AN EMPIRICAL STUDY OF THE EFFECTS OF LENDING BANK LOAN CONCENTRATION

[[abstract]]本文以銀行放款集中度的觀點，探討銀行績效與放款集中度的關係，進而探討放款銀行之借款廠商危機事件宣告，對放款銀行股價表現是否異常，最後探討放款銀行股票累積異常報酬之決定因素分析。以台灣經濟新報提供1996年至2002年台灣上市、上櫃公司之相關資料作為分析基礎。實證結果顯示，銀行放款集中度，不完全顯著影響銀行績效；當借款廠商宣告危機事件發生時，在不同的事件窗口下，銀行之股價均呈現出累積異常報酬；若以銀行股票之累積異常報酬率為分析對象，銀行放款集中度與相關總體經濟變數，均顯著影響放款銀行股票之累積異常報酬。[[abstract]]Our study focuses on the relationship between bank’s performance and its loan concentration with borrowing firm. We use the TEJ databank for bank-firm relationship, and for the borrowing firm’s financial distress announcement. The empirical results suggest that, in some years, the bank’s performances are significantly determined by the degree of bank’s loan concentration, while others are not. And, once the borrowing firm announced their financial troubles publicly, at any event windows, the cumulative abnormal return of bank’s stock is significantly negative. At last, the significantly negative cumulative abnormal return is affected by macroeconomics factors and bank’s degree of loan concentration