是否穩定的借款關係幫助機構投資者提早反應公司財務危機?

Does Lending Relationship Help Institutional Investors Detect Corporate Financial Distress?

于洪杰(Hung-Chieh Yu)

指導教授 ： 蔡湘萍

元智大學/管理學院/商學碩士班(財務金融學程)/碩士(2012年)

摘要

本論文聚焦於參與聯貸借款的下市公司以及同時扮演公司股東與債權人角色的機構投資者，首先，我將公司與機構投資者的借款關係按照其過去放款紀錄跟是否在下市前有進行新的放款行為分成四種不同的借款關係(過去有借款的公司(Loant-4~t-8), 下市前有新借款公司(Loantest), 在過去即下市前都有借款公司(Loant-4~t-8* Loantest), 無借款紀錄公司(zero)，並希望透過觀察這些公司的機構投資者在下市前三年的持股變化，了解機構持股者透過借款合約規定獲得公司內部財務狀況的證據。此外，為了進一步強化我的論述，我將原始樣本進行分割，並預期同時持有債權跟股權的機構投資者跟在下市前四年初有持股的機構投資者對於公司財務危機有較明顯的持股變化反應。最後，我發現持股減少的情況依Loantest > Loant-4~t-8 > Loant-4~t-8* Loantest > Zero從大到小遞減，而且在下市前四年初有持股的機構投資者有較為一致的結果。

關鍵字

財務危機 ； 聯貸 ； 機構投資者

並列摘要

This thesis focus on the delisting syndicated loan borrowers and dual institutional investors. Firstly, I separate lending records between creditors and borrowers into specific lending relationships (Loant-4~t-8, Loantest, Loant-4~t-8* Loantest, Zero) according to lending timing and whether issue new loans in two years around testing year. To do so, I try to observe the change of institutional holdings three years prior to delisting to procure testimony that institutional investors indeed proceed informed trading by means of closely lending relations. Besides, to further fortify my opinion, I shrink my objection into dual investors and institution which hold equity at the beginning of testing period. Finally, I find the significantly descend of institutional holdings in Loantest firms, and the results in the non-zero subsample are consistent with my inference.

並列關鍵字

Financial Distress ； Syndicated Loan ； Institutional Investor ； Dual Holder

參考文獻

Aintablian Sebouh, Gordon S. Roberts. 2000. A note on Market Response to Corporate Loan Announcement in Canada. Journal of Banking & Finance 24, 381-393.

Billett T. Matthew, Mark J. Flannery and Jon A. Garfinkel. 1995. The Effect of Lender Identity on a Borrowing Firm’s Equity Return. The Journal of Finance, 699-718

Billett T. Matthew, Mark J. Flannery and Jon A. Garfinkel. 2006. Are Bank Loans Special? Evidence on the Post-Announcement Performance of Bank Borrowers. Journal of Financial and Quantitative Analysis. 733-751.

Bushman M.Robert, Abbie J. Smith and Regina Wittenberg-Moerman. 2010. Price Discovery and Dissemination of Private Information by Loan syndicated Participants. Journal of Accounting Research, 921-972.

Bushee, J. Brian and Theodore H. Goodman. 2006. Which Institutional Investors Trade Based on Private Information about Earnings and Returns? Journal of accounting research, 289-320.