贷款公告、银行监督及外部环境

发布时间：2018-01-02 08:06

本文关键词：贷款公告、银行监督及外部环境　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：我国资本市场虽然已有了快速的发展,但是我国企业的融资结构并没有发生本质的变化。根据中国人民银行网站数据统计得知,贷款融资比重每年基本上都保持在80%左右,股权融资和非贷款类债务融资在我国企业的融资结构中仍占着比较低的比例。就上市公司而言,即使可以利用资本市场进行多样化融资并且也存在着股权融资偏好,但是其银行借款的数额仍然很大,基本上都超过了其负债总额的一半以上并且借款数额没有下降趋势反而逐年上升。这说明,以银行贷款等间接融资为主、证券市场融资为辅的方式仍是我国上市公司目前最基本的融资格局,银行贷款在公司融资方面仍然占据无可替代的地位。正是由于银行对企业的这种特殊作用,使得他们之间存在着相互依赖又相互促进的关系。一方面,银行会通过放宽或收紧信贷资金影响着企业的经营发展。如果企业能够得到银行的信贷支持,并且能够合理有效的运用所借资金,则企业将会获得显著的财务杠杆收益,从而有利于企业的发展；另一方面,借款企业经营状况的好坏又会对银行的发展产生很大的影响,信贷资金是否安全取决于企业运作是否正常。所以,银行会对借款企业进行严格的贷前审查和持续的贷后监督,而在这方面,银行往往比一般投资者具有更多的信息以及技术上的优势。经过贷前审核且获得银行贷款的企业,说明至少其发展前景和财务状况应该是令银行放心的,而发放贷款后,为保证资金的安全,银行会发挥大债权人身份,对借款企业进行持续监督,这种监督作用则有助于完善企业的外部监管机制,进而能在一定程度上降低信息不对称程度以及代理成本。银行对企业的这种监督作用很早就被国内外的学者们所讨论。就国内的研究而言,胡奕明、谢诗莆、邓莉和张宗益等人都表示我国银行对上市公司存在着一定的监督作用。正是由于这种监督作用再加上银行贷款对于企业发展的重要性,所以会导致市场对上市公司银行贷款协议的公布产生强烈的反应。同时,我们又注意到银行的信贷资金状况会受到很多宏观因素的影响,其中包括货币政策的松紧度以及不同的月份等。而银行的信贷资金状况又会影响到其信贷决策,包括对借款者的监督审核力度等。那么,在不同的货币政策状态以及不同的贷款时间下,即银行的信贷资金状况不同的前提下,上市公司银行贷款公告所引起的市场反应有怎样的不同,以及这种不同能否体现我国投资者认同银行对借款企业的监督作用,这将是本文所研究的重点。首先,本文选取了我国上市公司在2005年至2010年间发布的银行贷款公告为研究对象,遵循一定的原则筛选出341个有效样本,运用事件研究法对银行贷款公告所引起的市场反应进行实证研究,并利用参数以及非参数的统计方法对样本股价的超额收益率进行显著性检验。结果发现,市场对我国上市公司发布银行贷款公告这一事件产生了强烈的反应,具体表现为在公告日之前的几天以及当天,上市公司的股价出现了显著异于0的平均超额收益率和累积超额收益率。而在事件窗口内,市场的整体反应为负的,说明我国的投资者在短期内把公司的这-行为视为一个“利空”的事件,这与国外的相关实证结果有所差异。另外,在本文的研究中,银行贷款公告这一事件所产生的公司股价异常收益率基本上出现在公告日的前8天左右,且通过了显著性检验,相关证据表明该贷款信息很可能已提前泄露,我国市场中存在“信息泄漏”的问题。其次,在得到上市公司银行贷款公告的超额收益率后,为进一步研究影响超额收益率的不同因素,我们在控制了与贷款本身以及借款公司相关特征的变量基础上,重点研究前文分析的与银行信贷资金状况有关的一些变量对超额收益率的影响。这些量变都是未被以前学者所考虑但极有可能会影响市场反应强弱的关键因素。通过对超额收益率进行多元线性回归分析的基础上,意在找出市场投资者是否察觉以及认同银行对借款企业具有监督作用的有关证据。具体分析过程为,一方面,货币政策的不同对银行最终的信贷决策会产生重要的影响,当央行采取紧缩的货币政策时,将通过货币政策传导机制导致银行可贷资金的减少,资金成本也会变得更高,所以银行对于每一笔贷款的发放会变得更加的谨慎,在放贷前会对贷款申请人的经营状况、信用记录等各个方面进行更为严格的审查,在贷后也会时刻监督借款人的经营行为,确保贷款资金的安全。由此我们可以推断,在实行从紧的货币政策时期,银行将会加大对借款企业的监督力度,企业要想从银行获得贷款的难度将会比宽松政策时期的大,所以,货币政策紧缩时期的银行贷款公告应当会引起更多的超额收益率；另一方面,贷款发放所处时间段不同,也会影响借款企业股价的超额收益率。商业银行每年都有一定限度的贷款额度。一般来说,在上半年,银行的可资贷金较为充裕,企业获得贷款的难度相对较小；而到了下半年,随着已放出贷款规模的增多,银行的可贷资金会越来越紧张,银行将更加谨慎的做出每一笔贷款决定,会加强对贷款申请者的审核以及监督,尤其到了年底,银行要盘点、清帐、年终,各家银行的贷款规模和额度都基本用完,银行不仅要考虑存贷比的考核,还要面临总行信贷规模的考核,因此对此时的信贷上,银行都做出了不鼓励、不支持的态度。所以在下半年尤其是越到年底的时候能获得银行贷款的企业一定是经过银行严格筛选并且其经营状况和还债能力是令银行相当放心的。而此时贷款公告所包含的信息含量也应该是最有价值的。由此我们可以推断,公司获得贷款的时间越接近年底,其贷款公告后的超额收益就应该会越高。在上述假设的前提下,本文首先选取了法定存款准备金率、同业拆借利率作为衡量货币政策松紧度的指标,以及采用虚拟变量将贷款公告时间分为上半年和下半年的方法,对事件窗中的累积超额收益率进行回归分析,检验超额收益是否在银行信贷资金不同的状况下会有所不同。结果显示,上述三个变量的系数与我们的假设基本上是相符的,但是显著性水平都不高。对于上述结果,我们做进一步的思考,上述选取的变量是否真的很恰当的反映了当前的货币政策松紧度。我们都知道央行实施货币政策的工具是多样的,方法是综合的,除了调整存款准备金外,还有制定基准利率、为商业银行等金融机构办理再贴现、向商业银行提供贷款、在公开市场上买卖国债、其他政府债券和金融债券及外汇等一系列的手段。所以为描述贷款公告时所处的准确的货币政策,我们需要考虑多方面的因素加以判断。本文根据央行官方公布的货币政策以及央行一些具体的公开市场操作,结合法定存款准备金率、拆借利率、基准利率和国库券利率的变化情况,我们将2005年至2008年上半年以及2010年定义为货币政策紧缩阶段,2008年下半年至2009年全年为货币政策宽松阶段,并且通过虚拟变量的方式定义货币政策的松紧状态,再次对超额收益率做回归分析。检验结果显示,当实行紧缩的货币政策时,上市公司银行贷款公告引起的股价超额收益率将大于实行宽松的货币政策时发布的银行贷款公告所引起的超额收益,并且通过了5%置信水平下的显著性检验；而且,模型的拟合优度较之前的还有小幅的提升。因此,该结论很好的证实了我们之前的假设,在银行的信贷资金量因货币政策松紧度不同而有所不同的前提下,当货币政策相对紧张时,市场对此时公布的贷款协议将会产生更多的超额收益,说明了我国投资者在一定程度上是认同商业银行对借款企业的这种监督作用。另外,本文的创新之处在于：现有的有关上市公司银行贷款公告市场反应方面的研究中,无论是国外的还是国内的,在对超额收益的影响因素进行分析时,都只考虑到了借款企业方面的特征和贷款本身的特性。而本文在综合前人已考虑过的有关变量的基础上,重点考察银行信贷资金状况的不同这一方面的因素对超额收益的影响,并利用货币政策的松紧度和贷款所在月份的不同来衡量银行信贷资金的紧张程度。考虑这一因素,主要是为了分析不同的货币政策状态以及不同的贷款时间下,即银行的信贷资金状况不同的条件下,银行贷款公告的超额回报率会有怎样的变化,同时通过这种变化来间接推测我国投资者是否认同银行对借款企业的监督作用。
[Abstract]:China's capital market has developed rapidly, but the enterprises financing structure of our country and did not change. According to the people's Bank of Chinese website statistics showed that the proportion of the annual loan financing basically remained at about 80%, equity financing and non mortgage debt financing in the financing structure of China's enterprises are still in for a relatively low proportion. Listed companies, even if you can use the capital market to diversify financing and there is equity financing preference, but the bank loan amount is still large, basically more than half of its total liabilities and the amount of the loan is not decreased but increased year by year. This shows that the bank loan indirect financing, securities market financing is supplemented by the listed companies in China at present the basic pattern of financing, bank loan financing is still in the company But it occupies an irreplaceable position.
It is because of this Bank of the enterprise special role, which makes the existence of interdependence and mutual promotion between them. On the one hand, the bank will tighten credit funds by relaxing or affect the operation and development of the enterprise. If an enterprise can get bank credit support, and can reasonably and effectively use the borrowed funds, the enterprise will to obtain significant financial leverage, which is conducive to the development of enterprises; on the other hand, the quality of enterprises operating conditions will affect the development of the bank credit funds, security depends on whether the enterprise operation is normal. So, strict bank will loan to the borrower and continued after the loan before the review supervision, and in this regard, banks tend to have more information and technical advantages than the average investor. After the examination before the loan and bank loan business, said That at least its development prospects and financial condition should be assured that banks, loans, in order to ensure the safety of funds, the bank will play a major creditor status, continuous monitoring of the borrower, the supervision function helps to perfect the external supervision mechanism of enterprises, which can reduce the degree of information asymmetry and agency costs in the to a certain extent.
The supervision of Bank of the enterprise have been discussed by scholars at home and abroad. Domestic research, Hu Yiming, Xie Shipu, Deng Li and Zhang Zongyi, said China's banking listed companies have a supervisory role. Because of the importance of the supervision of plus bank loans for the development of enterprises, it will lead to the market of listed companies announced bank loan agreement produced a strong reaction. At the same time, we also pay attention to the status of bank credit funds will be affected by many macroeconomic factors, including the tightness of monetary policy and different months. And the situation of the bank's credit funds will affect the credit decisions, including the borrower's supervision and audit efforts. So, in the state of different monetary policy and different loan time under the premise that the different conditions of the bank credit funds What are the different market reactions caused by bank loan announcements of listed companies? And whether this difference can reflect our investors' role in monitoring the supervision role of banks to loan companies will be the focus of this paper.
First of all, this paper selects the listed company issued between 2005 and 2010 the bank loan announcement as the research object, follow certain principles and selected 341 valid samples to conduct an empirical study on market reaction using event study method on bank loans caused by the announcement, and using the method of statistical parameters and non parameters of sample stock price the excess rate of return were analyzed. The results showed that the market of Chinese listed companies issued a bank loan announcement this incident had a strong reaction, which is manifested in the announcement a few days before, on the same day, the stock of listed companies appeared significantly different from the average excess return rate of 0 and the cumulative abnormal return in the event window, the overall market reaction is negative, which means that our investors to this company as a "bad" event in the short term, this country and abroad The empirical results are different. In addition, in this study, a bank loan announcement abnormal stock returns generated by this event the company basically appeared in about 8 days before the announcement, and through a significant test, the relevant evidence that the loan information may have been leaked in advance, the existence of "information leakage" the problems in China's market.
Secondly, the bank loans of listed companies notice the excess rate of return, for further studies on the influence of different factors on the excess rate of return, we control and loan itself and borrowing company related variables on the basis of the above analysis, focuses on the influence of some variables and bank credit conditions related to excess return. These are not change what scholars consider the key factors but are likely to affect the market reaction strength. Based on multivariate linear regression analysis based on the excess rate of return, in order to find out the market investors are aware and identify relevant evidence has the supervision function of bank loan business.
The specific analysis process, on the one hand, the difference of monetary policy on bank credit decisions will ultimately have an important impact, when the central bank to tighten monetary policy, through the transmission mechanism of monetary policy led to the bank loan funds can be reduced, the cost of capital will be higher, so the bank for each loan payment will become more cautious, the loan applicant's operating conditions before lending, credit and other aspects of a more rigorous review, after the loan will conduct monitoring of the borrower, to ensure the safety of loan. We can conclude that in periods of tight monetary policy, the bank will increase the supervision of enterprises, enterprises want to obtain loans from the bank will be difficult than easing period, therefore, the monetary tightening of bank loans during the announcement should be cited More of the excess rate of return; on the other hand, loans at different time, will also affect the borrowing enterprise stock excess return. There are limits to commercial bank loans each year. Generally speaking, in the first half of the year, the bank for loan business loans is more abundant, the difficulty is relatively small; but in the second half of the year, has increased the scale of loans released with bank loanable funds will become increasingly tight, banks will be more cautious to make every loan decision, applicants will strengthen the audit and supervision of loans, especially at the end of the year, the bank will check clearing, at the end of the year, the bank's loan the size and amount of the basic run out, not only to consider the bank loan ratio assessment, but also with the head office credit assessment, so the credit, banks have made encouraging, does not support the attitude. So in the second half The year especially at the end of the year to obtain bank loans through bank enterprises must be carefully selected and its operating conditions and solvency of the bank is quite safe. And the information content contained in this announcement the loan should also be the most valuable. So we can deduce that the time is close to the company to obtain loans at the end of the loan after the announcement of the excess returns should be higher and higher. In the premise of the above hypothesis, this paper selects the legal deposit reserve rate, the interbank interest rate as a measure of the tightness of monetary policy indicators, and the use of dummy variables will loan announcement time is divided into the first half and the second half of the cumulative method. The excess return rate in the event window of the regression analysis, to test whether excess returns will vary in bank credit funds under the different condition. The results show that the above three variables. It is basically consistent with our assumptions, but the level of significance is not high.
For the above results, we do a further consideration, the selected variables really reflect the current monetary policy tightness. We all know that the central bank to implement monetary policy tools are diverse and the method is comprehensive, in addition to adjust the deposit reserve, and set the benchmark interest rate, rediscount for commercial banks and other financial institutions to provide loans to commercial banks, the sale of bonds in the open market, other government bonds, financial bonds and foreign exchange and a series of methods. So the description of the loan announcement when accurate monetary policy, we need to consider many factors to judge. According to the official announcement of the central bank monetary policy the central bank and some open market operations, combined with the legal deposit reserve rate, lending rate, the benchmark interest rate and the Treasury bill rate changes, we will from 2005 to 20 08 in the first half of 2010, defined as the tightening of monetary policy, the second half of 2008 to the year 2009 for the loose monetary policy stage, and the dummy variable defined by the tightness of monetary policy, again on the excess rate of return to do regression analysis. Test results show that, when the implementation of tight monetary policy, bank loan announcements of listed companies the price caused by the excess rate of return will be greater than the release of accommodative monetary policy when the bank loan announcement caused by excess returns, and through a significant test in 5% confidence level; moreover, the model goodness of fit than before and slightly improved. Therefore, the conclusion is well confirmed before us the assumption that varies depending on the premise of monetary policy by the tightness of credit funds in different bank, when monetary policy is relatively tight, the market for loans released at this time The agreement will produce more excess returns, indicating that our investors, to a certain extent, agree with the supervisory role of commercial banks for the borrowers.
In addition, the innovation of this paper: the relevant bank listed companies existing loan announcement in terms of market reaction, whether foreign or domestic, analyzed the influence factors on the excess return, only considering the characteristics of the borrower and loan characteristics. Based on the variable itself and this the former has been considered on the effects of different factors on inspecting the situation of bank credit funds for excess returns, and the use of the tightness of monetary policy and the loan of the month to measure different bank credit funds for the degree of tension. Considering this factor, is mainly to analyze the different policy the state of the currency and different loan period, the bank credit funds in different conditions, a bank loan announcement of the excess rate of return will be how to change at the same time, through this A variety of changes will be used to indirectly speculate on whether Chinese investors agree with the supervisory role of the bank on the borrower.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.4;F224

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