上市公司违规行为对违约距离和预期违约率影响的实证研究——兼论KMV模型的修正  

Empirical Research on the Influence of Listed Company's Illegal Actions to Violation Distance and Expected Violation Frequency——Both Discussing on Modify of KMV Model

作　　者：薛锋[1] 董颖颖[1] 石雨欣[1] 

机构地区：[1]西安交通大学管理学院

出　　处：《经济管理》2005年第20期65-73,共9页Business and Management Journal ( BMJ )

基　　金：国家社科基金项目资助;项目号:70171005

摘　　要：基于修正的 KMV 模型研究表明,上市公司违规行为使股价异常波动造成投资者损失,同时也会使公司资产的市场价值降低,资产价值的波动性增加,从而使得公司的违约距离减小,违约风险增大。公司违规行为给投资者造成的损失与违约距离变化的统计检验显示,两者之间具有较强的相关性,但并不是简单的正相关。Research on modified KMV model shows that listed company＇s act of deregulation lets stock price fluctuate abnormally and results in loss of investors, at the same time lets market price of company＇s asset reduce and the fluctuation of company＇s asset value increase, accordingly lets company＇s distance to default decrease and lets default risk increase. The statistical test reveals that between the investor＇s losing and the change of distance to default that resulted from company＇s act of deregulation there has higher relativity but not positive correlation.

关 键 词：违约率 违规行为 KMV模型 

分 类 号：F830[经济管理—金融学]