本文研究主要在探討以銀行團聯貸宣告下，對台灣地區上市的參貸銀行和借款公司之股東財富有何影響？本研究以事件研究法（Event Study）對標準化異常報酬做檢定，同時由於過去對殘差項估計多是以古典最小平方法來估計，但是實際股票報酬率通常具有尖峰態的胖尾分配，因此本文同時採Bollerslev(1986)的GARCH估計法及傳統古典最小平方法估計，並對結果做一比較；實証結果如下： 本研究得到下列結論： 1、在股價報酬時間數列特性上：對放款銀行之股價報酬而言，呈現異質變異性質者佔近四成，而對借款公司之股價報酬而言，呈現異質變異性質者佔四成，因此在考慮報酬率的特性時需將此考慮各國模型中，但就事件觀察期的顯著性而言，以古典最小平方法估計以異質條件變異數分析法估計的結論上，無論在放款銀行或在借款公司上皆無顯著之差異，可能因為時間數列的時間較短所致。 2、就放款銀行而言，銀行團聯貸之宣告日前一天，即有整個事件期中最強烈的正向反應，但未達顯著水準，而在宣告日前一天至宣告日當天的事件窗口有顯著水準的正向反應，顯示銀行團聯貸宣告所傳達給放款銀行之股東是正面資訊內涵。 3、就借款公司而言，銀行團聯貸之宣告前二天即有強烈的正向反應（但未達顯著水準），但隔天（宣告日前一天）即以整個事件期中最強烈的負向反應（但未達顯著水準）逆轉，而在宣告日前一天至宣告日當天的事件窗口卻有顯著水準的負向反應，顯示銀行團聯貸宣告所傳達給借款公司之股東是負面的資訊內涵。 4、放款銀行在累積異常報酬方面，在宣告日前十八天左右即有資訊揭露的現象，但持續4天之後，隨即有下跌趨勢，至宣告日前二天更跌至谷底，最後在宣告日後二天才轉回來，此現象可能代表投資人對銀行團聯貸之推動，時間拖愈久，對聯貸之成功與否持較悲觀的市場反應，乃至聯貸宣告後二天，才明確的正向反應出來。 5、借款公司在累積異常報酬方面，在宣告日之前即有上漲的趨勢，此現象顯示借款公司之股東對借款公司持較樂觀的市場反應，然宣告日前一天負面反應最強烈，可能顯示聯貸案成功與否會響到借款公司聲譽及資金的調度等方面，但聯貸案成功宣告後，則以更大幅度的正向股價反價，因此聯貸宣告整體而言，對借款公司之股東應為正面的資訊內涵。 6、以橫斷面分析法複迴歸的方式分別探討對放款銀行與對借款公司之異常報酬影響原因，實証結果顯示在放款銀行而言有99..........9%以上的顯著性，表示異常報酬與新銀行是否加入競爭有負向的關係，此現象表示81年新銀行的成立，使得舊有銀行聯貸的利潤受到很大衝擊。而在借款公司而言，銀行團參貸家數，與借款公司之異常報酬無顯著相關性，無法証實「契約彈性假說」，而借款公司之資產規模與舉債能力與異常報酬無顯著水準相關。

聯合貸款指的是兩個或兩個以上金融機構，使用共同的文件對同一申請人定下由相同條款及條件(terms and conditions)所構成的契約，並選定某一共同代理機構以管理該契約事宜。由於發生聯合貸款的場合，多半是因其金額龐大，非單一金融機構所能承擔其風險者。因此，乃聯合數家金融機構，使用彼此同意的共同文件與申請人簽下貸款契約。由於我國銀行在國際聯合貸款市場的佔有率並不高，在現今進入國際化，自由化的時代，筆者即欲以目前國際聯合貸款市場的實務操作與法律問題為探討的對象，提供我國銀行未來的國際化的參考。

銀行往來關係對於公司來說是很重要的資產，而銀行欲與公司建立往來關係時，是否可經由承做一般借款的業務，藉此取得公司的私有資訊並審視其體質，以便在未來爭取公司的聯合貸款業務。或是先藉由承作公司的聯合貸款，未來再爭取公司的一般借款業務。然而已存的研究通常使用LPC或Dealogic為其研究資料來源，但是此二資料庫皆以「聯合貸款」資料為大宗，所包含的「一般借款」資料相對較少，因此本文的主要貢獻在於，引入台灣經濟新報(TEJ)的「一般借款」資料，將LPC與台灣經濟新報(TEJ)合併，重新衡量銀行往來關係強度。而若以一般借款的筆數及金額等因子來計算銀行往來關係的強度時，實證發現，有一般借款往來關係的公司，隨著此往來關係越強，越容易爭取到未來的聯合貸款，且亦容易成為主貸銀行。而承做過聯合貸款的主貸銀行，相較於參貸銀行，未來能獲取同一公司更多的一般借款，彼此的往來關係會較緊密。

Two essays are comprised in this dissertation to explore how market friction affects the processes of price formation. The first essay investigates on both theoretical and empirical bases how segmentation of communication amongst potential lenders can influence loan contracts. Two cases are considered. The first one assumes that potential lenders can freely communicate with each other; the second one assumes that each potential lender can only observe the decisions of its predecessors. I show theoretically that the ex post observed interest rate will be higher and the probability of syndication failure will be lower if the potential lenders cannot communicate freely with each other. These predictions are confirmed by my empirical work. Using a novel proxy, relational distance, for the segmentation of communication, I show that the larger the relational distance, the higher is the loan spread and the lower is the probability of syndication failure. In addition, the relational distance is positively correlated with the probability of the existence of non-price contract terms, such as the requirement for collateral and guarantees. My conclusions are found to be robust to endogeneity issues, potentially omitted variables and alternative model specifications. The second essay focuses on the informational effects between futures market and its spot market. Intraday data are used to investigate the lead-lag relationship between the TX returns, the TX trading activity and the TAIEX stock index returns. I focus on the transmission direction and the source of information and find that there are specific lead-lag relationships between futures returns and spot returns, in addition to the contemporaneous relationship predicted by carry-cost theory and efficient market theory. The results show that futures returns significantly lead spot returns, which suggests that informed trades occur in the futures market and makes information flows from the futures market to the spot market. By distinguishing different types of futures traders and using private information, net open buy, as a proxy for futures trading activity, I found that the major source of informed trades is foreign institutional traders because their trading activity have predictive power for future movements in both spot and futures prices. In contrary, traders in the other categories carry no information about the directional changes in both spot and futures prices.

This diploma thesis focuses on syndicated loans. It analyzes mostly the development of syndicated loans during last years from different points of view. Special attention is given to the syndicated loan market in Europe and USA. At the beginning of this paper, it is proved, that syndicated loans are important source of corporate financing. Most important characteristics of syndicated loans are mentioned after that. The chapter three deals with pricing of syndicated loans in the theoretical way. Next chapter concerns with trading of syndicated loans in secundary market in the USA. After that, syndicated loans are given to the relevance to credit derivates. Next chapter analyzes different asspects of the development of syndicated loans during last years. The chapter seven empirically proves the impact of financial crisis on syndicated loans market. There is also a comparison of spreads on syndicated loans market in Europe and USA. Last chapter focuses on the relationship between syndicated loans and GDP.

本論文之研究目的係驗證公允價值資訊是否會影響聯合貸款的借款條件。實證結果顯示公司採用更多公允價值，尤其是第1等級輸入值，可在聯合貸款市場中可取得較有利的聯合貸款條件，例如可取得更低的利率及更高額的貸款金額。然而實證結果也顯示，若公司採用更多公允價值，尤其是第1等級輸入值，會有更高的機會被債權人要求提供債務擔保。由此可知，公司採用更多公允價值可有助於取得更有利的聯合貸款借款條件，同時第1等級輸入值可獲得更顯著的結果。

雙重股權結構現今於美國公司治理上的應用越來越普遍，在此股權結構下的公司透過具不同投票權的股票達到控制權與盈餘分配權分離，使內部經理人可以掌握公司的控制權，但相應而生的可能是經理人與股東間的代理問題，且並非所有等級的股票皆公開在市場上交易，這也使得公司資訊透明度降低，進而影響股票的流動性和公司價值，然而，對於雙重股權結構亦有研究持正面看法，如公司可藉控制權集中提升經營效率等。本研究由此為出發點，欲以聯貸市場的角度來檢驗雙重股權結構公司在進行聯貸時，是否會對聯貸條件產生影響，而貸款銀行面對公司的雙重股權結構又將採取何種風險評估角度。 本研究利用1991至2012年間美國公司的資料，研究結果顯示公司在雙重股權結構下，所獲得之聯貸條件並未呈現負面影響，其中原因可能存在於雙重股權結構的公司特性與其可能為公司創造的價值。

Trust Fund in Business Relations Author: Milan Sýkora Supervisor: prof. JUDr. Stanislava Černá, CSc. This diploma thesis deals with transplantation of trusts into the Czech Civil Code in the form of "svěřenský fond" (fiduciary fund) and with possibilities of this instrument in the world of commerce. The essential question is whether svěřenský fond is capable of replacing Anglo-Saxon trust in the following standard financial transactions: (i) syndicated loans, (ii) issues of bonds, (iii) subordination, (iv) securitization and (v) collective investment. In total, this thesis comprises of seven chapters, including the Introduction and the Conclusion. After an introduction, uncommonly, a prologue follows. This Prologue outlines a new, unusual instrument of the Czech law - svěřenský fond. It refers to the particular legislation and outlines questions that arise with this recently transplanted device. The third chapter defines trust using comparative law and deals with its historical development both on the British Islands and in the civil and mixed jurisdictions. The second subchapter argues that the so-called obstacles of trust reception into civil law are not based on solid arguments. Further, I describe experience of trust reception in selected civil law and mixed jurisdictions. In the fourth...

Le crédit est indispensable au bon fonctionnement de l’économie. Il existe sous différentes formes (financement participatif, émission obligataire, etc.). L’une des plus répandues reste le crédit bancaire, et lorsque ce crédit est dispensé par au moins deux établissements financiers, il s’agit d’un « crédit syndiqué » qui répond à une certaine organisation collective. C’est dans ce contexte qu’un « agent du crédit » assure l’administration du crédit. En fonction du droit applicable, il peut être un « agent » (droit anglais) ou encore un « mandataire » (droit français). De surcroît, ces financements étant généralement pourvus de sûretés et de garanties il est fréquent de constater l’intervention d’un « agent des sûretés ». Ce dernier agit comme un véritable « gardien » des sûretés et des garanties dont bénéficient les parties financières en garantie de la bonne exécution des obligations des emprunteurs au titre des documents de financement. Son rôle est donc crucial. / Credit is essential for the smooth functioning of the economy. It is existing in various forms (crowdfunding, bond issuance, etc.). One of the most widespread is the bank loan, and when this credit is provided by at least two financial institutions, it is a "syndicated loan" that has to fulfil a certain collective organization. It is in this context that a "facility agent" ensures the administration of loan. Depending on the applicable law, it may be an « agent » (English law) or a « mandataire » (French law). Moreover, as these financings are generally provided with security and guarantees, it is frequent to observe the intervention of a "security agent". The latter acts as a "guardian" of the security and guarantees the financial parties are benefiting from as guarantee of the proper performance of borrowers' obligations under the finance documents. Its role is therefore crucial.

本研究主要探討強制採用國際會計準則(International Financial Reporting Standards, IFRS)對銀行聯貸組成結構(ownership structure)與債務契約條款(debt covenants)的影響。研究發現結果如下：第一、當借款公司強制採用國際會計準則報導後，主辦銀行的持有比例將增加。第二、當借款公司強制採用國際會計準則報導後，外資銀行參與聯貸案的家數將下降。第三、當借款公司強制採用國際會計準則報導後，債務契約條款中將降低採用以會計數字為基礎的債務契約條款(無論以損益數字為基礎、或以資產負債表數字為基礎)。本研究之發現符合Schipper [2003]之論點：當債務人採用以原則式準則之會計報表作為借貸契約之基礎，將降低債權人與債務人以此報表訂契約的誘因。主要是因為原則式準則提供有限的會計處理程序與解釋指引，將導致會計數字在專業判斷下，報表數字可能增加主觀或偏誤，進而降低債務契約訂定的功能。最後，本研究發現前述採用國際會計準則的負面影響，在普通法國家(法律執行強度高的國家)比成文法的國家(法律執行強度弱的國家)有減緩的趨勢。 / In this dissertation, I examine how the mandatory adoption of International Financial Reporting Standards (IFRS) affects ownership structure and debt covenants in the syndicated loan market. I hypothesize and document that the proportion of the loan retained by syndicate lead arrangers increases after a borrower adopts mandatory IFRS reporting. Further, I document that foreign lenders are relatively less likely to be involved in syndicated loan deals after the adopting of mandatory IFRS reporting. Finally, I find that syndicate lenders are less likely to use financial covenants in debt agreements after the mandatory IFRS adopting, regardless of income statement-based or balance sheet-based covenants. Overall, these results are in line with the argument by Schipper [2003]. Specifically, the adoption of a principles-based accounting system (e.g., IFRS), characterized by limited interpretation and implementation guidance, increases the difference in professional judgment among debt contracting parties, which in turn reduces lenders’ and borrowers’ demand for accounting information in signing debt contracts. Finally, the negative effect of the mandatory IFRS adoption on the syndicated loan market is weaker in common-law countries (in countries with stricter enforcement regime) than in code-law countries (in countries with weaker enforcement regime).