上市公司银行借款协议公布的市场反应研究
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摘要
公司的发展离不开融资,向银行借款是公司主要的债务融资方式之一。公司的借款行为不仅影响到生产经营的各个方面,还与公司治理有着紧密联系,并最终会对公司价值产生重要影响。对上市公司而言,其借款行为对公司价值的影响将直接反映为股价的波动。
首先,论文选取2000—2005年间我国沪深两市上市公司公布的银行借款协议为样本,运用事件研究法对上市公司银行借款协议的公布所引起的交易量和股价异常波动进行了实证研究。结果显示,我国证券市场对这类事件有显著为负的超常报酬率和超常交易量反应,而且从借款协议公告日前的第五天开始,就已经出现显著为负的超常报酬率,说明借款相关信息有可能提前泄露。超常报酬率和超常交易量的反应窗口基本一致,并且都在事件期呈显著下滑的态趋势,说明我国证券市场认为公司向银行借款这一事件在短期内是“利空”事件。
然后,论文从上市公司财务状况和内部治理的角度,对超常报酬率反应的影响因素进行了多元回归分析。结果表明,公司偿债能力、经营业绩、第一大股东持股比例和第二到第十大股东持股集中度是影响超常报酬率的主要因素。其中,经营业绩、公司偿债能力、第一大股东持股比例对超常报酬率的影响显著为正,而公司偿债能力和第二到第十大股东持股集中度对超常报酬率的影响显著为负。
在此基础上,论文提出了以下政策建议:①规范上市公司信息披露程序,严格控制信息披露时间,确保投资者获得信息的时间一致,实现市场效率和交易公平。②提高投资者素质。③进一步完善银企关系,强化金融监督,增强银行对企业经营的监控。
Any corporate cannot develop futher without financing, and borrowing funds from banks is one of the most important financing ways. Corporate's loan behavior not only affects each aspect of operation managements, but also has a close relation to corporate’s governance.And then, it will effect the corporate’s value. As to the listed companies,these effects will be manifested as stock price fluctuation.
Firstly, this thesis selects the announcements of bank loan contracts from the Shanghai &Shenzhen stock exchanges between 2000 and 2005.It focuses on the concern about bank loan contracts announcement,and uses the event-study methodology to study the market reaction of bank loan contracts empirically. We find the market has significant negative abnormal returns and abnormal trading volume.Futher,we find that there are significant negative abnormal returns five days before the announcement day, which shows that the loan information may be put it on the street before the formal disclosure.Besides,The event windows of the abnormal returns are consistent with the windows of the abnormal trading volume,and they all decline in the windows.This phenomenon shows that our securities market views this event as a bad event in a short time.
Then,this paper also analyzes the factors which affect the reaction of abnormal return from the financial perspective and internal governace perspective .The adoption of multiple regression analysis helps us to find that the corporate profitability、the solvency and the largest shareholder’s share ratio have a positive influence in the stock reaction related to the loan announcement.On the other hand, the share concentration from the second largest shareholder to the tenth largest shareholder have a negative influence in the stock reaction related to the loan announcement.
Lastly,below are the policy suggestions provided by this paper according to the study conclusions.First, standard the procedure of trading information disclosure to enhance the market efficiency,and control the disclosure time strictly.Secondly,enhance the investers’quality.Finally,improve the relationship between the bank and the corporate and reinforce the bank’s supervision on corporate’s business.
首先,论文选取2000—2005年间我国沪深两市上市公司公布的银行借款协议为样本,运用事件研究法对上市公司银行借款协议的公布所引起的交易量和股价异常波动进行了实证研究。结果显示,我国证券市场对这类事件有显著为负的超常报酬率和超常交易量反应,而且从借款协议公告日前的第五天开始,就已经出现显著为负的超常报酬率,说明借款相关信息有可能提前泄露。超常报酬率和超常交易量的反应窗口基本一致,并且都在事件期呈显著下滑的态趋势,说明我国证券市场认为公司向银行借款这一事件在短期内是“利空”事件。
然后,论文从上市公司财务状况和内部治理的角度,对超常报酬率反应的影响因素进行了多元回归分析。结果表明,公司偿债能力、经营业绩、第一大股东持股比例和第二到第十大股东持股集中度是影响超常报酬率的主要因素。其中,经营业绩、公司偿债能力、第一大股东持股比例对超常报酬率的影响显著为正,而公司偿债能力和第二到第十大股东持股集中度对超常报酬率的影响显著为负。
在此基础上,论文提出了以下政策建议:①规范上市公司信息披露程序,严格控制信息披露时间,确保投资者获得信息的时间一致,实现市场效率和交易公平。②提高投资者素质。③进一步完善银企关系,强化金融监督,增强银行对企业经营的监控。
Any corporate cannot develop futher without financing, and borrowing funds from banks is one of the most important financing ways. Corporate's loan behavior not only affects each aspect of operation managements, but also has a close relation to corporate’s governance.And then, it will effect the corporate’s value. As to the listed companies,these effects will be manifested as stock price fluctuation.
Firstly, this thesis selects the announcements of bank loan contracts from the Shanghai &Shenzhen stock exchanges between 2000 and 2005.It focuses on the concern about bank loan contracts announcement,and uses the event-study methodology to study the market reaction of bank loan contracts empirically. We find the market has significant negative abnormal returns and abnormal trading volume.Futher,we find that there are significant negative abnormal returns five days before the announcement day, which shows that the loan information may be put it on the street before the formal disclosure.Besides,The event windows of the abnormal returns are consistent with the windows of the abnormal trading volume,and they all decline in the windows.This phenomenon shows that our securities market views this event as a bad event in a short time.
Then,this paper also analyzes the factors which affect the reaction of abnormal return from the financial perspective and internal governace perspective .The adoption of multiple regression analysis helps us to find that the corporate profitability、the solvency and the largest shareholder’s share ratio have a positive influence in the stock reaction related to the loan announcement.On the other hand, the share concentration from the second largest shareholder to the tenth largest shareholder have a negative influence in the stock reaction related to the loan announcement.
Lastly,below are the policy suggestions provided by this paper according to the study conclusions.First, standard the procedure of trading information disclosure to enhance the market efficiency,and control the disclosure time strictly.Secondly,enhance the investers’quality.Finally,improve the relationship between the bank and the corporate and reinforce the bank’s supervision on corporate’s business.
引文
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高明华,马守莉.独立董事制度与公司绩效关系的实证分析[J].南开经济研究,2002,(2):64-68.
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连建辉.融资结构与企业控制权争夺[J].财经研究,2002 ,(1):63-67.
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杜莹,刘立国.中国上市公司债权治理效率的实证分析[J].证券市场报,2002 ,(12 ):66-69.
范从来,叶宗伟.上市公司债务融资、公司治理与公司绩效[J].经济理论与经理,2004,(10):50-53.
封铁英.资本结构选择偏好与企业绩效的关系研究—基于上市公司“过度负债”与“财务保守”行为的实证分析[J].科研管理,2006,(6):54-61.
何卫东,张嘉颖.所有权结构、资本机构、董事会治理与公司价值[J].南开管理评论,2002,(2):17-21.
高明华,马守莉.独立董事制度与公司绩效关系的实证分析[J].南开经济研究,2002,(2):64-68.
郭斌.信息不对称与企业债务融资方式选择[J].西南金融,2003,(10):60-63.
郭斌.企业债务融资方式选择理论综述及其启示[J].金融研究,2005,(3):53-57.
胡勤勤,沈艺峰.独立外部董事能否提高上市公司的经营业绩[J].世界经济,2002,(7):5l-62.
连建辉.融资结构与企业控制权争夺[J].财经研究,2002 ,(1):63-67.
李义超,蒋振声.上市公司资本结构与企业绩效的实证分析[J].数量经济技术经济研究,2001,(2):118-120.
陆正飞.企业适度负债的理论分析与实证研究[J].经济研究,1996,(2):52-58.
陆正飞,高强.中国上市公司融资行为研究[J].会计研究,2003,10:16-24
倪铮,魏山巍.关于我国公司债务融资的实证研究[J].金融研究,2006,(8):20-30.
潘敏著.资本结构、金融契约与公司治理[M].中国金融出版社,2002.
秦国楼著.现代金融中介论[M].中国金融出版社,2002.
谭政勋.上市公司资本结构变化与融资行为分析[J].商业时代,2006,(6):60-61.
田利辉.杠杆治理、预算软约束和中国上市公司绩效[J].经济学,2004,(10):16-26.
杨利群.我国上市公司资本结构的合理性分析[J].财经论丛, 2000,(1):59-63.
杨兴全.企业债务融资结构与公司治理[J].审计与经济研究,2004,(4):54-57.
杨之帆.企业资本结构与融资方式偏好[J].企业经济, 2001,(4):50-54.
汪辉.上市公司债务融资、公司治理与市场价值[J].经济研究,2003,(8):28-35.
王娟,杨凤林.上市公司筹资结构的实证研究[J].经济理论与经济管理,1998,(6):23-28.
王敏,刘冬荣.我国上市公司债务融资效应研究[J].中南财经政法大学学报,2006,(3):76-82.
王宁著.企业融资问题研究[M].东北财经大学出版社,2002.
王玉荣,钱毅.中国上市公司债权融资与公司治理相关性分析[J].特区经济,2006,(11):27-29.
王宇露,李斐.企业债务融资结构研究现状及其理论述评[J].财会月刊,2006,(5):43-45.
魏刚.高级管理层激励与上市公司经营绩效[J].经济研究, 2000,(3):32-39.
仵志忠.论“信息不对称理论”对金融市场研究的贡献[J].陕西金融,1997,(5):17-18.
闫冰.代理理论与公司治理综述[J].当代经济科学,2006,(6):80-85.
许玫.道德风险与企业债务融资方式分析[J].上海经济研究,2003,(10):58-63.
李玉宝,靳可轶.论债务融资[J].金融参考,2003,(9):45-47.
肖作平.股权结构、资本结构与公司价值的实证研究[J].证券市场导报,2003,(l):137-147.
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