English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 112879/143845 (78%)
Visitors : 50019239      Online Users : 637
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 企業管理學系 > 學位論文 >  Item 140.119/87429
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/87429


    Title: 銀行團聯貸宣告對股東財富的影響-異質條件變異數分析法
    Syndicated Loan Announcements and the Market Value of the Lending Firms and the borrowing firms
    Authors: 陳朝鑫
    Chen, Ken
    Contributors: 林炯垚
    俞海琴

    陳朝鑫
    Chen, Ken
    Keywords: 銀行團聯貸
    事件研究
    GARCH 法
    Syndicated Loan
    Event Study
    GARCH Approach
    Date: 1995
    Issue Date: 2016-04-28 14:39:38 (UTC+8)
    Abstract: 本文研究主要在探討以銀行團聯貸宣告下,對台灣地區上市的參貸銀行和借款公司之股東財富有何影響?本研究以事件研究法(Event Study)對標準化異常報酬做檢定,同時由於過去對殘差項估計多是以古典最小平方法來估計,但是實際股票報酬率通常具有尖峰態的胖尾分配,因此本文同時採Bollerslev(1986)的GARCH估計法及傳統古典最小平方法估計,並對結果做一比較;實証結果如下:
    Reference: 中文部份:
    1.沈中華,股價波動,性與結構性轉變之探討不同漲跌限制下的分析,台大管理
    論叢,民國81 年,第五卷,第二期,頁25-44 。
    2. 李兆倫,調整股價漲跌幅限影響震盪幅度之實證研究- - - -異值條件變異數分析法,中山大學企業管理研究所碩士論文,民國80年6 月。
    3 . 沈中華,張大成,事件研究法語移動β,台大管理論叢,民國82年5月,第四
    卷,第一期,頁13-5 。
    3. 周志隆,股票風險波動之研究- - - -異質條件變異數分析法,台灣大學商學研究所碩士論文,民國80年6 月。
    4. 林梨雪,現金增資宣告資訊內涵再探討:台灣地區上市公司實證研究,東吳
    大學會計學研究所碩士論文,民國83年6 月。
    5 . 徐偉傑,上市公司發行權益相關證券之融資效果資訊內涵- - - -異值條件變異數分析法,政治大學財務金融研究所碩士論文,民國84年6 月。
    6. 徐燕山,台灣股票上市公司現金增資事件的另一種驗證,國立政治大學學報
    民國83年9月,頁235-262 。
    8. 莊欣達,國際聯合貸款簡介,華銀月刊, 530-534期,民國84年3 月-7月。
    9. 游志偉,企業融資宣告與股價關係之實證研究以台灣股票上市公司為例,中
    央大學企業管理研究所碩士論文民國81 年6 月。
    10. 傅英芬,投資機會與現金增資之宣告效果- - - -異值條件變異數分析法,政治大學財務金融研究所碩士論文,民國84年6 月。
    11 .鍾淑玲台灣股票市場風險性溢價與持續性波動之實證研究- - - -序列相關及異質條件變異數分析法,台灣大學商學研究所碩士論文,民國79年6 月。
    12. 顏月珠,商用統計學,三民書局出版,民國80年8 月。

    英文部份
    1.Aliber,R.Z.(1984)International Banking: A Survey," Journal of Money,Credit, and Banking ,661-684.
    2.Armitage, S.(1995a) Event study methods and evidence on their performance, Journal of Economic Surveys` 9,25-52.
    3.Armi tage` S.(l995b) Banks Information About Borrowers: the stock Market Response to Syndicated Lean Announcements in the Uk, Applied Financial Economics,449-459.
    4.Berlin, M. and L. Mester (1990) Debt covenants and renegotiation,Journal of Financial Intermediation 2,95-133.
    5.Berndt, E.K., B.H.Hall, R.E.Hall and J.A.Hausman. (1974)
    Estimation Inference in Nonlinear Sturctural Models, Annuals of Economics and Social Measurement, no 4,653-665.
    6.Bollerslev, T.(1986)Generalized Autoregressive Conditional
    Heteroskedasticity, Journal of Econometrics 31,307-327.
    7.Bollerslev, T.(1987) A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, Review of Economics & Statistics 69,542-547.
    8.Cornell, Bradford, and Alan Shapiro.(1986) The Reaction of Bank
    Stock Prices to the International Debt Crisis` Journal of Banking and Finance 10,393-414.
    9.Darity,W.A. ` Jr., and B. Horn. (1988) The Loan Pushers: The Role of Commercial Banksin the International Debt Crises, Cambridge, MA,Ballinger Publishers.
    10.Davis,E.P. (1992) Debt, Financial Fragility, and Systemic Risk(Clarendon Press, Oxford).
    11.Davis,S.I.(1977)How Risky is International Lending?, Harvard Business Review ` 135-143.
    12.Diamond, D. (1984) Financial intermediation and delegated
    monitoring, Review of Economic Studies, 51,393-414.
    13.Ei ternan` D.K.and A. Stonehi11. (1986) Multinational Business Finance, Boston , MA, Addison-Wesley Publishing Company Inc.
    14.Engle, F. (1982) Autoregressive Conditional Heteroscedasticity with Estimates of the United Kingdom Inflation, Journal of Economics 50,987-1007.
    15.Fama,E.F.(1985)What`s Different About Banks?, Journal of Monetary Economics,323-327 .
    16.Gertler, M. (1988) Financial structure and aggregate economic activity: an overview, Journal of Money, Eredit, and Banking,20,559-88.
    17.Goodman,L.S.(1982)Can Risks in LDC Lending be Diversified? `Business Economics,12-19.
    18.Gorton, G. and J. Kahn (1993) The design of bank loan contracts,collateral, and renegotiation, Working paper, National Buireau of Economic Research.
    19.Gray` J .M. and H.P. Gray(l981)The Multinational Bank: A Financial MNC?, Journal of Banking and Finance ,33-63.
    20.Grubel,H.(1968)Internationallyu Diversified Porfolios: Welfare Gains and Capi tal Flows, American Economic Review ,1299-1314.
    21.Haner` F.T. and J. Ewing (1985) Country Risk Assessment: Theory and Worldwide Practice, New York, Praeger Publishers.
    22.Hellvig, M.(1991) Banking, financial intermediation and corporate finance, in European Financial Intermediation, eds A. Giovannini and C. Mayer (Cambridge Universi ty Press, Cambridge) , 35-63.
    23.Holland, J .(1993) Bank-corporate relations:Change issues in the international enterprise, Accounting & Business Research, 23,273-83.
    24.Jain` A.K.(l986)International Lending Patterns of U.S. Commercial Banks,Journal of International Business Studies ,73-88.
    25.James,C.(1987)Some Evidence on the Uniqueniss of Bank Loans, Journal of Financial Economics ,217-235.
    26.Jensen, Michael.(1986) Agency Cost of Free Cash Flow, Corporate Finance, and Takeovers` American Economic Review 76,323-29.
    27.Kindleberger,C.P. ` Manias, Panics, and Crashes (1978) A History of Financial Crises, New York, Basic Books.
    28.Lee, S., and K. Ohk . (1992) Stock Index Rutures Listing and Structual Change in Time-Varying Volatility, Journal of Futures Market 12,493-509.
    29.Lummer ` S.L.and J.J. McConnell( 1989)Further Evidence on the Bank Lending Process and the Capital-Market Response to Bank Loan Agreements, Journal of Financial Economics ,99-122.
    30.Mayer, C. (1988) New issues in corporate finance, European Economic Review, 32,1167-89.
    31.McConnell, John, and Chris Muscarella.(1985) Corporate Capital Expenditure Decisions and the Market Value of the Fi rm` Journal of Financial Economics 14,399-422.
    32.Megginsen, Poulsen, and Joseph F. Sinkey, Jr.(1995) syndicated Loan Announcements and the Market Value of the Banking Firm, Journal of Money, Credit and Banking, 457-475.
    33.Monti ,A.(1982)Recent Trends in International Banking, Journal of Banking and Finance ,389-399.
    34.Moriarty, R. T., Kimball, R. C. and Gay, J. H. (1983) The
    management of corporate banking relationships, Sloan Management Review, Spring,3·15.
    35.Musumeci, James, J., and Joseph F. Sinkey, Jr.(l990a)The
    International Debt Crisis, Investor Contagion, and Bank Security Returns in 1987: The Brazilian Experience` Journal of Money, Credit, and Banking 22,209-20(a).
    36.Musumeci, James, J., and Joseph F. Sinkey, Jr.(1990b) The
    International Debt Crisis and Bank Loan-Loss-Reserve Decisions:The Signaling Content of Partially Anticipated Events` Journal of Money, Credit, and Banking 22 ,370-87(b).
    37.Nakamura, L. (1989) Loan workouts and commercial `bank information:Why are banks special?, Working paper, Federal Reserve Bank of Philadelphia.
    38.Preece, D. and Mullineaux, D. J. (1995) Monitoring, loan
    renegotiability, and firm value: the role of lending syndicates,Journal of Banking and Finance, forthcoming.
    39.Preece, D., and Mullineaux.(1996) Monitoring, Loan Renegotiability, and firm Value: The Role of Lending Syndicates, Journal of Banking and Finance 20,577-593.
    40.Rahman, H., and K. Yung.(1992) Inter-Currency Transmission of Volatility in Foreign Exchange Futures, Journal of Rutures Markets 12,609-620.
    41.Roll,R.(1986)The Hubris Hypothesis of Corporate Takeover, Journal of Business,197-216.
    42.RugmanA.M.and S. Kamath (1987) International Diversification and Multinational Banking,Recent Developments in International Banking and Finance 1,35-59.
    43.Smirlock, Michael, and Howard Kaufold.(1987) Bank Foreign Lending, Mandatory Disclosure Rules, and the Reaction of Bank Stock Prices to the Mexican Debt Crisis` Journal of Business 60,347-64.
    44.Waheed Amjad and Ike Mathur.(1993) The Effects of Announcements of Bank Lending Agreements on the Market Values of U.S. Banks` Financial Management 22,119-27.
    Description: 碩士
    國立政治大學
    企業管理學系
    83355003
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002002638
    Data Type: thesis
    Appears in Collections:[企業管理學系] 學位論文

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback