上市公司违约率研究
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摘要
信用风险是金融风险三大组成部分之一,根据新巴赛尔资本协议,影响信用风险诸因素中,违约概率是最重要的因素。当前我国有关违约概率研究,无论是定性还是定量方面都和实际需要相差甚远。例如,我国现阶段各大银行由于担心贷款的回收问题,致使大量的现金闲置。有关违约概率的研究主要有两个方向,违约率预测模型的选择和影响违约的各种变量的探讨,本文的研究主要是沿着这两个方向进行。基于上市公司在我国整个经济中的主导地位以及研究数据的可取得性,选取上市公司作为研究对象。
论文首先通过对影响违约率的变量截面数据分布特征进行研究,据此选择适当的违约率预测模型,使模型建立在可信的数理基础之上。实证分析表明,沪深全部上市公司1997年至2003年8种主要财务比率年度截面数据中,高达90%的数据最佳拟合分布为非正态分布。为此,论文选择logistic模型进行违约率研究。
影响违约变量的研究,主要是探讨技术效率和违约距离在结合财务比率进行违约预测的作用。论文应用随机前沿生产函数和Merton模型计算技术效率和违约距离,实证研究发现,技术效率和违约距离在违约率预测中起着重要的不可替代的作用,结合技术效率和违约距离因素的违约率模型,能明显提高模型的区别正确率。
作为违约率研究的拓展,论文探讨了违约率对市场收益率的影响,研究我国上市公司信用风险评级转移矩阵的特点,以及信用投资组合的构建。实证分析表明,违约率是公司股票收益变动的重要影响因素,违约风险和股票收益之间存在显著反方向关系,即违约风险越高,股票收益越低,说明在我国证券市场上,至少在2003年上海A股市场上存在明显的信用风险的负溢价。我国上市公司信用评级转移矩阵转移明显不连续,转移概率极其不稳定,和国外成熟的市场经济有着较大差异。
Credit risk is one of three parts of financial risk, and according to the Basel New Accord , default risk is an important factor of credit risk. Today in China, it is too inefficient about studying the probability of default of listed companies not only in quality but also in quantity. Mainly speaking, the study of probability of default has two directions, one is the choice of model, the other is choice of variable. The study of this paper is followed with the two directions. Due to its dominant function and easy to get data, the listed companies have been chosen as studying objects.In order to give a reasonable foundation of the model, the analysis of cross-sectional distributional properties of financial ratios has been given out. After studying cross-sectional distributional properties of financial ratios of public limited companies of Shanghai and Shenzhen A Stock Market, each group of data displays non-normal distributional. Also normality can not be achieved in certain case such as transforming the data or segregating outliers. So, this paper choose the logistic model to analyze the probability of default.Technical efficiency and distance to default are important factors in explaining financial distress except for financial ratios. The paper utilizes stochastic frontier functions and Merton model to calculate technical efficiency and distance to default of Chinese listed companies, both for special treatment companies and its match companies. It is found that technical efficiency and distance to default are good indicators to forecast financial distress than financial ratios.As a extending of the study, the paper discusses the effects of probability of default upon stock return, the characteristics of credit rating transition matrix of China listed companies, the construction credit risk portfolio.This is the first study that uses Merton's (1974) option pricing model to compute default measures for individual firm of China listed company, and assess the effect of default risk on equity returns. There exists a negative relation between default risk equity return. It can be said in China security market, at least at Shanghai A Stock
Market in 2003,there exists a significant negative credit risk premium. Credit ratings changes play a crucial role in many credit risk models. Empirical study shows the rating transition matrix of China listed company is very discontinuous, also is very different from matured markets.
论文首先通过对影响违约率的变量截面数据分布特征进行研究,据此选择适当的违约率预测模型,使模型建立在可信的数理基础之上。实证分析表明,沪深全部上市公司1997年至2003年8种主要财务比率年度截面数据中,高达90%的数据最佳拟合分布为非正态分布。为此,论文选择logistic模型进行违约率研究。
影响违约变量的研究,主要是探讨技术效率和违约距离在结合财务比率进行违约预测的作用。论文应用随机前沿生产函数和Merton模型计算技术效率和违约距离,实证研究发现,技术效率和违约距离在违约率预测中起着重要的不可替代的作用,结合技术效率和违约距离因素的违约率模型,能明显提高模型的区别正确率。
作为违约率研究的拓展,论文探讨了违约率对市场收益率的影响,研究我国上市公司信用风险评级转移矩阵的特点,以及信用投资组合的构建。实证分析表明,违约率是公司股票收益变动的重要影响因素,违约风险和股票收益之间存在显著反方向关系,即违约风险越高,股票收益越低,说明在我国证券市场上,至少在2003年上海A股市场上存在明显的信用风险的负溢价。我国上市公司信用评级转移矩阵转移明显不连续,转移概率极其不稳定,和国外成熟的市场经济有着较大差异。
Credit risk is one of three parts of financial risk, and according to the Basel New Accord , default risk is an important factor of credit risk. Today in China, it is too inefficient about studying the probability of default of listed companies not only in quality but also in quantity. Mainly speaking, the study of probability of default has two directions, one is the choice of model, the other is choice of variable. The study of this paper is followed with the two directions. Due to its dominant function and easy to get data, the listed companies have been chosen as studying objects.In order to give a reasonable foundation of the model, the analysis of cross-sectional distributional properties of financial ratios has been given out. After studying cross-sectional distributional properties of financial ratios of public limited companies of Shanghai and Shenzhen A Stock Market, each group of data displays non-normal distributional. Also normality can not be achieved in certain case such as transforming the data or segregating outliers. So, this paper choose the logistic model to analyze the probability of default.Technical efficiency and distance to default are important factors in explaining financial distress except for financial ratios. The paper utilizes stochastic frontier functions and Merton model to calculate technical efficiency and distance to default of Chinese listed companies, both for special treatment companies and its match companies. It is found that technical efficiency and distance to default are good indicators to forecast financial distress than financial ratios.As a extending of the study, the paper discusses the effects of probability of default upon stock return, the characteristics of credit rating transition matrix of China listed companies, the construction credit risk portfolio.This is the first study that uses Merton's (1974) option pricing model to compute default measures for individual firm of China listed company, and assess the effect of default risk on equity returns. There exists a negative relation between default risk equity return. It can be said in China security market, at least at Shanghai A Stock
Market in 2003,there exists a significant negative credit risk premium. Credit ratings changes play a crucial role in many credit risk models. Empirical study shows the rating transition matrix of China listed company is very discontinuous, also is very different from matured markets.
引文
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