贷款公告效应悖论及其对股票价格影响研究

发布时间：2018-01-31 23:04

本文关键词： 贷款公告配对样本事件研究超额回报率　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：在中国,以银行为主导、企业主要依靠银行贷款进行融资的金融环境中,出于维持金融秩序、保证就业、社会稳定、配合相关政策导向等目的,政府对金融系统的影响和控制比较强势。不同于欧美的完全竞争市场,中国的商业银行在进行贷款决策时,并不是依据企业的盈利能力和未来偿还贷款的能力,而是更注重贷款者的企业属性、社会背景等。因而在中国信贷市场中,出现了经营能力越差的企业反而更容易获得贷款的扭曲现象。本文利用事件研究的方法,对上市公司在获得银行贷款前后的ROA、ROE进行了纵向(企业自身在取得银行贷款的前后)和横向(与行业的中位数、均值)的比较。实证研究发现,长期来看,企业在获得银行贷款后,其经营业绩出现了明显的下滑。另外,通过计算时间跨度不同的事件窗的累计超额回报率,发现,发布贷款公告的原始样本呈现出显著的负向累计超额收益率,其负向的幅度一般都比配对样本更大,表明市场对于贷款公告的反应是消极的。根据截面数据的回归分析结果发现,外部投资者对于经营能力下降、对外融资依赖程度越高的企业获得贷款的解读更为消极；同时,企业在流动性比较紧张时获得贷款,短期内其股票价格的下降更为明显。综上所述,中国的股票市场上,公告披露的信息含量是很有限的,贷款公告并不能很好地减少投资者与企业之间信息不对称的情况,市场对于贷款公告的解读是比较消极的。
[Abstract]:In order to maintain financial order, ensure employment, social stability and cooperate with related policies, enterprises mainly rely on bank loans to finance the financial environment in China, in order to maintain the financial order, ensure employment, social stability, and so on. Unlike the completely competitive market in Europe and the United States, Chinese commercial banks do not make loan decisions on the basis of the profitability of enterprises and the ability to repay loans in the future. It pays more attention to the enterprise attribute and social background of the lender, so in the credit market of China, the worse the management ability, the more easily the enterprises get the distortion of the loan. In this paper, we use the method of event study to carry out vertical (before and after obtaining bank loans) and horizontal (with the median of industry) of listed companies before and after obtaining bank loans. Empirical study shows that, in the long run, after obtaining bank loans, the business performance of enterprises has declined significantly. In addition, by calculating the cumulative excess return rate of event window with different time span, it is found that the original sample of loan announcement shows a significant negative cumulative excess return rate. The negative range is generally larger than the matched sample, indicating that the market response to loan announcements is negative. According to the regression analysis of cross-section data, it is found that the external investors have a more negative interpretation of the higher degree of external financing dependence and the decline of operating ability. At the same time, companies get loans when liquidity is tight, and the fall in stock prices is more pronounced in the short term. To sum up, in China's stock market, the disclosure of information content is very limited, loan announcement can not reduce the information asymmetry between investors and enterprises. The market's interpretation of loan announcements is more negative.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4;F832.51

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