation and corporate finance, in European Financial Intermediation, eds A. Giovannini and C. Mayer (Cambridge Universi ty Press, Cambridge) , 35-63.
23.Holland, J .(1993) Bank-corporate relations:Change issues in the international enterprise, Accounting & Business Research, 23,273-83.
24.Jain` A.K.(l986)International Lending Patterns of U.S. Commercial Banks,Journal of International Business Studies ,73-88.
25.James,C.(1987)Some Evidence on the Uniqueniss of Bank Loans, Journal of Financial Economics ,217-235.
26.Jensen, Michael.(1986) Agency Cost of Free Cash Flow, Corporate Finance, and Takeovers` American Economic Review 76,323-29.
27.Kindleberger,C.P. ` Manias, Panics, and Crashes (1978) A History of Financial Crises, New York, Basic Books.
28.Lee, S., and K. Ohk . (1992) Stock Index Rutures Listing and Structual Change in Time-Varying Volatility, Journal of Futures Market 12,493-509.
29.Lummer ` S.L.and J.J. McConnell( 1989)Further Evidence on the Bank Lending Process and the Capital-Market Response to Bank Loan Agreements, Journal of Financial Economics ,99-122.
30.Mayer, C. (1988) New issues in corporate finance, European Economic Review, 32,1167-89.
31.McConnell, John, and Chris Muscarella.(1985) Corporate Capital Expenditure Decisions and the Market Value of the Fi rm` Journal of Financial Economics 14,399-422.
32.Megginsen, Poulsen, and Joseph F. Sinkey, Jr.(1995) syndicated Loan Announcements and the Market Value of the Banking Firm, Journal of Money, Credit and Banking, 457-475.
33.Monti ,A.(1982)Recent Trends in International Banking, Journal of Banking and Finance ,389-399.
34.Moriarty, R. T., Kimball, R. C. and Gay, J. H. (1983) The
management of corporate banking relationships, Sloan Management Review, Spring,3·15.
35.Musumeci, James, J., and Joseph F. Sinkey, Jr.(l990a)The
International Debt Crisis, Investor Contagion, and Bank Security Returns in 1987: The Brazilian Experience` Journal of Money, Credit, and Banking 22,209-20(a).
36.Musumeci, James, J., and Joseph F. Sinkey, Jr.(1990b) The
International Debt Crisis and Bank Loan-Loss-Reserve Decisions:The Signaling Content of Partially Anticipated Events` Journal of Money, Credit, and Banking 22 ,370-87(b).
37.Nakamura, L. (1989) Loan workouts and commercial `bank information:Why are banks special?, Working paper, Federal Reserve Bank of Philadelphia.
38.Preece, D. and Mullineaux, D. J. (1995) Monitoring, loan
renegotiability, and firm value: the role of lending syndicates,Journal of Banking and Finance, forthcoming.
39.Preece, D., and Mullineaux.(1996) Monitoring, Loan Renegotiability, and firm Value: The Role of Lending Syndicates, Journal of Banking and Finance 20,577-593.
40.Rahman, H., and K. Yung.(1992) Inter-Currency Transmission of Volatility in Foreign Exchange Futures, Journal of Rutures Markets 12,609-620.
41.Roll,R.(1986)The Hubris Hypothesis of Corporate Takeover, Journal of Business,197-216.
42.RugmanA.M.and S. Kamath (1987) International Diversification and Multinational Banking,Recent Developments in International Banking and Finance 1,35-59.
43.Smirlock, Michael, and Howard Kaufold.(1987) Bank Foreign Lending, Mandatory Disclosure Rules, and the Reaction of Bank Stock Prices to the Mexican Debt Crisis` Journal of Business 60,347-64.
44.Waheed Amjad and Ike Mathur.(1993) The Effects of Announcements of Bank Lending Agreements on the Market Values of U.S. Banks` Financial Management 22,119-27.
描述 碩士
國立政治大學
企業管理學系
83355003
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002002638
資料類型 thesis
dc.contributor.advisor 林炯垚<br>俞海琴zh_TW
dc.contributor.author (Authors) 陳朝鑫zh_TW
dc.contributor.author (Authors) Chen, Kenen_US
dc.creator (作者) 陳朝鑫zh_TW
dc.creator (作者) Chen, Kenen_US
dc.date (日期) 1995en_US
dc.date.accessioned 28-Apr-2016 14:39:38 (UTC+8)-
dc.date.available 28-Apr-2016 14:39:38 (UTC+8)-
dc.date.issued (上傳時間) 28-Apr-2016 14:39:38 (UTC+8)-
dc.identifier (Other Identifiers) B2002002638en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87429-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description (描述) 83355003zh_TW
dc.description.abstract (摘要) 本文研究主要在探討以銀行團聯貸宣告下，對台灣地區上市的參貸銀行和借款公司之股東財富有何影響？本研究以事件研究法（Event Study）對標準化異常報酬做檢定，同時由於過去對殘差項估計多是以古典最小平方法來估計，但是實際股票報酬率通常具有尖峰態的胖尾分配，因此本文同時採Bollerslev(1986)的GARCH估計法及傳統古典最小平方法估計，並對結果做一比較；實証結果如下：zh_TW
dc.description.tableofcontents 第一章緒論
第一節研究動機..........1
第二節研究目的..........3
第三節研究範圍與限制..........3
第四節本文架構..........5
本章註釋..........7
第二章銀行團聯貸之簡介與文獻探討
第一節銀行團聯貸之簡介..........8
第二節理論文獻探討..........17
第三節實證文獻探討..........25
第四節本研究之假說..........33
本章註釋..........34
第三章研究方法與研究
第一節研究方法..........35
第二節資料來源與樣本選取..........46
第三節實証方法..........48
本章註釋..........53
第四章實証分析
第一節市場模型的配適..........55
第二節銀行團聯貸宣告與股價關係實証結果..........69
第三節研究假說..........76
第四節橫斷面分析....................92
本章註釋..........102
第五章結論與建議
第一節結論..........103
第二節建議..........105
參考文獻..........106
附錄
放款銀行之逐步迴歸分析..........110		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002002638en_US
dc.subject (關鍵詞) 銀行團聯貸zh_TW
dc.subject (關鍵詞) 事件研究zh_TW
dc.subject (關鍵詞) GARCH 法zh_TW
dc.subject (關鍵詞) Syndicated Loanen_US
dc.subject (關鍵詞) Event Studyen_US
dc.subject (關鍵詞) GARCH Approachen_US
dc.title (題名) 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zh_TW
dc.title (題名) Syndicated Loan Announcements and the Market Value of the Lending Firms and the borrowing firmsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文部份:
1.沈中華，股價波動，性與結構性轉變之探討不同漲跌限制下的分析，台大管理
論叢，民國81 年，第五卷，第二期，頁25-44 。
2. 李兆倫，調整股價漲跌幅限影響震盪幅度之實證研究- - - -異值條件變異數分析法，中山大學企業管理研究所碩士論文，民國80年6 月。
3 . 沈中華，張大成，事件研究法語移動β，台大管理論叢，民國82年5月，第四
卷，第一期，頁13-5 。
3. 周志隆，股票風險波動之研究- - - -異質條件變異數分析法，台灣大學商學研究所碩士論文，民國80年6 月。
4. 林梨雪，現金增資宣告資訊內涵再探討:台灣地區上市公司實證研究，東吳
大學會計學研究所碩士論文，民國83年6 月。
5 . 徐偉傑，上市公司發行權益相關證券之融資效果資訊內涵- - - -異值條件變異數分析法，政治大學財務金融研究所碩士論文，民國84年6 月。
6. 徐燕山，台灣股票上市公司現金增資事件的另一種驗證，國立政治大學學報
民國83年9月，頁235-262 。
8. 莊欣達，國際聯合貸款簡介，華銀月刊， 530-534期，民國84年3 月-7月。
9. 游志偉，企業融資宣告與股價關係之實證研究以台灣股票上市公司為例，中
央大學企業管理研究所碩士論文民國81 年6 月。
10. 傅英芬，投資機會與現金增資之宣告效果- - - -異值條件變異數分析法，政治大學財務金融研究所碩士論文，民國84年6 月。
11 .鍾淑玲台灣股票市場風險性溢價與持續性波動之實證研究- - - -序列相關及異質條件變異數分析法，台灣大學商學研究所碩士論文，民國79年6 月。
12. 顏月珠，商用統計學，三民書局出版，民國80年8 月。

英文部份
1.Aliber,R.Z.(1984)International Banking: A Survey," Journal of Money,Credit, and Banking ,661-684.
2.Armitage, S.(1995a) Event study methods and evidence on their performance, Journal of Economic Surveys` 9,25-52.
3.Armi tage` S.(l995b) Banks Information About Borrowers: the stock Market Response to Syndicated Lean Announcements in the Uk, Applied Financial Economics,449-459.
4.Berlin, M. and L. Mester (1990) Debt covenants and renegotiation,Journal of Financial Intermediation 2,95-133.
5.Berndt, E.K., B.H.Hall, R.E.Hall and J.A.Hausman. (1974)
Estimation Inference in Nonlinear Sturctural Models, Annuals of Economics and Social Measurement, no 4,653-665.
6.Bollerslev, T.(1986)Generalized Autoregressive Conditional
Heteroskedasticity, Journal of Econometrics 31,307-327.
7.Bollerslev, T.(1987) A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, Review of Economics & Statistics 69,542-547.
8.Cornell, Bradford, and Alan Shapiro.(1986) The Reaction of Bank
Stock Prices to the International Debt Crisis` Journal of Banking and Finance 10,393-414.
9.Darity,W.A. ` Jr., and B. Horn. (1988) The Loan Pushers: The Role of Commercial Banksin the International Debt Crises, Cambridge, MA,Ballinger Publishers.
10.Davis,E.P. (1992) Debt, Financial Fragility, and Systemic Risk(Clarendon Press, Oxford).
11.Davis,S.I.(1977)How Risky is International Lending?, Harvard Business Review ` 135-143.
12.Diamond, D. (1984) Financial intermediation and delegated
monitoring, Review of Economic Studies, 51,393-414.
13.Ei ternan` D.K.and A. Stonehi11. (1986) Multinational Business Finance, Boston , MA, Addison-Wesley Publishing Company Inc.
14.Engle, F. (1982) Autoregressive Conditional Heteroscedasticity with Estimates of the United Kingdom Inflation, Journal of Economics 50,987-1007.
15.Fama,E.F.(1985)What`s Different About Banks?, Journal of Monetary Economics,323-327 .
16.Gertler, M. (1988) Financial structure and aggregate economic activity: an overview, Journal of Money, Eredit, and Banking,20,559-88.
17.Goodman,L.S.(1982)Can Risks in LDC Lending be Diversified? `Business Economics,12-19.
18.Gorton, G. and J. Kahn (1993) The design of bank loan contracts,collateral, and renegotiation, Working paper, National Buireau of Economic Research.
19.Gray` J .M. and H.P. Gray(l981)The Multinational Bank: A Financial MNC?, Journal of Banking and Finance ,33-63.
20.Grubel,H.(1968)Internationallyu Diversified Porfolios: Welfare Gains and Capi tal Flows, American Economic Review ,1299-1314.
21.Haner` F.T. and J. Ewing (1985) Country Risk Assessment: Theory and Worldwide Practice, New York, Praeger Publishers.
22.Hellvig, M.(1991) Banking, financial intermediation and corporate finance, in European Financial Intermediation, eds A. Giovannini and C. Mayer (Cambridge Universi ty Press, Cambridge) , 35-63.
23.Holland, J .(1993) Bank-corporate relations:Change issues in the international enterprise, Accounting & Business Research, 23,273-83.
24.Jain` A.K.(l986)International Lending Patterns of U.S. Commercial Banks,Journal of International Business Studies ,73-88.
25.James,C.(1987)Some Evidence on the Uniqueniss of Bank Loans, Journal of Financial Economics ,217-235.
26.Jensen, Michael.(1986) Agency Cost of Free Cash Flow, Corporate Finance, and Takeovers` American Economic Review 76,323-29.
27.Kindleberger,C.P. ` Manias, Panics, and Crashes (1978) A History of Financial Crises, New York, Basic Books.
28.Lee, S., and K. Ohk . (1992) Stock Index Rutures Listing and Structual Change in Time-Varying Volatility, Journal of Futures Market 12,493-509.
29.Lummer ` S.L.and J.J. McConnell( 1989)Further Evidence on the Bank Lending Process and the Capital-Market Response to Bank Loan Agreements, Journal of Financial Economics ,99-122.
30.Mayer, C. (1988) New issues in corporate finance, European Economic Review, 32,1167-89.
31.McConnell, John, and Chris Muscarella.(1985) Corporate Capital Expenditure Decisions and the Market Value of the Fi rm` Journal of Financial Economics 14,399-422.
32.Megginsen, Poulsen, and Joseph F. Sinkey, Jr.(1995) syndicated Loan Announcements and the Market Value of the Banking Firm, Journal of Money, Credit and Banking, 457-475.
33.Monti ,A.(1982)Recent Trends in International Banking, Journal of Banking and Finance ,389-399.
34.Moriarty, R. T., Kimball, R. C. and Gay, J. H. (1983) The
management of corporate banking relationships, Sloan Management Review, Spring,3·15.
35.Musumeci, James, J., and Joseph F. Sinkey, Jr.(l990a)The
International Debt Crisis, Investor Contagion, and Bank Security Returns in 1987: The Brazilian Experience` Journal of Money, Credit, and Banking 22,209-20(a).
36.Musumeci, James, J., and Joseph F. Sinkey, Jr.(1990b) The
International Debt Crisis and Bank Loan-Loss-Reserve Decisions:The Signaling Content of Partially Anticipated Events` Journal of Money, Credit, and Banking 22 ,370-87(b).
37.Nakamura, L. (1989) Loan workouts and commercial `bank information:Why are banks special?, Working paper, Federal Reserve Bank of Philadelphia.
38.Preece, D. and Mullineaux, D. J. (1995) Monitoring, loan
renegotiability, and firm value: the role of lending syndicates,Journal of Banking and Finance, forthcoming.
39.Preece, D., and Mullineaux.(1996) Monitoring, Loan Renegotiability, and firm Value: The Role of Lending Syndicates, Journal of Banking and Finance 20,577-593.
40.Rahman, H., and K. Yung.(1992) Inter-Currency Transmission of Volatility in Foreign Exchange Futures, Journal of Rutures Markets 12,609-620.
41.Roll,R.(1986)The Hubris Hypothesis of Corporate Takeover, Journal of Business,197-216.
42.RugmanA.M.and S. Kamath (1987) International Diversification and Multinational Banking,Recent Developments in International Banking and Finance 1,35-59.
43.Smirlock, Michael, and Howard Kaufold.(1987) Bank Foreign Lending, Mandatory Disclosure Rules, and the Reaction of Bank Stock Prices to the Mexican Debt Crisis` Journal of Business 60,347-64.
44.Waheed Amjad and Ike Mathur.(1993) The Effects of Announcements of Bank Lending Agreements on the Market Values of U.S. Banks` Financial Management 22,119-27.		zh_TW