盈利性对违约风险-股票收益关系的影响
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摘要
本文基于对现金流折现模型的理论分析,运用2015年一季度至2017年四季度的财务数据和股价数据,研究我国上市公司盈利能力和盈利质量对违约风险-股票收益关系的影响。基于KMV模型和多元回归方法的估计结果显示,在相同违约风险下,盈利能力或盈利质量越优良的公司,股票收益对违约风险变化的敏感程度就越低,违约风险溢价越小。
引文
[1]陈艺云.中国公司债违约风险度量的理论与实证研究[J].系统工程,2016,34(01):26-33.
[2]杨世伟,李锦成.信用风险度量、债券违约预测与结构化模型扩展[J].证券市场导报,2015(10):41-48.
[3]张瑾,陈辉.打破刚兑和资产有形性对违约风险-股票收益关系的影响[J].新金融,2018(12):43-48.
[4]Garlappi L,Shu T,Yan H.Default Risk,Shareholder Advantage,and Stock Returns[J].Review of Financial Studies,2008,21(6):2743-2778.
[5]Filipe S F,Grammatikos T,Michala D.Pricing Default Risk:The Good,The Bad,and The Anomaly☆[J].Journal of Financial Stability,2016,26:190-213.
[6]Merton R C.On the Pricing of Corporate Debt:The Risk Structure of Interest Rates[J].Journal of Finance,1974,29(2):449-470.
[7]Denis D J,Denis D K.Causes of financial distress following leveraged recapitalizations☆[J].Journal of Financia Economics,1995,37(2):129-157.
[8]Vassalou M,Xing Y.Default Risk in Equity Returns[J].Journal of Finance,2004,59(2):831-868.
[9]Avramov D,Chordia T,Jostova G,et al.Momentum and Credit Rating[J].Journal of Finance,2007,62(5):2503-2520.
[10]Chava S,Purnanandam A.Is Default Risk Negatively Related to Stock Returns?[J].Review of Financial Studies,2010,23(6):2523-2559.
[11]Aretz K,Florackis C,Kostakis A.Do Stock Returns Really Decrease with Default Risk?New International Evidence[J].Ssrn Electronic Journal,2013.
[12]Dichev I D.Is the Risk of Bankruptcy a Systematic Risk?[J].Journal of Finance,1998,53(3):1131-1147.
[13]Griffin J M,Lemmon M L.Book-to-Market Equity,Distress Risk,and Stock Returns[J].Journal of Finance,2010,57(5):2317-2336.
[14]Campbell J Y,Hilscher J,Szilagyi J.In Search of Distress Risk[J].Journal of Finance,2008,63(6):2899-2939.
[15]Bauer,Julian,Agarwal,Vineet,2014.Distress Risk and Stock Returns:The Neglected Profitability Effect.Working Paper
[16]Fama E F,French K R.Common risk factors in the returns on stocks and bonds☆[J].Journal of Financial Economics,1993,33(1):3-56.
[2]杨世伟,李锦成.信用风险度量、债券违约预测与结构化模型扩展[J].证券市场导报,2015(10):41-48.
[3]张瑾,陈辉.打破刚兑和资产有形性对违约风险-股票收益关系的影响[J].新金融,2018(12):43-48.
[4]Garlappi L,Shu T,Yan H.Default Risk,Shareholder Advantage,and Stock Returns[J].Review of Financial Studies,2008,21(6):2743-2778.
[5]Filipe S F,Grammatikos T,Michala D.Pricing Default Risk:The Good,The Bad,and The Anomaly☆[J].Journal of Financial Stability,2016,26:190-213.
[6]Merton R C.On the Pricing of Corporate Debt:The Risk Structure of Interest Rates[J].Journal of Finance,1974,29(2):449-470.
[7]Denis D J,Denis D K.Causes of financial distress following leveraged recapitalizations☆[J].Journal of Financia Economics,1995,37(2):129-157.
[8]Vassalou M,Xing Y.Default Risk in Equity Returns[J].Journal of Finance,2004,59(2):831-868.
[9]Avramov D,Chordia T,Jostova G,et al.Momentum and Credit Rating[J].Journal of Finance,2007,62(5):2503-2520.
[10]Chava S,Purnanandam A.Is Default Risk Negatively Related to Stock Returns?[J].Review of Financial Studies,2010,23(6):2523-2559.
[11]Aretz K,Florackis C,Kostakis A.Do Stock Returns Really Decrease with Default Risk?New International Evidence[J].Ssrn Electronic Journal,2013.
[12]Dichev I D.Is the Risk of Bankruptcy a Systematic Risk?[J].Journal of Finance,1998,53(3):1131-1147.
[13]Griffin J M,Lemmon M L.Book-to-Market Equity,Distress Risk,and Stock Returns[J].Journal of Finance,2010,57(5):2317-2336.
[14]Campbell J Y,Hilscher J,Szilagyi J.In Search of Distress Risk[J].Journal of Finance,2008,63(6):2899-2939.
[15]Bauer,Julian,Agarwal,Vineet,2014.Distress Risk and Stock Returns:The Neglected Profitability Effect.Working Paper
[16]Fama E F,French K R.Common risk factors in the returns on stocks and bonds☆[J].Journal of Financial Economics,1993,33(1):3-56.