本文選題：銀行貸款 + 侵占效應(yīng)　； 參考：《南京財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：傳統(tǒng)的債務(wù)治理理論認(rèn)為銀行貸款可以對上市公司的財(cái)務(wù)情況起到很好的監(jiān)督作用，因此股票市場對上市公司銀行貸款公告的反應(yīng)為正。然而研究表明如果上市公司的大股東和小股東之間存在嚴(yán)重代理問題在獲得銀行貸款后增加了可利用資源，大股東可能會通過關(guān)聯(lián)交易等方式侵占小股東權(quán)益。 本文首先對2007-2010年我國A股上市公司銀行貸款公告期間累積超額收益率進(jìn)行分析發(fā)現(xiàn)累積超額收益率在[-10,10]的時間窗口內(nèi)先下降后上升，在發(fā)布公告日后的第三天達(dá)到最小值為-0.00637。這支持了銀行貸款具有侵占效應(yīng)的理論。在隨后的實(shí)證分析中，發(fā)現(xiàn)上市公司的自由現(xiàn)金流和累積超額收益率正相關(guān)，表明銀行貸款具有一定程度的監(jiān)督效應(yīng)；股權(quán)集中度，關(guān)聯(lián)交易和累積超額收益率負(fù)相關(guān)表明銀行貸款確實(shí)存在侵占效應(yīng)。由于累積超額收益率整體偏負(fù)，，這表明目前侵占效應(yīng)在我國起主導(dǎo)作用。然后從銀行角度發(fā)現(xiàn)發(fā)放貸款銀行的不良貸款率和累積超額收益關(guān)系并不顯著，銀行聲譽(yù)和累積超額收益率正相關(guān)，這表明雖然銀行貸款存在侵占效應(yīng)，但從聲譽(yù)良好的銀行貸款會減輕這種侵占效應(yīng)。 鑒于我國銀行在發(fā)放貸款時會對國有上市公司有選擇性偏向，本文將研究樣本分上為國有控股上市公司和非國有控股上市公司再進(jìn)行實(shí)證檢驗(yàn)。結(jié)果表明：國有控股上市公司發(fā)布銀行貸款公告會有更加明顯為負(fù)的累積超額收益率。
[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.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.4

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本文編號：1806004