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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/63647


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/63647


    Title: 公司取得銀行聯貸是否是一項特殊資訊？ 以美國公司在證券管理委員會的呈報樣本及日內交易資料為例
    Are bank loans special? Evidence from SEC filings and US intraday data
    Authors: 許玉美
    Hsu, Yu Mei
    Contributors: 張元晨
    Chang, Yuan Chen
    許玉美
    Hsu, Yu Mei
    Keywords: 銀行聯貸
    宣告
    Bank loans
    Announcements
    Date: 2013
    Issue Date: 2014-02-10 14:47:56 (UTC+8)
    Abstract: 公司取得聯貸是否是一項特殊資訊？過去已經有許多文獻指出，銀行核定企業的聯合貸款對投資人來說是一項特殊資訊，因為當銀行借錢給公司之前，通常有實地查核的動作，一旦銀行核定該項貸款，則代表銀行認可借款公司的財務狀況，所以會對股市投資人產生認證效果，市場會將該訊息視為一項對公司股價有正面影響的訊息。但是晚近文獻出現不同的看法，有學者發現獲得銀行貸款的公司，除了長期經營績效並未表現較好之外，其短期宣告效果也有樣本選擇偏誤的問題。
    本文嘗試利用較完整的公司獲得聯貸資金的樣本、以及較高頻率的股價資料，重新檢視公司取得聯貸是否是一項特殊資訊。在實證部份，採用較完整的公司獲得聯貸資金的樣本，此資料來自美國證券管理委員會EDGAR資料庫。本論文以該資料庫做為搜集聯貸宣告的樣本，可以避免樣本選擇偏誤的問題。實證結果發現聯貸宣告時，並沒有產生顯著正向的股價報酬，本論文也發現美國公司近年來有逐漸將聯貸訊息轉移到盤後再宣告的趨勢，因此本論文再將聯貸案宣告的資料，分成交易時間和非交易時間加以分析，而實證結果顯示，不論於交易時間或非交易時間出現的聯貸宣告，其公司股價均沒有顯著的異常報酬，而且很多公司甚至有負報酬的現象。最後，本論文進一步使用高頻率的日內資料來分析，公司取得聯貸是否是一項特殊資訊。而實證結果發現，雖然在銀行核定公司聯貸的前後，該公司股價的日內報酬率為正值，但是在統計上並不顯著。因此基於以上的實證結果，本論文的結論為：銀行核定企業聯合貸款並不具有認證效果，因此並不是一項特殊的資訊。
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    Description: 博士
    國立政治大學
    財務管理研究所
    95357504
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095357504
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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