訊息不對稱，債務期間分散度與聯貸成本—英國之實證

Asymmetric Information, Dispersion of Debt Maturity and Syndicated Loan Costs— Case of United Kingdom

來南俊(Tuan Lai)

指導教授 ： 俞海琴

中原大學/商學院/企業管理研究所/博士(2020年)

https://doi.org/10.6840/cycu202000942

摘要

這項研究調查了債務期限結構和不對稱信息對貸款利差的影響。該研究使用了1999年至2016年期間299家英國（UK）公司籌集的4.564筆銀團貸款樣本，研究了債務期限分散與貸款利差之間的非線性U形關聯。它表明：i）高水平的分散債務期限結構降低了展期風險和清算風險，並支持資產替代激勵； ii）所識別的非線性解釋了多個債權人之間的利益衝突，從而降低了債務期限分散的積極影響。通常，D1的單標準差增加導致樣本平均貸款利差下降15.84 bps（基點）。此外，本文通過關注外國牽頭安排行和過去的借貸關係，估計了借方與貸方之間信息不對稱所產生的成本。過去的借貸關係可以減少信息不對稱並降低借貸成本。過去的貸款關係增加一個標準差會導致樣本平均貸款利差下降6.69個基點（基點）。儘管沒有強有力的重要證據表明外國牽頭安排行可以彌補貸方和借款人之間的信息不對稱，但外國牽頭安排行的參與可能會對英國銀團貸款市場產生積極影響。該研究採用了多種方法，例如穩健回歸，2013年銀行改革的外源衝擊及其相關的清潔效應，以及控制潛在的內生性問題。這些模型的所有結果都是一致的，並證實了債務期限分散與貸款息差之間的非線性關係。

關鍵字

債務期間分散度 ； 訊息不對稱 ； 債務結構

並列摘要

This study investigates the impact of debt maturity structure and asymmetric information on loan spreads. Using a sample of 4.564 syndicated loans raised by 299 United Kingdom (UK) firms in the period from 1999 to 2016, the study explores the nonlinear U-shaped association between debt maturity dispersion and loan spreads. It shows that: i) a high level of dispersed debt maturity structure reduces rollover risk and liquidation risk and supports the asset substitution incentive; ii) the identified nonlinearity explains the conflicts of interest among multiple creditors so that it decreases the positive effect of debt maturity dispersion. In general, a one-standard-deviation increase in D1 results in a decrease of 15.84 bps (basis point) in the sample average loan spread. Further, the paper estimates the cost arising from asymmetric information between borrowers and lenders by focusing on the foreign lead arrangers and past lending relationships. A past lending relationship can reduce information asymmetry and decrease the cost of borrowing. A one-standard-deviation increase in the past lending relationships results in a decrease of 6.69 bps (basis point) in the sample average loan spread. Although there is no strong significant evidence that foreign lead arrangers can recover the asymmetric information gap between lenders and borrowers, the participation of foreign lead arrangers might have some positive impacts in the UK syndicated loan market. The study applies several methods approaches such as robust regression, the exogenous shock of Banking Reform in 2013 and its associated clean effect, and controlling the potential endogeneity problem. All results from those models are consistent and confirm the nonlinear relationship between debt maturity dispersion and the loan spread.

並列關鍵字

Debt Maturity Dispersion, Asymmetric Information, Debt Structure

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