【作者】 赵丹；

【导师】 李世新；

【作者基本信息】 重庆大学 ， 会计学， 2008， 硕士

【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。更多还原

【Abstract】 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.更多还原