本研究以 1982 年至 2017 年美國聯合貸款市場為研究對象，探討借款企業股價崩盤風險是否會影響銀行貸款成本。本文以貸款融通層級作為分析單位，並以貸款利差自然對數衡量銀行貸款成本。股價崩盤風險則分別以股價負偏態係數（NCSKEW）、上下波動比率（DUVOL）以及崩盤事件次數（CRASH）作為衡量指標。實證結果顯示，三項股價崩盤風險變數皆與銀行貸款成本呈顯著正向關係，表示當借款企業具有較高股價崩盤風險時，銀行會要求較高貸款利差作為風險補償。此結果說明，股價崩盤風險不僅反映股票市場中的極端下行風險，也可能成為銀行評估借款企業資訊風險與未來償債不確定性的重要訊號。進一步分組分析發現，股價崩盤風險對貸款成本之正向影響，主要集中於財務狀況較弱之借款企業，例如高槓桿、低利息保障倍數及低市值帳面價值比之樣本。此外，股價崩盤風險在無既有借貸關係樣本中之影響較為明顯，顯示當銀行掌握之借款企業私有資訊較少時，可能更依賴股票市場中的公開風險訊號進行貸款定價。最後，配對樣本分析亦顯示，發生股價崩盤事件之借款企業仍具有較高銀行貸款成本，支持本文主要結果之穩健性。整體而言，本文發現股價崩盤風險為影響銀行貸款成本之重要因素，並將股價崩盤風險相關研究由股票市場與公開債務市場延伸至銀行聯貸市場，補充美國債務市場貸款定價之相關文獻。

This study examines whether borrowers’ stock price crash risk affects the cost of bank loans in the U.S. syndicated loan market from 1982 to 2017. Using loan facilities as the unit of analysis, this study measures the cost of bank loans by the natural logarithm of loan spreads. Stock price crash risk is measured by negative conditional skewness (NCSKEW), down-to-up volatility (DUVOL), and crash count (CRASH). The empirical results show that all three crash risk measures are significantly and positively associated with the cost of bank loans. This finding indicates that banks charge higher loan spreads to borrowers with higher stock price crash risk as compensation for additional risk. The results suggest that stock price crash risk not only reflects extreme downside risk in the stock market, but may also serve as an important signal for banks when assessing borrowers’ information risk and future repayment uncertainty. Further subsample analyses show that the positive effect of stock price crash risk on loan costs is mainly concentrated among borrowers with weaker financial conditions, such as firms with high leverage, low interest coverage, and low market-to-book ratios. In addition, the effect of stock price crash risk is more pronounced in the no-relationship subsample, suggesting that when banks possess less private information about borrowers, they may rely more heavily on public risk signals from the stock market in loan pricing. Finally, the matched sample analysis also shows that borrowers experiencing stock price crash events still face higher bank loan costs, supporting the robustness of the main results. Overall, this study finds that stock price crash risk is an important determinant of bank loan costs. By extending the literature on stock price crash risk from the stock market and public debt market to the syndicated loan market, this study contributes to the literature on loan pricing in the U.S. debt market.

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