我國銀行出售不良資產之長短期股價行為研究

本研究以效率假說和代理理論探討我國銀行出售不良資產(NPL)的長短期股價反應，效率假說認為出售NPL有助於提昇公司價值；代理理論則認為出售NPL雖有現金流入，但因有代理成本而減損公司價值。以事件研究法估計長、短異常報酬(AR)，短期報酬採Ball and Brown (1968) 的傳統架構(市場模式和多加產業指數報酬的二因子模式) 及Jensen’s α法 (採CAPM)；長期事件研究採時間序列投資組合（calendar-time portfolio）套用Carhart (1997) 四因子模型，及Jensen’s α法套用CAPM和四因子模式。樣本期間為2002年1月至2008年12月，以14家金控與18家非金控銀行的519個出售宣告與成交宣告事件為樣本。樣本依宣告金額、買方是否為關係人、過去績效及未來成長性分組，並做組間AR差異檢定，及以這些變數為主要自變數做AR橫斷面迴歸分析。結果發現：短期方面，出售宣告較頻繁、過去營運績效較差 (獲利力和流動性較差、逾放率較高) 的銀行，宣告日有較大的正AR；成交宣告日前一日有顯著負AR (可能與成交價偏低有關)，尤當成交金額偏低且售予關係人時，AR更低，顯示股價之短期表現較符合效率假說之預期。長期方面，投資人並不看好NPL宣告後的股票績效，尤其是小銀行更被看壞；過去績效較佳及未來成長性較高的銀行，長期CAR跌幅較小，支持代理理論之說法。由以上結論顯示NPL出售宣告短期間使投資人有改善資產品質的直覺，長期並未真正提升資產品質，只是短暫掩飾問題資產而已。

關鍵字

不良資產；效率觀點；代理問題；事件研究法；四因子模型

並列摘要

This study examines the short- and long-run stock price reactions to non-performing loan (NPL) sales for Taiwan’s banks based on both efficiency hypothesis and agency problem. This study uses event study methods to estimate short- and long-run abnormal returns (ARs); the former are calculated by Ball-Brown (1968) traditional frame and Jensen’s α procedure; the latter ARs are computed by both the calendar-time portfolio approach and Jensen’s α. The sample is 519 NPL sale and trade announcements performing by both 14 financial holding companies and 18 banks from 2002 to 2008. The between-group tests for difference in ARs and the cross-sectional regressions are performed. The findings are as follows. For short-run ARs, the banks with frequent selling announcements and lower past performance have larger positive ARs on announcement day (t = 0). There are significant negative ARs on the day t =－1; in particular, if the traded amounts are relatively low and the buyers are equity-related to sellers, the ARs will be lower. Thus, the negative ARs on the trade announcements could be related to the large gap between the traded price and sale price. This evidence is consistent with the efficiency hypothesis. For long-run perspective, stock performance following NPL sale and trade announcements is poor, particular for small banks’ trades. Long-run cumulative ARs of banks with better past performance and more growth opportunities have less degree of decreases, supporting the agency theory. Therefore, NPL sales temporarily give investors an intuitive conception that bank asset quality will improve, but firm values do not enhance in the long term. Keywords: non-performing loans, efficiency perspective, agency problem, event study method, four-factor pricing model

並列關鍵字

non-performing loans ； efficiency perspective ； agency problem ； event study method ； four-factor pricing model

參考文獻

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我國銀行出售不良資產之長短期股價行為研究

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