银行风险管理、贷款信息披露与并购宣告市场反应  

Bank Risk Management,Loan Disclosure and Market Reaction to M&A Announcements

作　　者：陈超[1] 甘露润[2] 

机构地区：[1]南开大学商学院,天津300071 [2]复旦大学管理学院,上海200433

出　　处：《金融研究》2013年第1期92-106,共15页Journal of Financial Research

基　　金：国家自然科学基金项目(批准号:71072004;71072098)的资助

摘　　要：风险管理已经成为商业银行稳健经营的关键问题,本文对银行风险管理与资本市场的关系进行研究。通过对2001～2010年435个交易金额在1000万元以上的以现金方式支付的股权收购样本的分析,发现接近50%的收购公司在并购前披露了银行贷款信息,披露贷款信息的收购公司可以取得更高的并购宣告收益;银行风险管理水平的提升使贷款信息披露对并购宣告收益的影响更显著。研究认为,银行风险管理增加了贷款中的信息含量;贷款信息披露降低了股票投资者的逆向选择,避免了高质量公司遭受价值低估的损失;加强银行风险管理不仅有助于商业银行的稳健经营,而且还对资本市场产生正的外部性影响,提高了资本市场的定价效率。This paper focuses on the relationship between bank risk management and capital market. Using 435 equity - acquisition samples with cash payment and more than 10 million RMB Yuan for each deal from 2001 to 2010, in which the bidders are China listed firms, we find that almost haft of our samples disclosed their bank loans before M＆A announcement. We show that if the bidder makes at least once loan ,t before the acquisition, the bidder gains an excessive stock return in its first bid announcement. Furthermore, we document that bank risk management improves the effect of bank loan disclosure on the M＆A t return. Our results indicate that risk management will increase the informativeness in bank loan disclosure and reduce investors＇ adverse selection which avoids the losses of market value of high quality acquirers. Therefore, we sug- gest that risk management not only keeps bank industry healthy, but also extemalizes capital market positively, which improves the efficiency of pricing.

关 键 词：银行风险 信息披露 定价效率 

分 类 号：F832.2[经济管理—金融学]