Does Banking Relationship Matter in Financial Distress Spillover?

Abstract

銀行與借款企業間具有直接且緊密的關聯性，而此一往來關係被認為是風險的重要機轉；企業的財務困窘極可能會藉由跨產業溢出效果傳導給往來銀行負面的影響。本研究結果顯示公司宣告破產重整確實使企業股價呈現顯著但幅度不大的短期負異常報酬。然而，出乎意料地，往來銀行卻未因借款企業的困窘而使其股價蒙受太大的負面損失。本研究進而指出借款利率、企業財務槓桿、企業獲利效率對於銀企往來負面事件宣告外溢模式最具解釋力。具體而言，實證研究發現當借款企業被索取的利率愈低時，其溢出效果愈高。此外，當借款企業受困於高企業財務槓桿時，宣告事件之負向溢出效果大於正向溢出效果。最後，借款公司之高企業獲利效率，能有效地預測財務困窘事件對銀企往來所產生之溢出效果。

Given that the direct lender-borrower interconnectedness and propinquity are critical means of efficient risk transfer, the financial distress involves the negative propagation through inter-sector spillovers. This study documents a small but significant and non-transitory adverse valuation effect of reorganization filing on the value of the troubled sample data. However, it is striking to note that the lender is resilient to the propagation of borrower distress. There is not too much noteworthy impact on relationship banks upon the filing proclamation. This study also shows that the loan interest rate, borrower leverage, and borrower profit efficiency help enlighten the stock market differentiation to bad filer-based news on its lender. More specifically, this empirical study finds that the lower the interest rate imposed by top lenders, the greater the degree of inter-sector spillovers. In addition, this study reveals that the negative externality effect dominates the positive one when the sample data is confined to a high level of total liabilities by total assets. Finally, the greater the value of the net income by assets, the more capable it is in predicting results.