TitleA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
Other TitlesDid the Default Anomaly Disappear in A-share Market?
Authors王洪亮
张瑾
陈辉
Affiliation湖南大学金融与统计学院
北京大学经济学院
华中科技大学经济学院
KeywordsA股市场
违约风险
股票收益
国企背景
公司债券
资产价格
A-stock market
default risk
stock returns
state-owned enterprise background
corporation bonds
asset price
Issue Date2019
Publisher河北经贸大学学报
Abstract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.
URIhttp://hdl.handle.net/20.500.11897/560298
ISSN1007-2101
DOI10.14178/j.cnki.issn1007-2101.2019.02.006
Indexed中文核心期刊要目总览(PKU)
Appears in Collections:经济学院

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