美國企業借款宣告市場反應之再探討

Reexamination of Market Reactions to U.S. Corporate Loan Announcements

洪若瑋(Ruo-Wei Hung)

指導教授 ： 劉啟群

國立臺灣大學/管理學院/會計學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.10081

摘要

過去釵h實證研究採用事件研究法檢視企業借款宣告的市場反應，並且發現了企業借款的宣告為借款企業帶來正向的超額報酬，而公開發行證券則產生負向或非正向的效果，銀行為借款企業提供有價值的監督、檢視與認證的服務，並且也可以降低投資人與企業之間資訊不對稱的情況。
近期的文獻對於公司借款活動以及銀行性質的轉變所造成公司借款的來源以及監督的弁鄋獐v響，進而影響到市場對於借款宣告的反應，並沒有很多相關的研究，儘管有釵h的文獻採用了一九九Ο年代初期或是一九九Ο年代以前的資料，但是很少有實證研究採用一九九Ο年之後的資料。
所以在本研究之中，我們分析在二ΟΟ一年到二ΟΟ三年間，市場上對於借款宣告企業股價反應是否依然和借款合約的特質相關，我們的實證結果發現在二ΟΟ一年到二ΟΟ三年間，美國企業借款宣告並沒有為該企業帶來顯著的超額報酬，本篇論文的實證研究為這樣的結果提供初步的證據，然而這樣的實證結果和以往的研究結果並不相一致。

關鍵字

超額報酬 ； 借款宣告

並列摘要

Previous empirical studies employ the event study methodology to examine the market reactions to loan announcements, and document that the loan announcement produces positive abnormal returns for the borrowing firm, in contrast to the strong negative or non-positive announcement effects of public security offering. Banks provide valuable monitoring, screening and certification services for borrowing firms, thus, enhancing the borrowing firm’s value by reducing information asymmetries.
There are no recent studies of whether growing changes in corporate loan activities and nature of bank intermediation influence loan origination and monitoring functions, and as a result, changing market reactions to loan announcements. While considerable empirical literature on loan announcement effects using samples that included the early 1990s or prior to the 1990s, little empirical research using data after 1990s has been undertaken.
In this paper we address this issue by analyzing whether stock-market reactions of borrowing firms to loan announcements are still related to the characteristics of loan agreements in the 2001-2003 period. We find that there are no statistically significant abnormal returns for loan announcements over the period 2001 to 2003.Our empirical results provide preliminary evidence that loan announcements have no significant effects on abnormal returns for announcing firms. The results are not consistent with the prior empirical studies.

並列關鍵字

Abnormal returns ； Loan announcements

參考文獻

Atiase, R. 1985. Predisclosure information, firm capitalization, and security price behavior around earnings announcements. Journal of Accounting Research (Spring): 21-36.

Best , R., and H. Zhang .1993. Alternative Information Sources and the Information Content of Bank Loans. Journal of Finance 48(4): 1507-1523.

Billett, M., M.Flannery , and J. Garfinkel, 1995. The Effect of Lender Identity on a Borrowing firm’s Equity Return. Journal of Finance 50(June): 699-718.

Boot, A. 2000. Relationship Banking: What do we know? Journal of Financial Intermediation 9 : 7-25.

Byers, S.,D.Fraser ,and R. Shockley. 1998.Lender Identity and Borrower Returns :The Evidence From Foreign Bank Loans to U.S. Corporations, Global Finance Journal 9: 81-94.