我国上市公司银行贷款公告效应研究

发布时间：2018-04-26 12:21

本文选题：银行贷款 + 侵占效应　；参考：《南京财经大学》2013年硕士论文

【摘要】：传统的债务治理理论认为银行贷款可以对上市公司的财务情况起到很好的监督作用，因此股票市场对上市公司银行贷款公告的反应为正。然而研究表明如果上市公司的大股东和小股东之间存在严重代理问题在获得银行贷款后增加了可利用资源，大股东可能会通过关联交易等方式侵占小股东权益。本文首先对2007-2010年我国A股上市公司银行贷款公告期间累积超额收益率进行分析发现累积超额收益率在[-10,10]的时间窗口内先下降后上升，在发布公告日后的第三天达到最小值为-0.00637。这支持了银行贷款具有侵占效应的理论。在随后的实证分析中，发现上市公司的自由现金流和累积超额收益率正相关，表明银行贷款具有一定程度的监督效应；股权集中度，关联交易和累积超额收益率负相关表明银行贷款确实存在侵占效应。由于累积超额收益率整体偏负，，这表明目前侵占效应在我国起主导作用。然后从银行角度发现发放贷款银行的不良贷款率和累积超额收益关系并不显著，银行声誉和累积超额收益率正相关，这表明虽然银行贷款存在侵占效应，但从声誉良好的银行贷款会减轻这种侵占效应。鉴于我国银行在发放贷款时会对国有上市公司有选择性偏向，本文将研究样本分上为国有控股上市公司和非国有控股上市公司再进行实证检验。结果表明：国有控股上市公司发布银行贷款公告会有更加明显为负的累积超额收益率。
[Abstract]:The traditional debt governance theory holds that bank loans can supervise the financial situation of listed companies, so the stock market responds positively to bank loan announcements of listed companies. However, the study shows that if there is a serious agency problem between large shareholders and minority shareholders of listed companies after obtaining bank loans, the majority shareholders may encroach on minority shareholders' rights and interests through related party transactions and so on. In this paper, we first analyze the cumulative excess return rate during the loan announcement period of China A-share listed companies from 2007 to 2010. It is found that the cumulative excess return rate first decreases and then rises in the time window of [-1010], and reaches the minimum value of -0.0063737 on the third day after the announcement. This supports the theory that bank loans have encroachment effects. In the subsequent empirical analysis, it is found that the free cash flow of listed companies is positively correlated with the cumulative excess return, which indicates that bank loans have a certain degree of supervisory effect. The negative correlation between related party transactions and cumulative excess returns indicates that bank loans do have an encroachment effect. Because the cumulative excess yield is negative, this indicates that the encroachment effect plays a leading role in our country at present. Then it is found from the bank perspective that the relationship between non-performing loan ratio and cumulative excess return is not significant, and the bank reputation is positively correlated with cumulative excess return, which indicates that although bank loan has encroachment effect, But lending from reputable banks mitigates this encroachment. In view of the selective bias of Chinese banks in granting loans to the state-owned listed companies, the research sample is divided into state-owned holding listed companies and non-state-owned holding listed companies to conduct empirical tests. The results show that there are more negative cumulative excess returns when state-owned holding listed companies issue bank loan announcements.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4

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