本文選題：貸款公告 + 聯(lián)合授信　； 參考：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：隨著企業(yè)之間橫向、縱向的兼并活動(dòng)越來越頻繁,跨行業(yè)、跨區(qū)域經(jīng)營(yíng)逐漸成為企業(yè)未來發(fā)展的一種趨勢(shì)。企業(yè)的擴(kuò)大不僅伴隨著人力資源的擴(kuò)充和廠房設(shè)備的擴(kuò)建,更重要的是融資需求的增加。然而現(xiàn)階段我國(guó)資本市場(chǎng)的局限性限制了企業(yè)通過債券融資或其他直接融資渠道來獲得經(jīng)營(yíng)所需的巨額資金,而傳統(tǒng)的單個(gè)銀行一對(duì)一的貸款模式越來越無法滿足企業(yè)龐大的資金需求,在這種情況下,多家銀行聯(lián)合貸款模式以及銀團(tuán)貸款模式應(yīng)運(yùn)而生并且得到迅速發(fā)展。自2005年-2011年期間,在同一天同時(shí)向多家銀行貸款的企業(yè)數(shù)目占到進(jìn)行銀行貸款總企業(yè)數(shù)目的17.9%,其貸款金額更是占到了市場(chǎng)總銀行貸款金額的49.8%。 在企業(yè)與銀行的借貸關(guān)系中,銀行與企業(yè)即相互依賴又相互促進(jìn)。一方面,銀行會(huì)通過放寬或緊縮信貸資金影響企業(yè)的經(jīng)營(yíng)發(fā)展：在資金鏈出現(xiàn)危機(jī)時(shí),企業(yè)通過銀行貸款渡過難關(guān)或者利用杠桿效應(yīng)增加公司收益。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)生較大的影響：信貸資金能否收回以及資金收益的高低都取決于企業(yè)的經(jīng)營(yíng)績(jī)效以及未來發(fā)展?fàn)顩r。所以,銀行不僅在授信前會(huì)對(duì)借款公司進(jìn)行充分的資信調(diào)查,授信中對(duì)其信貸條件嚴(yán)格審核,而且在授信后也對(duì)企業(yè)的經(jīng)營(yíng)活動(dòng)以及資金的使用情況進(jìn)行持續(xù)的監(jiān)督,從而發(fā)揮銀行作為“大貸款人”的監(jiān)督作用。在傳統(tǒng)的單一銀行貸款模式下,銀行與公司之間的信息不對(duì)稱是制約銀行監(jiān)督效率的關(guān)鍵因素,而在聯(lián)合貸款模式(多家銀行同時(shí)向一家公司提供貸款)下,參與貸款的銀行數(shù)目眾多,銀行與銀行之間的信息不對(duì)稱問題也嚴(yán)重影響著銀行體系的監(jiān)督效率,并且參與者之間的相互作用及產(chǎn)生后果均具有更大的不確定性,使得銀行體系的監(jiān)督效率更加難以確認(rèn)與衡量。因此當(dāng)外部投資者試圖通過公司的借款行為獲取公司經(jīng)營(yíng)、財(cái)務(wù)、治理等方面的相關(guān)信息時(shí),聯(lián)合貸款行為傳遞出來的無論是信息含量還是信息質(zhì)量都會(huì)在很大程度上不同于單一銀行貸款模式下公司的借貸行為所傳遞出的信息。 公司發(fā)布銀行貸款公告后會(huì)引起公司股價(jià)變化,這一現(xiàn)象很早就受到了國(guó)外學(xué)者們的關(guān)注與討論,通過考察公告后的市場(chǎng)反應(yīng)來判斷銀行的監(jiān)督效率也是學(xué)者們?cè)谘芯裤y行是否具有“大債權(quán)人”監(jiān)督作用時(shí)普遍采用的一種研究方法。就國(guó)內(nèi)的研究而言,胡奕明、謝詩蕾、鄧?yán)蚝蛷堊谝娴热硕急硎疚覈?guó)銀行對(duì)上市公司是存在一定的監(jiān)督作用的。但聯(lián)合授信模式下銀行的監(jiān)督效率是否不同于傳統(tǒng)單一銀行貸款模式下銀行的監(jiān)督效率,國(guó)內(nèi)對(duì)此問題的研究尚屬空白,更別說通過考察貸款模式對(duì)市場(chǎng)超額收益率的影響來判斷銀行的監(jiān)督效率問題了。由上文的分析可知,不同的貸款模式下參與者之間的作用機(jī)制不同因而會(huì)向市場(chǎng)傳遞出不同的公司信息進(jìn)而引起公司超額收益率的不同變化。究竟聯(lián)合授信模式下銀行之間的作用關(guān)系是合作還是競(jìng)爭(zhēng)?銀行之間的這種相互作用是否會(huì)影響銀行的監(jiān)督效率,以及影響程度如何?這是本文的研究重點(diǎn)。 首先,本文以我國(guó)上市公司在2005年至2011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313個(gè)有效樣本,其中包括56個(gè)聯(lián)合貸款樣本和257個(gè)單一貸款樣本。接著本文運(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)總體樣本的市場(chǎng)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)為相應(yīng)的事件窗內(nèi),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,并且市場(chǎng)的整體反應(yīng)為負(fù),說明我國(guó)的投資者在短期內(nèi)把公司的銀行貸款行為視為一個(gè)“利空”的事件,這與國(guó)外的相關(guān)實(shí)證研究結(jié)果有所出入。另外,在本文的研究中,銀行發(fā)布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)在公告日的前第7天左右,且通過了顯著性檢驗(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”問題。此外,為考察兩種不同模式的貸款公告引起的公司超額收益率是否具有顯著差異,本文將總體公司樣本按照貸款模式分為了聯(lián)合貸款子樣本和單一貸款子樣本,并比較分析了兩個(gè)子樣本在不同事件窗口下的平均超額收益和累計(jì)超額收益率,結(jié)果發(fā)現(xiàn)：首先在整個(gè)事件窗內(nèi),兩個(gè)樣本的累計(jì)超額收益都呈現(xiàn)明顯的下降趨勢(shì),并且聯(lián)合貸款子樣本的累計(jì)超額收益的下降幅度要大于單一貸款累計(jì)超額收益的下降幅度,這在一定程度上說明相對(duì)于單一銀行貸款行為市場(chǎng)投資者似乎更加不認(rèn)可公司的聯(lián)合銀行貸款行為。此外,本文還對(duì)兩個(gè)子樣本的累計(jì)超額收益率在不同事件窗口內(nèi)的差異性進(jìn)行了顯著性T檢驗(yàn)和符號(hào)秩檢驗(yàn),統(tǒng)計(jì)結(jié)果顯示,在部分事件窗內(nèi)(尤其是公告前后[-1,2]時(shí)間段),兩個(gè)子樣本的累計(jì)超額收益率的差異性在5%的置信水平上通過了顯著性檢驗(yàn),從而初步驗(yàn)證了不同模式的貸款公告引起的市場(chǎng)反應(yīng)的確有所不同。 其次,在得到上市公司銀行貸款公告的超額收益率后,本文在控制了公司特質(zhì)、貸款特征以及外部環(huán)境相關(guān)變量的基礎(chǔ)上,重點(diǎn)研究了貸款模式對(duì)累計(jì)超額收益率的影響。通過將超額收益率對(duì)貸款模式及其他控制變量進(jìn)行多元線性回歸分析,意在找出不同貸款模式下銀行具有不同監(jiān)督效率的確切證據(jù)。此外,為進(jìn)一步研究聯(lián)合授信模式下影響銀行監(jiān)督效率的因素,本文在聯(lián)合貸款公司子樣本下,考察了聯(lián)合貸款特征變量—牽頭行的國(guó)有性質(zhì),牽頭行承擔(dān)的貸款金額占比對(duì)超額收益率的影響,從而進(jìn)一步揭示了聯(lián)合授信模式下各銀行之間的作用關(guān)系及其對(duì)銀行監(jiān)督效率的影響。 具體分析過程為：聯(lián)合授信模式下的借貸關(guān)系本質(zhì)上是一種共同代理關(guān)系,根據(jù)共同代理理論,銀行之間的合作與共謀能發(fā)揮信息的規(guī)模優(yōu)勢(shì),獲得共同代理關(guān)系下的規(guī)模經(jīng)濟(jì),使得銀行更加有效的發(fā)揮其“大貸款人”的監(jiān)督作用。但基于以下幾個(gè)方面的原因,參與貸款的銀行之間難以達(dá)成合作,一方面,銀行之間的信息不對(duì)稱程度不同以及不同的公司業(yè)績(jī)?cè)u(píng)價(jià)標(biāo)準(zhǔn)限制了銀行之間的合作,另一方面,無論是在授信前還是在授信后銀行都會(huì)有強(qiáng)烈的“搭便車”動(dòng)機(jī)。在授信前,銀行自身實(shí)力的限制、地域的限制、公司的業(yè)務(wù)往來歷史、其他銀行的聲譽(yù)等因素都會(huì)增加銀行收集公司信息的成本,當(dāng)銀行對(duì)此成本無法負(fù)擔(dān)或者銀行放貸后的收益無法彌補(bǔ)此成本時(shí),銀行就會(huì)有強(qiáng)烈的動(dòng)機(jī)“搭便車”。在授信后,銀行監(jiān)督活動(dòng)的外部性也會(huì)導(dǎo)致銀行的“搭便車”行為。最后,某些銀行持有“大樹底下好乘涼”的心態(tài)加上聯(lián)合授信中的“羊群效應(yīng)”會(huì)使得銀行在對(duì)公司的放款上產(chǎn)生激烈競(jìng)爭(zhēng),銀行之間的競(jìng)爭(zhēng)性不僅削弱了公司向其提供相關(guān)信息的主動(dòng)性,也會(huì)從心理上提升公司的談判地位,強(qiáng)化公司進(jìn)行信息操作、數(shù)據(jù)作假、謊報(bào)實(shí)情的動(dòng)機(jī)�？梢�,在聯(lián)合貸款模式下,銀行之間的不合作不僅無助于改善銀行與公司之間的信息不對(duì)稱問題,還可能導(dǎo)致銀行貸后監(jiān)督活動(dòng)的缺失、對(duì)公司的競(jìng)相放款以及公司的信息欺詐行為,產(chǎn)生額外的共同代理成本,降低銀行的監(jiān)督效率。因此,發(fā)布聯(lián)合貸款公告后的公司其市場(chǎng)超額收益會(huì)更低。 此外,在聯(lián)合貸款模式下,國(guó)有銀行因其雄厚的資金實(shí)力、專業(yè)的人才隊(duì)伍、眾多的營(yíng)業(yè)網(wǎng)點(diǎn)以及完善的信息共享系統(tǒng)等原因,在對(duì)借款公司的貸前調(diào)查、信貸審核以及貸后監(jiān)督方面比其他非國(guó)有銀行更具優(yōu)勢(shì),加之部分股份制銀行進(jìn)行貸前調(diào)查的能力有限或者成本過高,在決定是否放貸時(shí)具有強(qiáng)烈的動(dòng)機(jī)“搭便車”,更有甚者,部分銀行會(huì)看在國(guó)有銀行的“面子”上,盲目對(duì)公司貸款而忽視了對(duì)公司真實(shí)風(fēng)險(xiǎn)的防范與控制。此外,牽頭行承擔(dān)較大的貸款份額也會(huì)導(dǎo)致其他銀行的“搭便車”和競(jìng)爭(zhēng)行為,并且公司的透明度與牽頭行承擔(dān)的貸款金額占比成反比,占比越高,公司透明度越低。因此,若牽頭行是國(guó)有銀行或承擔(dān)了較大比例的貸款金額,聯(lián)合授信模式下銀行之間的“搭便車”以及競(jìng)爭(zhēng)放款問題會(huì)更嚴(yán)重,產(chǎn)生的共同代理成本更高,其公告發(fā)布后公司的超額收益也相對(duì)更低。 在上文的假設(shè)前提下,本文采用虛擬變量代表銀行貸款模式并對(duì)事件窗內(nèi)的累計(jì)超額收益進(jìn)行回歸分析,結(jié)果顯示相比單一貸款,聯(lián)合貸款公告發(fā)布后公司會(huì)獲得較低的超額收益。為進(jìn)一步找出聯(lián)合貸款模式下影響超額收益率的因素,本文又將總樣本公司分為了單一貸款子樣本和聯(lián)合貸款子樣本,并在聯(lián)合貸款子樣本下,考察了牽頭行的國(guó)有性質(zhì)以及牽頭行承擔(dān)的貸款金額占比對(duì)公司超額收益的影響。結(jié)果顯示,當(dāng)牽頭行的是國(guó)有銀行或者承擔(dān)了較大比例的貸款金額時(shí),事件窗內(nèi)的累計(jì)超額收益率會(huì)相對(duì)更低,相關(guān)證據(jù)均表明市場(chǎng)投資者認(rèn)為在聯(lián)合貸款模式下銀行之間存在著“搭便車”以及競(jìng)爭(zhēng)行為從而產(chǎn)生了共同代理成本,削弱了銀行的監(jiān)督效率。 最后本文的創(chuàng)新之處在于：國(guó)內(nèi)現(xiàn)有的研究聯(lián)合貸款模式下銀行監(jiān)督效率問題的文獻(xiàn)幾乎沒有,本文通過考察股票市場(chǎng)對(duì)不同貸款模式的不同反應(yīng)反映聯(lián)合授信模式的效率問題,并在此基礎(chǔ)上進(jìn)一步研究了聯(lián)合授信模式下牽頭行性質(zhì)、承擔(dān)的貸款金額占比對(duì)公司超額收益率的影響,試圖找出影響銀行監(jiān)督效率的某些因素,據(jù)此判斷聯(lián)合授信模式下銀行之間的作用關(guān)系。
[Abstract]:With the horizontal and vertical merger activities between enterprises more and more frequently, cross industry, cross regional management gradually become a trend of the future development of enterprises. The expansion of enterprises is not only accompanied by the expansion of human resources and the expansion of plant equipment, but also more important is the increase of financing demand. However, the limitation of China's capital market at the present stage is limited. The enterprise through bond financing or other direct financing channels to obtain the huge amount of funds needed to operate, and the traditional single bank one to one loan model is increasingly unable to meet the huge demand for capital. In this case, the multiple bank joint loan model and the syndicated loan model have been developed and developed rapidly. In the period of -2011 in 2005, the number of loans to many banks on the same day accounted for 17.9% of the total number of bank loans, and the amount of loans accounted for 49.8%. of the total bank loan amount.
In the relationship between enterprises and banks, banks and enterprises are mutual dependence and mutual promotion. On the one hand, banks will influence the business development of enterprises by relaxing or tightening credit funds: in the case of crisis in the capital chain, enterprises through bank loans through difficulties or leverage effect to increase the earnings of the company. On the other hand, borrowing Enterprises The good or bad business situation will have a great influence on the development of the bank. Whether the credit funds can be recovered and the income of the funds depends on the business performance and the future development of the enterprise. So, the bank will not only carry out sufficient credit investigation to the borrowing company before the credit, but strictly examine the credit conditions in the credit. Under the traditional single bank loan model, the asymmetric information between banks and companies is the key factor that restricts the efficiency of bank supervision. At the same time, at the same time, the bank has a large number of loans to a company. The problem of asymmetric information between banks and banks has a serious impact on the efficiency of the supervision of the banking system, and the interaction and consequences of the participants are more indeterminate, making the efficiency of the banking system more difficult to supervise. Therefore, when external investors try to obtain relevant information about corporate management, finance, and governance through the company's borrowing behavior, the information content or information quality transmitted by the joint loan behavior is largely different from the company's lending behavior under the single bank loan model. Information.
The company's announcement of bank loan will cause the change of the stock price of the company. This phenomenon has long been paid attention to and discussed by foreign scholars. By investigating the market reaction after the announcement, the supervision efficiency of the bank is also a kind of research method commonly used by scholars to study whether the bank has the supervision of "big creditors". As far as domestic research is concerned, Hu Yiming, Xie Shi Lei, Deng Li and Zhang Zongyi have all indicated that the Bank of our country has a certain supervisory role on the listed company. However, whether the supervision efficiency of the bank is different from the traditional single bank loan mode is different from the supervision efficiency of the bank under the mode of joint credit. By analyzing the effect of the loan model on the excess rate of return on the market, we can see the problem of the efficiency of the supervision of the bank. Is the relationship between banks cooperative or competitive under the mode of credit? Will the interaction between banks affect the efficiency of the bank's supervision and the extent of its impact? This is the focus of this study.
First of all, this paper studies the bank loan announcement issued by Chinese listed companies from 2005 to 2011, and follows a certain principle to select 313 effective samples, including 56 joint loan samples and 257 single loan samples. Then this paper uses the event study method to carry out the market reaction caused by the bank loan announcement. The results show that the market has produced a strong response to the issue of issuing bank loan announcements for listed companies in China, and the stock price of listed companies is significantly different from 0 in the corresponding event window. The average excess rate of return and the cumulative excess rate of return and the overall response of the market are negative, which shows that the investors in our country consider the bank loan behavior as a "empty" event in the short term, which is different from the relevant empirical research results from foreign countries. In addition, in this study, the bank issued a loan announcement. The abnormal returns of the company's stock prices are basically around the first seventh days of the announcement day, and through a significant test, the relevant evidence shows that the loan information is likely to have been leaked ahead of time. There is a "information leakage" problem in the Chinese market. In addition, to investigate the excess earnings caused by the two different models of the loan announcement. Whether there is a significant difference in rate, this paper divides the total company sample into the joint loan subsample and the single loan subsample according to the loan model, and compares and analyses the average excess return and the cumulative excess yield of the two sub samples under different event windows. The results are as follows: the cumulative excess of two samples first in the whole event window. There is a significant decline in the amount of income, and the cumulative excess return of the joint loan subsample is greater than the decrease in the cumulative excess income of a single loan. To a certain extent, it seems to show that the market investors with a single bank loan appear to be more reluctant to recognize the company's joint bank lending behavior. The significant T test and symbol rank test are carried out on the difference of the cumulative excess rate of return of two subsamples in different event windows. The statistical results show that the difference of the cumulative excess rate of return of the two subsamples in some event windows (especially in the [-1,2] period before and after the announcement) has passed the significance of the confidence level of 5%. The test shows that the market reaction caused by different loan announcements is different.
Secondly, on the basis of controlling the characteristics of the company, the characteristics of the loan and the external environment related variables, this paper focuses on the effect of the loan model on the cumulative excess rate of return on the basis of obtaining the excess return on the bank loan announcement of the listed company. The purpose of this analysis is to find out the exact evidence that banks have different supervision efficiency under different loan modes. In addition, in order to further study the factors that affect the efficiency of the bank supervision under the joint credit mode, this paper examines the state-owned property of the joint loan characteristic variable, the lead bank, and the amount of the loan to take the lead under the joint loan company sub sample. The impact of the ratio on excess return, further reveals the role of banks in the joint credit mode and its impact on the efficiency of bank supervision.
The specific analysis process is: the loan relationship under the joint credit mode is a kind of common agency relationship in essence. According to the common agency theory, the cooperation and conspiracy among banks can play the advantage of the scale of information and obtain the economies of scale under the common agency relationship, making the banks more effective to play the supervision role of the "big lender". On the basis of the following reasons, there is no cooperation between the banks involved in the loan. On the one hand, the different degree of asymmetric information between banks and the different standards of corporate performance evaluation limit the cooperation between banks. On the other hand, there will be a strong "hitchhiking" motivation either before the credit or in the post credit bank. The bank will have a strong motivation "hitchhiking" when the bank's own strength constraints, regional restrictions, the company's business history, and other banks' reputation will increase the cost of the bank's collection of information. After the credit, the externality of the bank's supervisory activities also leads to the "hitchhiking" behavior of the bank. Finally, some banks hold the "good shade under the tree" plus the "herd effect" in the joint credit. The initiative of related information will also improve the company's negotiating position psychologically, strengthen the company's information manipulation, the false data, and lie the motive of the truth. In the joint loan model, the non cooperation between the banks will not only help to improve the information asymmetry between the banks and the companies, but also may lead to the supervision of the bank after the loan. The lack of movement, the company's competitive lenders and the company's information fraud, produce additional joint agency costs and reduce the efficiency of the bank's supervision. Therefore, the company's market excess returns will be lower after the release of the joint loan announcement.
In addition, under the joint loan model, the state-owned banks have more advantages on the loan companies' pre loan investigation, credit audit and post loan supervision than other non-state banks because of their strong capital strength, professional talent team, numerous business outlets and perfect information sharing system. The ability of the pre loan investigation is limited or the cost is too high. In deciding whether to lend or not, it has a strong motivation "hitchhiking". Even more, some banks will look at the "face" of the state-owned banks and blindly ignore and control the real risk of the company. Other banks' "hitchhiking" and competition behavior, and the company's transparency is inversely proportional to the amount of money taken by the lead bank, the higher the proportion, the lower the transparency of the company. Therefore, if the leading bank is a state-owned bank or a large proportion of the loan amount, the "hitchhiking" between the banks and the competition under the joint credit mode The issue will be more serious and the common agency cost will be higher. The excess return of the company will be relatively lower after the announcement.
On the premise of the above hypothesis, this paper uses the virtual variable to represent the bank loan model and regression analysis on the cumulative excess income in the event window. The results show that the company will get a lower excess return after the release of the joint loan announcement than the single loan. In this paper, the general Sample Firms is divided into single loan subsample and joint loan subsample, and under the joint loan sub sample, the influence of the state-owned property of the lead bank and the amount of the loan amount taken by the lead bank account for the excess earnings of the company. The result shows that the lead is the state-owned bank or the large proportion of the loan. In the amount of money, the cumulative excess rate of return in the event window is relatively lower. The evidence shows that the market investors believe that there is a "hitchhiker" and competitive behavior between banks under the joint loan model and thus produces a joint agency cost, which weakens the efficiency of the bank's supervision.
Finally, the innovation of this paper is that there is little literature in the current domestic research on the efficiency of bank supervision under the model of joint loan. This paper studies the efficiency of the joint credit mode by investigating the different response of the stock market to different loan modes, and on this basis, it studies the lead behavior of the joint credit model. Quality, the amount of loans undertaken accounted for the impact of the company's excess return, trying to identify the impact.

【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】：2013
【分類號(hào)】：F832.4

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 唐松;楊勇;孫錚;;金融發(fā)展、債務(wù)治理與公司價(jià)值——來自中國(guó)上市公司的經(jīng)驗(yàn)證據(jù)[J];財(cái)經(jīng)研究;2009年06期

2 余保福;關(guān)聯(lián)企業(yè)制度與銀行信貸風(fēng)險(xiǎn)的控制和監(jiān)管[J];金融論壇;2004年10期

3 駱品亮;陸毅;;共同代理與獨(dú)家代理的激勵(lì)效率比較研究[J];管理科學(xué)學(xué)報(bào);2006年01期

4 鄧?yán)?張宗益;李宏勝;;銀行債權(quán)的公司治理效應(yīng)研究——來自中國(guó)上市公司的經(jīng)驗(yàn)證據(jù)[J];金融研究;2007年01期

5 沈紅波;張春;陳欣;;中國(guó)上市公司銀行貸款公告的信息含量——自由現(xiàn)金流量假說還是優(yōu)序融資假說[J];金融研究;2007年12期

，

本文編號(hào)：1891878