A股市场的违约异象消失了吗?——打破刚兑和国企属性的影响分析
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摘要
近年来,我国的债务风险问题引起社会的广泛关注和担忧,并对资产定价产生重要影响。综合使用2004年第一季度至2017年第四季度上市公司财务数据和股票价格数据,参考Moody's KMV方法构造违约概率指标,研究违约风险与股票收益的关系。实证分析显示,在2014年之前,我国A股市场出现过"高违约风险—低股票收益"的"违约异象"。但在2014年之后,随着上市公司债务违约事件出现,违约风险—股票收益的关系逐步扭转,上述异象消失。研究还发现,上市公司是否为国企,会显著影响股票收益对违约风险的敏感性。具体而言,在2014年之后,非国企背景股票的收益率对违约风险变化的敏感性要比国企背景股票高出1倍多。
In recent years,Chinese debt risk has aroused widespread concern while exerting an important impact on asset pricing. By combining corporate accounting data and stock price data from the first quarter of 2004 to the fourth quarter of 2017,and referring to Moody 's KMV method to construct an indicator which measures probability of default,this paper studied the relationship between default risk and stock returns. Empirical analysis showed that before 2014,there had a "default anomaly" in Chinese A-share market,which means "high default risk with low stock return". But after2014,with the occurrence of debt defaults,the relationship between default risk and stock returns gradually reversed,and the default anomaly disappeared. The research also finds that whether listed companies are state-owned or not will significantly affect the sensitivity of stock returns to the default risk. Specifically,the yields of non-state-owned background stocks are almost twice as sensitive to changes in default risk as those of state-owned background stocks.
In recent years,Chinese debt risk has aroused widespread concern while exerting an important impact on asset pricing. By combining corporate accounting data and stock price data from the first quarter of 2004 to the fourth quarter of 2017,and referring to Moody 's KMV method to construct an indicator which measures probability of default,this paper studied the relationship between default risk and stock returns. Empirical analysis showed that before 2014,there had a "default anomaly" in Chinese A-share market,which means "high default risk with low stock return". But after2014,with the occurrence of debt defaults,the relationship between default risk and stock returns gradually reversed,and the default anomaly disappeared. The research also finds that whether listed companies are state-owned or not will significantly affect the sensitivity of stock returns to the default risk. Specifically,the yields of non-state-owned background stocks are almost twice as sensitive to changes in default risk as those of state-owned background stocks.
引文
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[6]王永钦,陈映辉,杜巨澜.软预算约束与中国地方政府债务违约风险:来自金融市场的证据[J].经济研究,2016,51(11):96-109.
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[15]陈莹,等.基于MCLP模型的个人住房抵押贷款违约风险研究[J].审计与经济研究,2015(1):105-112.
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[18]Elton E J,Gruber M J,Agrawal D,et al. Explaining theRate Spread on Corporate Bonds[J]. Journal of Fi-nance,2001,56(1):247-277.
[19]林鸿熙,林建伟.考虑对手方违约风险首次违约互换合约的定价[J].系统工程学报,2011(6):785-791.
[20]王安兴,解文增,余文龙.中国公司债利差的构成及影响因素实证分析[J].管理科学学报,2012(5):32-41.
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[24]Vassalou M,Xing Y. Default Risk in Equity Returns[J]. Journal of Finance,2004,59(2):831-868.
[25]Avramov D,Chordia T,Jostova G,et al. Momentum andCredit Rating[J]. Journal of Finance,2007,62(5):2503-2520.
[26]Chava S,Purnanandam A. Is Default Risk NegativelyRelated to Stock Returns?[J]. Review of FinancialStudies,2010,23(6):2523-2559.
[27]Aretz K,Florackis C,Kostakis A. Do Stock ReturnsReally Decrease with Default Risk? New InternationalEvidence[J]. Ssrn Electronic Journal,2013.
[28]Dichev I D. Is the Risk of Bankruptcy a SystematicRisk?[J]. Journal of Finance,1998,53(3):1131-1147.
[29]Ohlson J A. Financial Ratios and the Probabilistic Pre-diction of Bankruptcy[J]. Journal of Accounting Re-search,1980,18(1):109-131.
[30]Griffin J M,Lemmon M L. Book-to-Market Equity,Dis-tress Risk,and Stock Returns[J]. Journal of Finance,2010,57(5):2317-2336.
[31]Avramov D,Chordia T,Jostova G,et al. Anomalies andfinancial distress☆[J]. Journal of Financial Eco-nomics,2013,108(1):139-159.
[32]Da Z,Gao P. Clientele Change,Liquidity Shock,and theReturn on Financially Distressed Stocks[J]. Journal ofFinancial&Quantitative Analysis,2010,45(1):27-48.
[33]Conrad J S,Kapadia N,Xing Y. What Explains theDistress Risk Puzzle:Death or Glory?[J]. Ssrn Electron-ic Journal,2012.
[34]Bauer,Julian,Agarwal,Vineet,2014. Distress Risk andStock Returns:The Neglected Profitability Effect. Work-ing Paper.
[35]Gao P,Parsons C A,Shen J. The Global Relation be-tween Financial Distress and Equity Returns[J]. SsrnElectronic Journal,2012,41(4):536-550.
[36]Garlappi L,Yan H. Financial Distress and the Cross-section of Equity Returns[J]. Journal of Finance,2011,66(3):789-822.
[37]何旭强,周业安.上市公司破产和重整的选择机制、经济效率及法律基础[J].管理世界,2006(7):125-131.
[38]叶军.股票收益中的违约风险[D].厦门:厦门大学,2008.
[39]李一帆.破产风险、股东优势与股票收益———来自中国市场的经验证据[D].上海:上海交通大学,2012.
[40]Carhart M. On persistence in mutual fund returns[J].Journal of Finance,1997.
[2]Merton R C. On the Pricing of Corporate Debt:The RiskStructure of Interest Rates[J]. Journal of Finance,1974,29(2):449-470.
[3]Fama E F,French K R. Common risk factors in the re-turns on stocks and bonds☆[J]. Journal of FinancialEconomics,1993,33(1):3-56.
[4]Longstaff F A,Schwartz E S. A Simple Approach toValuing Risky Fixed and Floating Rate Debt[J]. Journalof Finance,1995,50(3):789-819.
[5]冯宗宪,郭建伟,孙克.企业债的信用价差及其动态过程研究[J].金融研究,2009(3):54-71.
[6]王永钦,陈映辉,杜巨澜.软预算约束与中国地方政府债务违约风险:来自金融市场的证据[J].经济研究,2016,51(11):96-109.
[7]Garlappi L,Shu T,Yan H. Default Risk,Shareholder Ad-vantage,and Stock Returns[J]. Review of FinancialStudies,2008,21(6):2743-2778.
[8]Filipe S F,Grammatikos T,Michala D. Pricing DefaultRisk:The Good,The Bad,and The Anomaly☆[J]. Jour-nal of Financial Stability,2016,26:190-213.
[9]Scholes M S,Black F S. The Pricing of Options andOther Corporate Liabilities[J]. Journal of Political Econ-omy,1973,81(3):637-654.
[10]Kealhofer S. Quantifying Credit Risk I:Default Predic-tion[J]. Financial Analysts Journal,2003,59(1):30-44.
[11]Kealhofer S. Quantifying Credit Risk II:Debt Valuation[J]. Social Science Electronic Publishing,2003,59(3):78-92.
[12]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(1):26-33.
[13]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.
[14]Li A,Yu Y,Liu Z. Sensitivity Analysis of b in MCLPModel for Credit Card-Holders Classification[J]. Proce-dia Computer Science,2013(17):1023-1031.
[15]陈莹,等.基于MCLP模型的个人住房抵押贷款违约风险研究[J].审计与经济研究,2015(1):105-112.
[16]Duffie D,Singleton K J. Modeling Term Structures ofDefaultable Bonds[J]. Review of Financial Studies,1999,12(4):687-720.
[17]Zhou C. The term structure of credit spreads with jumprisk[J]. Journal of Banking&Finance,2001,25(11):2015-2040.
[18]Elton E J,Gruber M J,Agrawal D,et al. Explaining theRate Spread on Corporate Bonds[J]. Journal of Fi-nance,2001,56(1):247-277.
[19]林鸿熙,林建伟.考虑对手方违约风险首次违约互换合约的定价[J].系统工程学报,2011(6):785-791.
[20]王安兴,解文增,余文龙.中国公司债利差的构成及影响因素实证分析[J].管理科学学报,2012(5):32-41.
[21]Campbell J Y,Hilscher J,Szilagyi J. In Search of Dis-tress Risk[J]. Journal of Finance,2008,63(6):2899–2939.
[22]Denis D J,Denis D K. Causes of financial distress fol-lowing leveraged recapitalizations☆[J]. Journal of Fi-nancial Economics,1995,37(2):129-157.
[23]Fama E F,French K R. Multifactor Explanations of As-set Pricing Anomalies[J]. Journal of Finance,1996,51(1):55-84.
[24]Vassalou M,Xing Y. Default Risk in Equity Returns[J]. Journal of Finance,2004,59(2):831-868.
[25]Avramov D,Chordia T,Jostova G,et al. Momentum andCredit Rating[J]. Journal of Finance,2007,62(5):2503-2520.
[26]Chava S,Purnanandam A. Is Default Risk NegativelyRelated to Stock Returns?[J]. Review of FinancialStudies,2010,23(6):2523-2559.
[27]Aretz K,Florackis C,Kostakis A. Do Stock ReturnsReally Decrease with Default Risk? New InternationalEvidence[J]. Ssrn Electronic Journal,2013.
[28]Dichev I D. Is the Risk of Bankruptcy a SystematicRisk?[J]. Journal of Finance,1998,53(3):1131-1147.
[29]Ohlson J A. Financial Ratios and the Probabilistic Pre-diction of Bankruptcy[J]. Journal of Accounting Re-search,1980,18(1):109-131.
[30]Griffin J M,Lemmon M L. Book-to-Market Equity,Dis-tress Risk,and Stock Returns[J]. Journal of Finance,2010,57(5):2317-2336.
[31]Avramov D,Chordia T,Jostova G,et al. Anomalies andfinancial distress☆[J]. Journal of Financial Eco-nomics,2013,108(1):139-159.
[32]Da Z,Gao P. Clientele Change,Liquidity Shock,and theReturn on Financially Distressed Stocks[J]. Journal ofFinancial&Quantitative Analysis,2010,45(1):27-48.
[33]Conrad J S,Kapadia N,Xing Y. What Explains theDistress Risk Puzzle:Death or Glory?[J]. Ssrn Electron-ic Journal,2012.
[34]Bauer,Julian,Agarwal,Vineet,2014. Distress Risk andStock Returns:The Neglected Profitability Effect. Work-ing Paper.
[35]Gao P,Parsons C A,Shen J. The Global Relation be-tween Financial Distress and Equity Returns[J]. SsrnElectronic Journal,2012,41(4):536-550.
[36]Garlappi L,Yan H. Financial Distress and the Cross-section of Equity Returns[J]. Journal of Finance,2011,66(3):789-822.
[37]何旭强,周业安.上市公司破产和重整的选择机制、经济效率及法律基础[J].管理世界,2006(7):125-131.
[38]叶军.股票收益中的违约风险[D].厦门:厦门大学,2008.
[39]李一帆.破产风险、股东优势与股票收益———来自中国市场的经验证据[D].上海:上海交通大学,2012.
[40]Carhart M. On persistence in mutual fund returns[J].Journal of Finance,1997.