Merton违约距离模型对企业财务困境的预测能力研究——基于离散时间风险模型的实证分析  

Research on the Forecasting Ability of Merton Distance-to-Default Model on Corporate Financial Distress——Based on the Empirical Analysis of the Discrete-time Hazard Model

作　　者：蔡玉兰[1] 崔毅[1] 

机构地区：[1]华南理工大学工商管理学院,广东广州510641

出　　处：《预测》2015年第6期33-38,共6页Forecasting

摘　　要：本文基于违约距离函数形式的考虑,将违约距离分别视作由3个变量、3个决定要素和2个拆分项组成的综合指标,采用离散时间风险模型技术,通过信息量检验和十分位预测实证分析了Merton违约距离模型对企业财务困境的预测能力。结果发现,Merton违约距离模型所给出的违约距离的非线性函数形式相对于其构成指标而言并不是最重要的,违约距离过于概括和抽象反而遗漏了一些重要信息,以致其预测能力还不及其3组构成指标简单的线性组合。实际上,违约距离的显著预测能力来自于其度量了资产波动性对企业发生财务困境的直接和间接影响。Based on the functional form of Merton distance-to-defauh model, this paper regards the distance-to-default as an indicator of three variables, three critical factors and two split items. With the technology of the hazard model of discrete-time, we empirically analyse the forecasting ability of Merton distance-to-default model on corporate financial distress by means of the information content test and decile forecasts. We find that the nonlinear functional form of distance to default is not vital relative to its constituent indicators. The distance-to-defauh is too summary and abstract to include all the information so that its forecasting ability is less than a simple combination of its three groups constituent indicators. In fact, the significant predictive ability of distance-to-defauh comes from the direct and indirect impact of its volatility on corporate financial distress.

关 键 词：Merton违约距离模型 财务困境 预测能力 

分 类 号：F272.13[经济管理—企业管理]