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題名：企業財務危機對貸款銀行股價的影響
書刊名：環球科技人文學刊
作者：黃江川
作者(外文)：Huang, Jiang-chuan
出版日期：2007
卷期：6
頁次：頁1-20
主題關鍵詞：企業財務危機；事件研究法；銀行放款；Corporate distress；Event study method；Bank loan
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:7
  • 點閱點閱:818
本研究以1996年至2005年期間，發生財務危機之國內上市櫃公司為研究樣本，主要目的在以事件研究法衡量借款公司宣告財務危機對貸款銀行股價影響，進而探討公司財務危機對貸款銀行股價影響的程度及速度。根據研究實證結果發現，借款公司發生借款信用違約或被宣告為全額交割股財務危機時，主要貸款銀行股價會產生顯著之負平均異常報酬率。此外，貸款銀行對危機公司的放款暴露比率越高，則在借款公司發生財務危機時，貸款銀行股價負累積異常報酬率愈大。總結而論，借款公司財務危機對主要貸款銀行股東而言，是一項逆向訊息，且該訊息會在事件日前提前反應，並持續到事件日以後。
This research collects data from Taiwan listed companies that encounter financial distress over the period 1996-2005 to analyze the lending bank’s share price reaction when one of a bank’s corporate borrowers enters financial distress as reflected by a loan default and/or margin trading. Based on the empirical findings, the news of a corporate distress has a materially adverse impact on the stock prices of the main lending bank as well as the effects of the news on the lending banks’ share prices response ahead of time and last to even after the distressed event day. In addition, banks with higher exposure to the distressed firm have larger negative announcement period returns.
期刊論文
1.Houston, J. F.、James, C. M.(2001)。Do Relationships Have Limits? Banking Relationships, Financial Constraints, and Investments。Journal of Business，74(3)，347-374。  new window
2.Kracaw, W. A.、Zenner, M.(1996)。The Wealth Effects of Bank Financing Announcements in Highly Leveraged Transactions。Journal of Finance，51(5)，1931-1946。  new window
3.Gilson, Stuart C.、John, Kose、郎咸平(1990)。Troubled Debt Restructurings: An Empirical Study of Private Reorganization of Firms in Default。Journal of Financial Economics，27(2)，315-354。  new window
4.Gande, A.、Puri, M.、Saunders, A.、Walter, I.(1997)。Bank Underwriting of Debt Securities: Modem Evidence。Review of Financial Studies，10，1175-1202。  new window
5.Scharfstein, David、Kashyap, Anil、Hoshi, Takeo A.(1990)。The Role of Banks in Reducing the Costs of Financial Distress in Japan。Journal of Financial Economics，27，67-88。  new window
6.何加政、賴怡洵、林文昌(2006)。台灣地區聯合放款契約宣告效果。證券市場發展季刊，18(1)，30-61。new window  延伸查詢new window
7.陳曉蓉、蔡欣貝(20051200)。臺灣聯合貸款宣告所引發之市場反應。金融風險管理季刊，1(4)，19-41。  延伸查詢new window
8.Benveniste, L. M.、Singh, M.、Wilhelm, W. J.(1993)。The Failure of Drexel Burnham Lambert: Evidence on the Implications for Commercial Banks。Journal of Financial Intermediation，3，104-137。  new window
9.Boot, A.(2000)。Relationship Bank: What Do We Know?。Journal of Financial Intermediation，9，7-25。  new window
10.Dahiya, S.、Puri, M.、Saunders, A.(2002)。Bank Borrowers and Loan Sales: New Evidence on the Uniqueness of Bank。Journal of Business。  new window
11.Dahiya, S.、Saunders, A.、Srinivasan, A.(200302)。Financial Distress and Bank Lending Relationships。The Journal of Finance，58(1)。  new window
12.Grammatikos, T.、Saunders, A.(1990)。Addition to Bank Loan-loss Reserves: Good News or Bad News?。Journal of Monetary Economics，25，289-304。  new window
13.Franks, J. R.、Torous, Walter N.(1994)。A Comparison of Financial Recontracting in distressed Exchanges and Chapter 11 Reorganizations。Journal of Financial Economics，35(3)，349-370。  new window
14.Lamy, R. E.、Marr, W.、Thompson, G. R.(1986)。The Mexican Debt Crisis, the IMF, and the Efficiency of Bank Share Prices。Studies in Banking and Finance，3，203-217。  new window
15.Mikkelson, W.、Partch, M.(1986)。Valuation Effects of Securities Offerings and the Issuance Process。Journal of financial Economics，15，31-60。  new window
16.Musumeci, J. J.、Sinkey, J. H. Jr.(1990)。The International Debt Crisis, Investor Contagion, and Bank Security Returns in 1987: The Brazilian Experience。Journal of Money, Credit and Banking，22，209-220。  new window
17.Peterson, M. A.、Rajan, R. G.(1994)。The Benefit of Lending Relationships: Evidence from Small Business Data。Journal of Business，66，69-92。  new window
18.Puri, M.(1996)。commercial Banks in Investment Banking: Conflict of Interest or Certification Role?。Journal of Financial Economics，40，373-401。  new window
19.Smith, C. W.(1992)。Economics and Ethics: The Case of Salomon Brothers。Journal of Applied Corporate Finance，5(2)，23-38。  new window
20.王健安(2004)。危機銀行(公司)事件對其借貸往來公司(銀行)股價的影響。證券市場發展季刊，16(1)，123-164。new window  延伸查詢new window
21.Lummer, S.、Mcconnell, J.(1989)。Future Evidence on the Bank Lending Process and the Capital Market Responses to Bank Loan Agreements。Journal of Financial Economics，25，99-122。  new window
22.Slovin, M. B.、Johnson, S. A.、Glascock, J. L.(1992)。Firm size and the information content of bank loan announcements。Journal of Banking and Finance，16，1057-1071。  new window
23.Weiss, L. A.(1990)。Bankruptcy Resolution: Direct Costs and Violation of Priority of Claims。Journal of Financial Economics，27，285-314。  new window
24.Chemmanur, Thomas J.、Fulghieri, Paolo(1994)。Reputation, Renegotiation, and the Choice between Bank Loans and Publicly Traded Debt。The Review of Financial Studies，7(3)，475-506。  new window
25.Rajan, Raghuram G.(1992)。Insiders and Outsiders: The Choice between Informed and Arm's-Length Debt。The Journal of Finance，47(4)，1367-1400。  new window
26.Faleye, O.(2004)。Cash and Corporate Control。The Journal of Finance，59(5)，2041-2060。  new window
27.Diamond, Douglas W.(1984)。Financial intermediation and delegated monitoring。The Review of Economic Studies，51(3)，393-414。  new window
28.Diamond, Douglas W.(1991)。Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt。Journal of Political Economy，99(4)，689-721。  new window
29.Morck, R.、Nakamura, M.(1999)。Banks and corporate control in Japan。The Journal of Finance，54(1)，319-339。  new window
30.Miller, Merton H.、Rock, Kevin(1985)。Dividend policy under asymmetric information。The Journal of Finance，40(4)，1031-1051。  new window
31.Ball, Ray、Brown, Philip(1968)。An Empirical Evaluation of Accounting Income Numbers。Journal of Accounting Research，6(2)，159-178。  new window
32.Lee, Tsun-Siou、Yeh, Yin-Hua(2004)。Corporate Governance and Financial Distress: Evidence from Taiwan。Corporate Governance: An International Review，12(3)，378-388。  new window
33.Fama, Eugene F.(1985)。What's Different about Banks?。Journal of Monetary Economics，15(1)，29-39。  new window
34.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance，25(2)，383-417。  new window
35.Brown, Stephen J.、Warner, Jerold B.(1985)。Using Daily Stock Returns: The Case of Event Studies。Journal of Financial Economics，14(1)，3-31。  new window
36.Smirlock, M.、Kaufold, H.(1987)。Bank Foreign Lending, Mandatory Disclosure Rules, and the Reaction of Bank Stock Prices to the Mexican Debt Crisis。The Journal of Business，60(3)，347-364。  new window
37.James, C.,(1987)。Some evidence of the uniqueness of bank loans。Journal of Financial Economics，19，217-235。  new window
研究報告
1.Rouge, B.(2003)。Are Bank Lending Relationships Always Beneficial?。Louisiana State University。  new window
2.Bayoumi, T. E.(1999)。Currency Unions, Economic Fluctuations and Adjustment: Some Empirical Evidence。沒有紀錄：Simon Fraster University。  new window
圖書
1.沈中華、李建然(2000)。事件研究法--財務與會計實證研究必備。華泰文化事業公司。  延伸查詢new window
圖書論文
1.Hoshi, T.、Kashyap, A.、Scharfstein, D.(2000)。Bank Monitoring and Investment: Evidence from the Changing Structure of Japanese Corporate Banking Relationship。NBER Proceeding on the special issue: Asymmetric Information, Corporate Finance, and Investment。  new window
2.Gupton, G. M.、Gates, D.、Carey, L. V.(200011)。Bank Loan Loss Given Default。Moody's Investors Service Global Credit Research Special Comment。  new window
 
 
 
 
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