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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/50827


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/50827


    題名: 銀行巨擘主導之聯貸案的訂價模型及實證探討
    A pricing model and empirical analysis of syndicate loan market dominated by big brand banks
    作者: 楊之寧
    貢獻者: 張元晨
    楊之寧
    關鍵詞: 聯貸案
    資訊不對稱
    認證效果
    日期: 2010
    上傳時間: 2011-09-29 16:47:49 (UTC+8)
    摘要: 本文探討聯貸案中的資訊不對稱現象,是否影響主貸行與借款公司間的訂價行為。由建構理論模型與實證發現，大型銀行會提供持續性的認證效果，並從中剝削好處。本文採用美國聯貸市場1987年-2010年資料進行研究，發現實證結果符合理論預期。
    We shape a model describing the exploit behavior of reputable lead arranger in syndicate loan, which suggesting that reputable bank ask higher spread when borrower care about the spill-over effect. Then we use the USA syndicate data (1987-2010) to confirm the model. Without controlling the self-selection bias, we find the 1st top tier syndicate loan is usually larger than the borrowers’ prior loan and enjoy less spread charge. Besides, the sequential loans data shows keeping dealing with reputable banks can pouring more money for borrowers. Both evidences support the certification hypothesis. But after controlling the self-selection bias in lender-borrower relationship, our finding confirm the reputable banks’ exploit behavior, especially towards those non-investment grade borrowers who indeed desperate for certification effects. Besides, we also find the certification effect spill over to the borrowers’ sequential deals in syndicate market. As compared to the 1st loan held by top tier arrangers, the borrower can raise more fund either keep dealing with reputable banks or switch to other banks as long as they can endure to pay more spreads.
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    描述: 碩士
    國立政治大學
    財務管理研究所
    98357023
    99
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0098357023
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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