本文關(guān)鍵詞：貸款公告、銀行監(jiān)督及外部環(huán)境　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：我國(guó)資本市場(chǎng)雖然已有了快速的發(fā)展,但是我國(guó)企業(yè)的融資結(jié)構(gòu)并沒(méi)有發(fā)生本質(zhì)的變化。根據(jù)中國(guó)人民銀行網(wǎng)站數(shù)據(jù)統(tǒng)計(jì)得知,貸款融資比重每年基本上都保持在80%左右,股權(quán)融資和非貸款類債務(wù)融資在我國(guó)企業(yè)的融資結(jié)構(gòu)中仍占著比較低的比例。就上市公司而言,即使可以利用資本市場(chǎng)進(jìn)行多樣化融資并且也存在著股權(quán)融資偏好,但是其銀行借款的數(shù)額仍然很大,基本上都超過(guò)了其負(fù)債總額的一半以上并且借款數(shù)額沒(méi)有下降趨勢(shì)反而逐年上升。這說(shuō)明,以銀行貸款等間接融資為主、證券市場(chǎng)融資為輔的方式仍是我國(guó)上市公司目前最基本的融資格局,銀行貸款在公司融資方面仍然占據(jù)無(wú)可替代的地位。 正是由于銀行對(duì)企業(yè)的這種特殊作用,使得他們之間存在著相互依賴又相互促進(jìn)的關(guān)系。一方面,銀行會(huì)通過(guò)放寬或收緊信貸資金影響著企業(yè)的經(jīng)營(yíng)發(fā)展。如果企業(yè)能夠得到銀行的信貸支持,并且能夠合理有效的運(yùn)用所借資金,則企業(yè)將會(huì)獲得顯著的財(cái)務(wù)杠桿收益,從而有利于企業(yè)的發(fā)展；另一方面,借款企業(yè)經(jīng)營(yíng)狀況的好壞又會(huì)對(duì)銀行的發(fā)展產(chǎn)生很大的影響,信貸資金是否安全取決于企業(yè)運(yùn)作是否正常。所以,銀行會(huì)對(duì)借款企業(yè)進(jìn)行嚴(yán)格的貸前審查和持續(xù)的貸后監(jiān)督,而在這方面,銀行往往比一般投資者具有更多的信息以及技術(shù)上的優(yōu)勢(shì)。經(jīng)過(guò)貸前審核且獲得銀行貸款的企業(yè),說(shuō)明至少其發(fā)展前景和財(cái)務(wù)狀況應(yīng)該是令銀行放心的,而發(fā)放貸款后,為保證資金的安全,銀行會(huì)發(fā)揮大債權(quán)人身份,對(duì)借款企業(yè)進(jìn)行持續(xù)監(jiān)督,這種監(jiān)督作用則有助于完善企業(yè)的外部監(jiān)管機(jī)制,進(jìn)而能在一定程度上降低信息不對(duì)稱程度以及代理成本。 銀行對(duì)企業(yè)的這種監(jiān)督作用很早就被國(guó)內(nèi)外的學(xué)者們所討論。就國(guó)內(nèi)的研究而言,胡奕明、謝詩(shī)莆、鄧?yán)蚝蛷堊谝娴热硕急硎疚覈?guó)銀行對(duì)上市公司存在著一定的監(jiān)督作用。正是由于這種監(jiān)督作用再加上銀行貸款對(duì)于企業(yè)發(fā)展的重要性,所以會(huì)導(dǎo)致市場(chǎng)對(duì)上市公司銀行貸款協(xié)議的公布產(chǎn)生強(qiáng)烈的反應(yīng)。同時(shí),我們又注意到銀行的信貸資金狀況會(huì)受到很多宏觀因素的影響,其中包括貨幣政策的松緊度以及不同的月份等。而銀行的信貸資金狀況又會(huì)影響到其信貸決策,包括對(duì)借款者的監(jiān)督審核力度等。那么,在不同的貨幣政策狀態(tài)以及不同的貸款時(shí)間下,即銀行的信貸資金狀況不同的前提下,上市公司銀行貸款公告所引起的市場(chǎng)反應(yīng)有怎樣的不同,以及這種不同能否體現(xiàn)我國(guó)投資者認(rèn)同銀行對(duì)借款企業(yè)的監(jiān)督作用,這將是本文所研究的重點(diǎn)。 首先,本文選取了我國(guó)上市公司在2005年至2010年間發(fā)布的銀行貸款公告為研究對(duì)象,遵循一定的原則篩選出341個(gè)有效樣本,運(yùn)用事件研究法對(duì)銀行貸款公告所引起的市場(chǎng)反應(yīng)進(jìn)行實(shí)證研究,并利用參數(shù)以及非參數(shù)的統(tǒng)計(jì)方法對(duì)樣本股價(jià)的超額收益率進(jìn)行顯著性檢驗(yàn)。結(jié)果發(fā)現(xiàn),市場(chǎng)對(duì)我國(guó)上市公司發(fā)布銀行貸款公告這一事件產(chǎn)生了強(qiáng)烈的反應(yīng),具體表現(xiàn)為在公告日之前的幾天以及當(dāng)天,上市公司的股價(jià)出現(xiàn)了顯著異于0的平均超額收益率和累積超額收益率。而在事件窗口內(nèi),市場(chǎng)的整體反應(yīng)為負(fù)的,說(shuō)明我國(guó)的投資者在短期內(nèi)把公司的這-行為視為一個(gè)“利空”的事件,這與國(guó)外的相關(guān)實(shí)證結(jié)果有所差異。另外,在本文的研究中,銀行貸款公告這一事件所產(chǎn)生的公司股價(jià)異常收益率基本上出現(xiàn)在公告日的前8天左右,且通過(guò)了顯著性檢驗(yàn),相關(guān)證據(jù)表明該貸款信息很可能已提前泄露,我國(guó)市場(chǎng)中存在“信息泄漏”的問(wèn)題。 其次,在得到上市公司銀行貸款公告的超額收益率后,為進(jìn)一步研究影響超額收益率的不同因素,我們?cè)诳刂屏伺c貸款本身以及借款公司相關(guān)特征的變量基礎(chǔ)上,重點(diǎn)研究前文分析的與銀行信貸資金狀況有關(guān)的一些變量對(duì)超額收益率的影響。這些量變都是未被以前學(xué)者所考慮但極有可能會(huì)影響市場(chǎng)反應(yīng)強(qiáng)弱的關(guān)鍵因素。通過(guò)對(duì)超額收益率進(jìn)行多元線性回歸分析的基礎(chǔ)上,意在找出市場(chǎng)投資者是否察覺(jué)以及認(rèn)同銀行對(duì)借款企業(yè)具有監(jiān)督作用的有關(guān)證據(jù)。 具體分析過(guò)程為,一方面,貨幣政策的不同對(duì)銀行最終的信貸決策會(huì)產(chǎn)生重要的影響,當(dāng)央行采取緊縮的貨幣政策時(shí),將通過(guò)貨幣政策傳導(dǎo)機(jī)制導(dǎo)致銀行可貸資金的減少,資金成本也會(huì)變得更高,所以銀行對(duì)于每一筆貸款的發(fā)放會(huì)變得更加的謹(jǐn)慎,在放貸前會(huì)對(duì)貸款申請(qǐng)人的經(jīng)營(yíng)狀況、信用記錄等各個(gè)方面進(jìn)行更為嚴(yán)格的審查,在貸后也會(huì)時(shí)刻監(jiān)督借款人的經(jīng)營(yíng)行為,確保貸款資金的安全。由此我們可以推斷,在實(shí)行從緊的貨幣政策時(shí)期,銀行將會(huì)加大對(duì)借款企業(yè)的監(jiān)督力度,企業(yè)要想從銀行獲得貸款的難度將會(huì)比寬松政策時(shí)期的大,所以,貨幣政策緊縮時(shí)期的銀行貸款公告應(yīng)當(dāng)會(huì)引起更多的超額收益率；另一方面,貸款發(fā)放所處時(shí)間段不同,也會(huì)影響借款企業(yè)股價(jià)的超額收益率。商業(yè)銀行每年都有一定限度的貸款額度。一般來(lái)說(shuō),在上半年,銀行的可資貸金較為充裕,企業(yè)獲得貸款的難度相對(duì)較��；而到了下半年,隨著已放出貸款規(guī)模的增多,銀行的可貸資金會(huì)越來(lái)越緊張,銀行將更加謹(jǐn)慎的做出每一筆貸款決定,會(huì)加強(qiáng)對(duì)貸款申請(qǐng)者的審核以及監(jiān)督,尤其到了年底,銀行要盤(pán)點(diǎn)、清帳、年終,各家銀行的貸款規(guī)模和額度都基本用完,銀行不僅要考慮存貸比的考核,還要面臨總行信貸規(guī)模的考核,因此對(duì)此時(shí)的信貸上,銀行都做出了不鼓勵(lì)、不支持的態(tài)度。所以在下半年尤其是越到年底的時(shí)候能獲得銀行貸款的企業(yè)一定是經(jīng)過(guò)銀行嚴(yán)格篩選并且其經(jīng)營(yíng)狀況和還債能力是令銀行相當(dāng)放心的。而此時(shí)貸款公告所包含的信息含量也應(yīng)該是最有價(jià)值的。由此我們可以推斷,公司獲得貸款的時(shí)間越接近年底,其貸款公告后的超額收益就應(yīng)該會(huì)越高。在上述假設(shè)的前提下,本文首先選取了法定存款準(zhǔn)備金率、同業(yè)拆借利率作為衡量貨幣政策松緊度的指標(biāo),以及采用虛擬變量將貸款公告時(shí)間分為上半年和下半年的方法,對(duì)事件窗中的累積超額收益率進(jìn)行回歸分析,檢驗(yàn)超額收益是否在銀行信貸資金不同的狀況下會(huì)有所不同。結(jié)果顯示,上述三個(gè)變量的系數(shù)與我們的假設(shè)基本上是相符的,但是顯著性水平都不高。 對(duì)于上述結(jié)果,我們做進(jìn)一步的思考,上述選取的變量是否真的很恰當(dāng)?shù)姆从沉水?dāng)前的貨幣政策松緊度。我們都知道央行實(shí)施貨幣政策的工具是多樣的,方法是綜合的,除了調(diào)整存款準(zhǔn)備金外,還有制定基準(zhǔn)利率、為商業(yè)銀行等金融機(jī)構(gòu)辦理再貼現(xiàn)、向商業(yè)銀行提供貸款、在公開(kāi)市場(chǎng)上買賣國(guó)債、其他政府債券和金融債券及外匯等一系列的手段。所以為描述貸款公告時(shí)所處的準(zhǔn)確的貨幣政策,我們需要考慮多方面的因素加以判斷。本文根據(jù)央行官方公布的貨幣政策以及央行一些具體的公開(kāi)市場(chǎng)操作,結(jié)合法定存款準(zhǔn)備金率、拆借利率、基準(zhǔn)利率和國(guó)庫(kù)券利率的變化情況,我們將2005年至2008年上半年以及2010年定義為貨幣政策緊縮階段,2008年下半年至2009年全年為貨幣政策寬松階段,并且通過(guò)虛擬變量的方式定義貨幣政策的松緊狀態(tài),再次對(duì)超額收益率做回歸分析。檢驗(yàn)結(jié)果顯示,當(dāng)實(shí)行緊縮的貨幣政策時(shí),上市公司銀行貸款公告引起的股價(jià)超額收益率將大于實(shí)行寬松的貨幣政策時(shí)發(fā)布的銀行貸款公告所引起的超額收益,并且通過(guò)了5%置信水平下的顯著性檢驗(yàn)；而且,模型的擬合優(yōu)度較之前的還有小幅的提升。因此,該結(jié)論很好的證實(shí)了我們之前的假設(shè),在銀行的信貸資金量因貨幣政策松緊度不同而有所不同的前提下,當(dāng)貨幣政策相對(duì)緊張時(shí),市場(chǎng)對(duì)此時(shí)公布的貸款協(xié)議將會(huì)產(chǎn)生更多的超額收益,說(shuō)明了我國(guó)投資者在一定程度上是認(rèn)同商業(yè)銀行對(duì)借款企業(yè)的這種監(jiān)督作用。 另外,本文的創(chuàng)新之處在于：現(xiàn)有的有關(guān)上市公司銀行貸款公告市場(chǎng)反應(yīng)方面的研究中,無(wú)論是國(guó)外的還是國(guó)內(nèi)的,在對(duì)超額收益的影響因素進(jìn)行分析時(shí),都只考慮到了借款企業(yè)方面的特征和貸款本身的特性。而本文在綜合前人已考慮過(guò)的有關(guān)變量的基礎(chǔ)上,重點(diǎn)考察銀行信貸資金狀況的不同這一方面的因素對(duì)超額收益的影響,并利用貨幣政策的松緊度和貸款所在月份的不同來(lái)衡量銀行信貸資金的緊張程度�？紤]這一因素,主要是為了分析不同的貨幣政策狀態(tài)以及不同的貸款時(shí)間下,即銀行的信貸資金狀況不同的條件下,銀行貸款公告的超額回報(bào)率會(huì)有怎樣的變化,同時(shí)通過(guò)這種變化來(lái)間接推測(cè)我國(guó)投資者是否認(rèn)同銀行對(duì)借款企業(yè)的監(jiān)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.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F275;F832.4;F224

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