進階搜尋


 
系統識別號 U0026-0812200914324079
論文名稱(中文) Insider Trading and Long-run Performance of Bank Loans
論文名稱(英文) Insider Trading and Long-run Performance of Bank Loans
校院名稱 成功大學
系所名稱(中) 國際經營管理研究所碩士班
系所名稱(英) Institute of International Management (IIMBA--Master)
學年度 96
學期 2
出版年 97
研究生(中文) 羅帝達
研究生(英文) D. Anhadi Lompo
電子信箱 rc695728@mail.ncku.edu.tw
學號 rc695728
學位類別 碩士
語文別 英文
論文頁數 31頁
口試委員 召集委員-潘浙楠
口試委員-康信鴻
指導教授-張紹基
口試委員-許永明
中文關鍵字 none 
英文關鍵字 loan announcements  bank credit  Bank loans  Insider trading 
學科別分類
中文摘要 none
英文摘要 Bank credit announcements have been considered in the financial press and finance literature as a special corporate event with significant positive announcement period returns. Indeed, bank credit does have some economic advantages for their beneficiaries and the market positive reaction to their announcements is not surprising. However, recent studies have documented that credit agreements are followed by a poor performance in the subsequent three years. This long term underperformance prompts us to look into insiders’ incentives in entering the credit agreement. Do they really contract the credit for positive net present value project? To answer this question we analyze their own trading in their firms’ stock prior to the credit announcement to figure out if they try to protect themselves from the poor long term performance of their firms by selling their own stocks. We find that, on average, insiders sell their shares before the bank credit announcement.
論文目次 ACKNOWLEDGMENTS I
ABSTRACT II
TABLE OF CONTENTS III
LIST OF TABLES V
LIST OF FIGURES VI
CHAPTER ONE INTRODUCTION AND RESEARCH OBJECTIVES 1
CHAPTER TWO LITERATURE REVIEW AND RESEARCH HYPOTHESES 6
2.1 Bank Loans 6
2.1.1 Bank Loan as Special Form of Financing 6
2.1.2 Bank Loan and Long-run Stock Returns 7
2.2 Insider Trading 8
2.2.1 Definition of Insider Trading 8
2.2.2 Insider Trading and Stock Performance9
2.3 Research Hypotheses 10
CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 13
3.1 Data Sources 13
3.1.1 Sample Firms 13
3.2 Measuring Bank Loan Announcement Period Returns 14
3.3 Measuring Long Term Performance 15
3.4 Measuring and Testing Insider Trading 16
3.5 Insider Trading and Long-run Performance 17
CHAPTER FOUR ANALYSIS 19
4.1 Bank Loan Statistics 19
4.2 Long Term Returns 23
CHAPTER FIVE CONCLUSIONS 26
REFERENCES 28
LIST OF TABLES
Table 4- 1 Bank Loan Distribution 20
Table 4- 2 Basic Descriptive Statistics 22
Table 4- 3 Announcement Period Returns and Abnormal Insider Trading 23
Table 4- 4 Insider Trading and Long Term Performance 24
Table 4- 5 Regression Results 25
參考文獻 Arshadi, N., and T. H. Eyssell. "Regulatory deterrence and registerd insider trading: The case of tender offers." Financial Management 20 (1991), 30-39.
Asquith, P., and D. J. Mullins. "Equity issues and offering dilution." Journal of Financial Economics 15 (1986), 61-89.
Barber, B. M., and J. D. Lyon. "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics." Journal of Financial Economics 43 (1997), 341-372.
Bayless, M., and S. Chaplinsky. "Is there a window of opportunity for seasoned equity issuance?" Journal of Financial Economics 51 (1996), 253-278.
Bermanke, B. "Non-monetary effects of the financial crisis in the propagation of the great depression." American Economic Review 73 (1983), 257-276.
Berlin, M., and J. Loeys. "Bond covenants and delegated monitoring." Journal of Finance 43 (1988), 397-412.
Beston, G. J., and C. W. Smith. "A transactions cost approach to the theory of financial intermediation." Journal of Finance 31 (1976), 215-231.
Billett, M. T., M. J. Flannery, and J. A. Garfinkel. "The effect of the lender identity on a borrowing firm's equity return." The Journal of Finance 50 (1995), 699-718.
—. "Are bank loans special? Evidence on the post-announcement performance of bank borrowers." Journal of Financial and Quantitative Analysis 41 (2006), 733-751.
Blackwell, D. W., and D. S. Kidwell. "An investigation of cost differences between public sales and private placements of debt." Journal of Financial Economics 22 (1988), 253-278.
Boscaljon, B., and C.-C. Ho. "Information content of bank loan announcements to Asian corporations during periods of economic uncertainty." Journal of Banking and Finance 29 (2005), 369-389.
Brown, K. C., L. J. Lockwood, and S. L. Lummer "An Examination of Event Dependency and Structural Change in Security Pricing Models." Journal of Financial and Quantitative Analysis 20 (1985), 315-334.
Campbell, T. S. "Optimal investment financing decisions and the value of confidentiality." Journal of Financial and Quantitative Analysis 14 (1979), 913-924.
Campbell, T. S., and Kracaw. "Information production, market signalling, and the theory of financial intermediation." Journal of Finance 35 (1980), 863-882.
Chemmanur, T. J., and P. Fulghieri. "Reputation, renegotiation, anf the choice between bank loans and publicly traded debt." The Review of Financial Studies 7 (1994), 475-506.
Clake, J., C. Dunbar, and K. M. Kahle. "Long-Run Performance and Insider Trading in Completed and Canceled Seasoned Equity Offerings." The Journal of Financial and Quantitative Analysis 36 (2001), 415-430.
Clarke, J., C. Dunbar, and K. M. Kahle. "Long-Run Performance and Insider Trading in Completed and Canceled Seasoned Equity Offerings." The Journal of Financial and Quantitative Analysis 36 (2001), 415-430.
Diamond, D. W. "Financial intermediation and delegated monitoring." Review of Economic Studies 51 (1984), 393-414.
—. "Monitoring and reputation: The choice between bank loans and directly placed debt." Journal of Political Economy 99 (1991), 689-721.
Eckbo, E. "Valuation effects of corporate debt offerings." Journal of Financial Economics 15 (1986), 119-152.
Fama, E. F. "What's different about banks?" Journal of Monetary Economics 15 (1985), 29-39.
Finnerty, J. "Insiders and market efficiency." Journal of Finance 31 (1976), 1141-1148
Hoshi, T., A. Kashyab, and D. Scharfstein. "Bank monitering and investment evidence from the charging structure of Japanese corporate banking relationships." In Asymmetric information, corporate finance and investment. Chicago: University of Chicago Press (1990a).
—. "The role of banks in reducing the costs of financial distress in Japan." Journal of Financial Economics 27 (1990b), 67-88.
—. "Corporate structure, liquidity and investment: Evidence from Japanese industrial groups." Quarterly Journal of Economics 106 (1991), 33-60.
Howton, S. D., S. W. Howton, and S. B. Perfect. "The market reaction to straight debt issues: The effects of free cash flow." Journal of Financial Research 21 (1998), 219-228.
Irani, A. J. "Management earnings forecast bias and insider trading: Comparision of distressed and non-distressed firms." Journal of Business and Economics Studies 9 (2003), 12-25.
Jaffe, J. "Special information and insider trading." Journal of Business 47 (1974), 410-428.
James, C. "Some evidence on the uniqueness of bank loans." Journal of Financial Economics 19 (1987), 217-236.
James, C., and P. Wier. "Borrowing relationships. intermediation, and the cost of issuing public securities." Journal of Financial Economics 28 (1990), 149-171.
Jeng, L., A. Metrick, and R. Zeckhuser. "The profits to insider tradeing: A performance-evaluation perspective." In Working Paper: National Bureau of Economic Research (1999).
John, K., and L. H. P. Lang. "Insider Trading Around Dividend Announcements: Theory and Evidence." The Journal Of Finance 46 (1991), 1361-1389.
Johnson, K. H. "Graphical Analysis for Event Study Design." Journal of Financial and Strategic Decisions 11 (1998).
Jung, K. Y., Y. C. Kim, and R. M. Stulz. "Timing, investment opportunities, managerial discretion, and the security issue decision." Journal of Financial Economics 42 (1996), 159-185.
Kahle, K. "Insider Trading and the Long-Run Performance of New Security Issues." Journal of Finance 6 (2000), 25-54.
Kane, E., and B. G. Malkiel. "Bank Portfolio allocation, deposit variability, and the availability doctrine." Quarterly Journal of Economics 79 (1965), 113-134.
Kang, H., and J. D. Diltz. "Dividend Announcements and the Valuation Effects of Corporate Diversture." Journal of Financial and Strategic Decisions 13 (2000).
Karpoff, J. M., and D. Lee. "Insider trading before new issue announcements." Financial Management 20 (1991), 18-26.
Lakonishok, J., and I. Lee. "Are insider trades informative?" The Review of Financial Studies 14 (2001), 79-111.
Lee, D. S., W. H. Mikkelson, and M. M. Partch. "Managers' trading around stock repurchases." Journal of Finance 47 (1992).
Lee, I. "Do firms knowingly sell overvalued equity." Journal of Finance 52 (1997), 1439-1466.
Leland, H. E., and D. H. Pyle. "Informational asymmetries, financial structure, and financial intermediation." Journal of Finance 32 (1977), 371-387.
Lorie, J., and V. Niederhoffer. "Predictive and statistical properties of insider trading." Journal of Law and Economics 11 (1968), 35-51.
Lummer, S., and J. McConnell. "Further evidence on the bank lending process and the capital market response to bank loan agreements." Journal of Financial Economics 25 (1989), 99-122.
Ma, Y. "Insider Trading Behavior Prior to Chappter 11 Bankruptcy Announcements." Journal Of Business Research 54 (2001), 63-70.
Masulis, R., and A. Korwar. "Seasoned equity offerings: An empirical investigation." Journal of Financial Economics 15 (1986), 91-118.
Mikkelson, W., and M. Partch. "Valuation effects of security offerings and the issuance process." Journal of Financial Economics 15 (1986), 31-60.
Myers, S., and N. Majluf. "Corporate financing and investment decisions when forms have information that investors do not have." Journal of Financial Economics 13 (1984), 187-221.
Ooi, J. "Corporate reliance on bank loans: An empirical analysis of UK property companies." Journal of Property Investment & Finance 18 (1999), 103-120.
Petit, R. R., and P. C. Venkatesh. "Insider trading and long-run return performance." Financial Management 24 (1995), 88-103.
Reinganum, M. "the Anatomy of a Stock Market Winner " Financ Anal J 43 (1987), 16-28.
Seyhun, N. "Insiders' profits, costs of trading, and market efficiency." Journal of Financial Economics 16 (1986), 189-212.
—. "The effectiveness of the insider-trading sanctions." Journal of Law and Economics 35 (1992), 149-182.
—. Investment intelligence from insider trading: The MIT Press (1999).
Seyhun, N., and M. Bradley. "Corporate Bankruptcy and Insider Trading." The Journal of Business 70 (1997), 189-216.
Shockley, R., and A. Thakor. "Information content of commitments to lend in the future: Theory and evidence on the gains on relationship banking." Indiana University (1992).
論文全文使用權限
  • 同意授權校內瀏覽/列印電子全文服務,於2011-08-26起公開。
  • 同意授權校外瀏覽/列印電子全文服務,於2009-08-26起公開。


  • 如您有疑問,請聯絡圖書館
    聯絡電話:(06)2757575#65773
    聯絡E-mail:etds@email.ncku.edu.tw