上市公司破产风险的横截面定价  

Cross-sectional Pricing of Insolvency Risk for Listed Companies

作　　者：齐欣林 彭寒 戴淑庚[2] 唐国豪 QI Xinlin;PENG Han;DAI Shugeng;TANG Guohao(Financial Market Department,Industrial and Commercial Bank of China;School of Economics,Xiamen University;College of Finance and Statistics,Hunan University)

机构地区：[1]中国工商银行金融市场部 [2]厦门大学经济学院 [3]湖南大学金融与统计学院

出　　处：《金融市场研究》2024年第5期119-129,共11页Financial Market Research

摘　　要：企业持续经营不仅仅关乎自身的生存与发展,对减轻我国就业压力、推动社会经济技术进步、繁荣市场经济等也发挥着极为重要的作用。本文将破产风险因子引入股票横截面资产定价研究中,并构建Merton、KMV和Bhsh违约距离来衡量企业的破产风险程度。实证结果表明,破产风险因子在A股市场上是一个稳健的定价因子;上市公司的破产风险程度与股票预期回报存在负向关系,破产风险较高的公司,企业绩效越差、融资约束程度越高。The sustained operation of China's domestic enterprises plays an extremely important role in promoting the nation's economic development,spurring technological advancement and reducing employment pressure.This paper examines the financial pressures on domestic companies and introduces bankruptcy risk factors into a study of cross-section asset pricing of stocks.It employs the Merton,KMV and Bhsh default distances to measure the degree of bankruptcy risk of domestic enterprises.Empirical results show that the bankruptcy risk factor is a strong pricing component for shares of companies listed on the A-share market.There is a negative relationship between the degree of bankruptcy risk of listed companies and the expected investment return on stocks.It also can also be seen that the higher the bankruptcy risk,the worse the corporate performance and the higher the degree of financing constraints.

关 键 词：破产风险 横截面资产定价 违约距离 错误定价 

分 类 号：F27[经济管理—企业管理]