- 學位論文
企業聯合貸款宣告對股價之影響 ─以台灣上市(櫃)公司為例
The Announcement Effect on stock price ─ An Empirical Study on Taiwan Stock Market
摘要
經歷多年的發展，聯合貸款早已是臺灣企業常見的融資管道。本研究主要是在探討國內上市上櫃公司聯合貸款的宣告，對宣告企業的股價有無顯著的影響。本研究於研究樣本的選取上，以在台灣證券交易所公開上市、上櫃的公司為主，資料涵蓋範圍從2000/01/01至2010/02/28止，以申貸聯合貸款的上市、上櫃公司為研究對象，進行實證分析。樣本公司的股價相關數據係由「台灣經濟新報資料庫」進行搜集，採用事件研究法進行分析，將「事件日」的認定分為三個組別：(1)以「公開資訊觀測站上聯合貸款訊息宣告日」的日期為「事件日」；(2)以公開資訊觀測站中聯合貸款訊息宣告日前的最近一次「董事會召開日」為「事件日」；(3)以「新聞稿發佈聯合貸款訊息的日期」為「事件日」。 研究結果發現，只有「公開資訊觀測站」宣告日為事件日的樣本，在訊息宣告當天可獲得正向的異常報酬，顯見聯貸案宣告對股價具有宣告效果；聯合貸款訊息宣告日前的最近一次「董事會召開日」為「事件日」的樣本，股價在召開前一天則有顯著的負異常報酬，在董事會召開當天股價報酬並不顯著，但在董事會召開後的第一天，則為顯著的正異常報酬；而以「新聞稿發佈聯合貸款訊息的日期」為「事件日」則無顯著的宣告效果。
並列摘要
In recent years, syndicated loan had played an important role in corporate financing. This study focus on whether the announcement of syndicated loan could influence the stock price in Taiwan stock market. We analysis the TSEC & OTC listed companies which has acquired syndicated loan from 2000 to 2010. This mythology was event study and the observations which were collected from Taiwan Economic Journal Data Bank (TEJ) were separated into three subgroups: (1) the date of syndicated loan announcement on the Market Observation Post System, (2) the date of board of directors' meetings, (3) the date of syndicated loan announcement on newspapers. The empirical results found that only group 1 could obtain significant positive abnormal return on the event day which proves that the announcement of syndicated loan has announcement effect on stock price. The results of group 2 showed that there was significant negative abnormal return on t = -1, in contrast, there was significant negative abnormal return on t = 1. However, there wasn’t significant announcement effect on the event day. Finally, the results of group 3 explored that there wasn’t significant announcement effect on the event day.