股價崩盤風險與銀行貸款契約條件

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姓名

吳芷昀(Tzu-Yun Wu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

股價崩盤風險與銀行貸款契約條件
(Stock Price Crash Risk and Bank Loan Contracting)

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摘要(中)

本研究探討公司的股價崩盤風險與銀行貸款契約條件的關係。過去文獻提及，公司內部經理人偏好藏匿壞消息以避免股價下跌，一旦壞消息無法藏匿且消息暴露在市場中，公司股價會出現較大的下跌幅度，稱之為股價崩盤風險。此外，過去亦有文獻研究公司的融資狀況、營運能力及資產多寡與銀行借貸的關係，卻尚未考量公司股價的大幅度滑落與銀行借貸的條件關係。故本論文有別於過去僅考量公司財務資料與銀行借貸關係，我們搜集1994-2013 年間在Compustat, DealScan 及CRSP 三個資料庫的樣本資料，以三種方法衡量公司的股價崩盤風險與所有的銀行貸款契約條件。本研究發現 (1)公司的股價崩盤風險越高時，借貸契約的到期時間越短，借貸利率、擔保品的有無及限制條件數量並不會顯著地被受影響 (2)當公司為往來銀行的長久貸款對象，並不會對於上述公司股價崩盤風險對於銀行借貸契約條件產生額外影響 (3)相較於高產業集中度的公司，當公司所處產業集中度低時，股價崩盤風險越高，銀行貸契約的到期時間越短。

摘要(英)

This paper intends to examine the association between company’s stock price crash risk and bank loan contracting. Precedent research discusses the relationship between company’s financial data, such as company’s size and profitability, and bank loan contracting. However,
there is no discussion about the relationship between firms’ stock price crash risk and loan conditions. Thus, by collecting data from Compustat, DealScan and CRSP from 1994 to 2013, we use three measures capturing company’s stock price crash risk and four features capturing all aspects of loan contracting. We find out (1) company with higher stock price crash risk only make bank loan with shorter maturity. (2) the effect of company’s stock price crash risk on the contractual terms of loans does not significantly be affected when this company has prior lending relationships with the lead banks than when it has no such prior lending relationship. (3) the effect of company’s stock price crash risk on the loan maturity is more pronounced when the company is from low concentrated industry.

關鍵字(中)

★ 股價崩盤風險
★ 銀行借貸條件
★ 資訊不對稱
★ 產業集中度
★ 借貸關係

關鍵字(英)

★ Stock price crash risk
★ Bank loan contracting
★ Information asymmetry
★ Industry concentration
★ Loan relationship

論文目次

中文摘要 .................................................................................. I
ABSTRACT ............................................................................. II
誌謝 ....................................................................................... III
TABLE OF CONTENTS ........................................................... IV
LIST OF TABLE........................................................................ V
1. INTRODUCTION ................................................................. 1
2. LITERATURES REVIEW AND FIRM’S STOCK PRICE CRASH RISK
MEASUREMENT ..................................................................... 3
2.1. RELATED LITERATURES ................................................... 3
2.2. THE MEASUREMENT OF STOCK PRICE CRASH RICK ...... 5
3. HYPOTHESIS DEVELOPMENT ............................................ 7
4. SAMPLE AND DATA SOURCES ........................................... 10
4.1. SAMPLE AND DATA SOURCES ........................................ 10
4.2 EMPIRICAL MODEL .......................................................... 11
4.3 DESCRIPTIVE STATISTICS ............................................... 13
4.4 CORRELATION MATRIX ................................................... 17
5 REGRESSION RESULTS ...................................................... 19
5.2 EMPIRICAL RESULTS FOR H1 .......................................... 19
5.3 EMPIRICAL RESULTS FOR H2 ......................................... 23
5.4 EMPIRICAL RESULTS FOR H3 ......................................... 27
6 ADDITIONAL TESTS .......................................................... 29
7 CONCLUSION .................................................................... 41
REFERENCES ........................................................................ 42
APPENDIX A. VARIABLE DEFINITION .................................... 48

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指導教授

黃泓人(Hong-Ren Huang)

審核日期

2019-1-15

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