中国上市公司的违约风险和预期收益:基于隐含资本成本的分析  

Tradeoff Between Default Risk and Expected Returns of Chinese Listed Companies: Based on Implied Cost of Capital

作　　者：熊春连[1,2] 孙会国[1] 

机构地区：[1]天津大学管理与经济学部,天津300072 [2]天津城市建设学院理学院,天津300384

出　　处：《西安电子科技大学学报（社会科学版）》2013年第2期21-27,共7页Journal of Xidian University：Social Science Edition

基　　金：项目号(70771076);教育部长江学者和创新团队发展计划资助项目"复杂社会系统的计算实验研究"(IRT1028)

摘　　要：风险与收益是金融的核心概念,理论预测二者是正相关关系,但一些检验表明,两者负相关。本文进一步对我国A股非金融类上市公司的预期收益与违约风险的关系进行考察:研究基于隐含资本成本方法和Na ve模型。论文首先介绍隐含资本成本的估计方法和违约风险的KMV模型的一个新拓展——Na ve模型,其次是运用这些方法估计,最后采用Fama-MachBeth回归检验两者关系,结果发现A股市场股票预期收益与违约风险之间负相关,并且这种负相关受到金融危机的影响进一步加大。The tradeoff between the risk and return is a central concept in finance. The finance theory generally predicts a positive risk-retum relation, but empirically it shows negative relation. This paper studies the tradeoff between the default risk and expected retum of China＇s A-share non-financial listed companies, using the implied cost of capital as a measure of ex-ante expected returns. It introduces the methods Naive model, GLS, then studies the tradeoff with Fama-MachBeth regression, and finds a positive risk-retum relation which is economically and statistically significant and also deepens after the 2008 financial crisis.

关 键 词：违约风险 预期收益 隐含资本成本 

分 类 号：F830.9[经济管理—金融学]