【作者】 张北阳；

【导师】 陈守东；

【作者基本信息】 吉林大学 ， 数量经济学， 2011， 博士

【摘要】 上市公司信用风险的变化对于投资者选择、公司治理、企业绩效是重要的,对于信用环境的建设也具有重要的意义,在上市公司信用风险较高的现实背景下,研究上市公司的信用风险评价、信用风险和公司治理、信用风险和企业绩效的关联,具有较高的理论意义和现实意义。本文从这个角度出发,首先分析信用及信用的形成和演变,利用成本收益分析给出企业信用的理论解释,进一步从供给和需求角度分析信用及信用的演进过程,然后,文章针对信用评估的方法进行了简要的评述,利用面板数据的Logit模型、聚类分析方法和KMV模型对我国上市公司的信用风险进行了实证研究,在信用风险评估的违约概率结果得出后,本文分析了信用风险和公司治理的关联,构建资本结构、股权结构、经营成本和管理层指标的相应指标体系,利用动态面板数据的方法给出公司治理指标对信用风险的作用机制,最后的实证模型是关于信用风险和公司绩效的关联研究,同样的,我们也使用了动态面板数据的分析手段。在文章的最后,针对我国股票市场信用缺失的现状,从原因和结果角度,分析了相应的对策。文章共分为三大部分,一共七章内容。第一部分是信用及信用演进的相关理论和介绍,包括第一章、第二章和第三章,第二部分是信用风险评估、信用风险和公司治理、信用风险和企业绩效的实证部分,包括第四章、第五章和第六章,第三部分是我国股票市场信用缺失的现状及对策,包括第七章。第一章是信用和信用演进,首先探讨信用的起源,进一步给出信用的定义和内涵,从货币的形成、演化到现代信用体系的建立,研究信用在经济中的重要作用,然后分析信用的影响因素,研究企业信用的属性和功能。第二章是信用演进机制和成本收益分析,从信用演化的角度展开理论分析,首先给出信用演进的特征和事实,进而从经济学的角度分析信用风险,利用成本收益分析的方法和供给需求的方法研究企业信用风险的演进过程和特征,最后给出我国信用体系演进的过程,并分析了我国信用体系的现状。理论分析的结果表明:企业信用存在着路径依赖特征;企业信用具有行业特征和阶段特征;规模是影响企业信用的重要因素之一;财务指标可以判断企业信用状况。第三章是信用风险评估的模型与方法,属于方法的总结和介绍章节,在这一章,针对信用风险模型进行综述,并给出信用风险评估中最重要的三个模型,分别是Logit模型、聚类分析和KMV模型。介绍了信用风险管理模型的类型和特点,给出Merton模型的详细介绍,最后,详细讨论了KMV模型的思路和计算过程。第四章是我国上市公司信用风险的实证研究,利用面板数据的Logit模型、聚类分析方法和KMV模型针对我国上市公司信用风险进行实证研究,并比较了面板数据Logit模型和聚类分析方法的优劣,通过样本外数据对模型绩效进行验证,进而利用模型预测的方法给出所有上市公司的信用风险指标,本文利用违约概率加以度量。在KMV模型中,通过对上市公司股权市场价值估计、股权波动率估计、负债度量、资产增长预测、违约点确定来分析上市公司的信用风险。实证分析的结果表明,面板数据的Logit模型对信用风险的判断总体准确率达到87%,具有较好的效果,而聚类分析方法判别信用风险的准确率相对较低,最高的总体准确率仅仅为74%,KMV模型给出的违约距离和违约概率能很好的描述我国上市公司的信用风险变化和波动状态。第五章是信用风险和公司治理的动态面板数据分析,利用公司治理指标来解释信用风险指标的变化,构建动态面板数据模型,考察相关指标的波动对信用风险的作用机制,分别从资本结构、偿债能力、营运能力、管理层权力、管理层学历等多个维度来寻找上市公司的信用风险形成机制。实证结果表明:首先,资本结构和信用风险似乎无关;其次,股权结构和信用风险的关系明确,股权集中度和信用风险负相关,而国有股比例则和信用风险呈现同向变动的特征,估计结果是显著的;第三,经营成本和信用风险存在关联,作为主要费用支出的财务费用、管理费用、销售费用,只有财务费用和信用风险显著的同向变化,管理费用和销售费用则和信用风险负相关;第四,管理层高年龄加剧信用风险,管理层的年龄越大,信用风险会越高,这符合“59现象”的逻辑。此外,管理层权力、持股比例等指标并不显著的和信用风险相关,表明在分析企业信用风险时,年龄是一个重要的参考指标;最后,公司距离上市时间越长,信用风险越高。第六章是信用风险和企业绩效实证分析,在这一章,我们构建信用风险向企业绩效传导的模型,将绩效划分为股票价格收益和财务收益两个大的类别,从股票的年收益率来分析信用风险向市场投资者的传导,利用每股收益来分析信用风险向股东的传导,利用财务指标度量信用风险向资产的盈利能力的传导结果,和上一章一致,模型的估计都是利用动态面板数据模型进行的。本章得出的主要结果是:公司绩效具有路径依赖特征;信用风险和公司绩效具有显著的负相关关系;国有股比例高将降低公司绩效,说明,股权分置改革对于上市公司的绩效优化,是有利的;公司存续时间越长,绩效越差,这个事实表明,对于上市公司的监管和治理,还需要进一步的努力。第七章是我国股票市场的信用缺失和对策,首先介绍我国股票市场的信用状况,进一步给出股票市场信用缺失的成因,最后针对完善我国股票市场的信用秩序提出相应的建议。我们认为,在我国上市公司普遍缺乏信用观念的现状下,在政府依靠政府信用维系市场的情况下,制度建设、法制完善是最重要的两个方面。在完善信用法律体系的方面,应该面对共性事件,规范相应法律措施;淡化行政监督,强化法制保障;建立公信力,避免政府失信行为。在制度建设上,首先要建立产权明晰的现代企业制度,这一点,我们支持国有股减持和股权分置的政策;其次,要建立员工持股计划,实现对公司的有效监督,建立员工持股大会,实现监督机制;第三,是完善上市和退市制度,完善上市公司的退市规范,加大处罚力度;最后,要规范信息披露制度。综上所述,研究我国股票市场的信用问题,任重而道远,本文从信用风险评价、信用风险和公司治理以及企业绩效关联的角度进行了初步的探讨和研究,然而必须承认,我国上市公司违约数据库尚待完善,而对上市公司的监督和管理体制也需要进一步的改进,在信用评估方法上,永远依赖数据体系的完善和成熟的过程,本文针对这些问题的研究仅仅是一些初步的探讨,后续的研究还包括信用风险评估模型的改进、股票市场的信息披露制度的规范和完善等等方面。希望本文的研究能够给研究者一定的参考,于愿足矣。更多还原

【Abstract】 Changes in credit risk of listed companies are important for investors choosing, corporate governance and corporate performance, for the construction of the credit environment is also of great significance. Under the reality background of high credit risk of listed companies, it is theoretical and practical significance means for analyzing the associate of the evaluating of the credit risk, credit risk and the corporate governance, corporate performance.From this point of view, the article first gives conception of credit and its formation, evolution, makes the theoretical explanation of corporate credit by cost-benefit analysis, and further analysis credit and the process of credit evolution from the perspective of supply and demand. Then, the paper gives brief review on the method of credit assessment, using panel data, makes an empirical study on the credit risk of listed companies in China by the Logit model, cluster analysis and the KMV model.Obtained the results of the default probability, we analyze the association of the credit risk and corporate governance. Building the corresponding index system of capital structure, ownership structure, operating costs and management indicators, the article gets the mechanism of corporate governance indexes to credit risk used dynamic panel data method, similarly,we use the dynamic panel data analysis tool to get the relationship of credit risk and corporate performance. At last, from the perspective of cause and effect aspects, the paper analysis the corresponding countermeasures on status of lacking of credit.This article is divided into three parts, a total of seven chapters.The first part is the evolution of credit and credit related theories and presentations, including the first chapter, second and third chapter. The second part is the empirical part of the assessment of credit risk, credit risk and corporate governance, credit risk and corporate performance, including the ChaptersⅣ,V and VI. The third part is the status and responses of the stock market and credit deficiency, including Chapter VII.The first chapter is about credit and the evolution of credit. It includes the origination of credit; credit definition and meaning; the importance on the basis of development from the currency formation and evolution to the foundation of modern credit system; the factors of affecting credit and the study of the properties and functions of corporate credit.The second chapter is about the evolution of credit mechanism and the cost-benefit analysis. From the perspective of the evolution of credit expansion theory analysis, we first give credit characteristics and the evolution of the facts, and then from an economic point, get the evolution and characteristics of corporate credit risk using cost-benefit and supply-demand methods, demonstrate the process of evolution of credit system and analyze the status of our credit system. Theoretical analysis showed that: there are business credit characteristics of path dependence; business credit with the industry characteristics and phase characteristics; scale is an important factor in business credit; financial indicators can determine corporate credit conditions.The third chapter is a credit risk assessment model and method, is a chapter of methods summary and introductory. In this chapter, we review models for credit risk and give the most important three models: the Logit model, classify analysis and KMV model. The chapter also describes types and features of credit risk management models, gives a detailed description of Merton model, and finally makes out a detailed discussion about the thinking and calculation of the KMV model.The fourth chapter is the empirical research about credit risk of listed companies. The article uses Logit model, cluster analysis and the KMV model for an empirical study of the credit risk of listed companies, and compares the Logit model and cluster analysis. We verify the performance of the models through the data out of sample, and then use the model prediction method giving all the credit risk indicators of listed companies, used the probability of default to measure. In the KMV model, we analyze the credit risk of listed companies by market value estimated, equity volatility estimated, liability measurement, asset growth forecast, the default point and so on. the results of empirical analysis show that the overall accuracy rate of the Logit model explaining the credit risk is 87%, which is a good result; and cluster analysis determining the accuracy of credit risk is relatively low, the highest only to 74%; the KMV model giving the probability of default and default distance can well describe the change and fluctuating of the credit risk of listed companies.Chapter V is a dynamic panel data analysis of credit risk and corporate governance. The article explain credit risk indicators changes by corporate governance indicators, study the mechanism of fluctuations of the relevant indicators to credit risk by building dynamic panel data model, demonstrate credit risk formation mechanism of listed companies respectively from the capital structure, solvency, operational capacity, power management, management education and many other dimensions.The empirical results show that: First, capital structure and credit risk seems irrelevant; Second, the relationship between ownership structure and credit risk is definite: ownership concentration and credit risk is of a negative correlation, while the state share proportion and the credit risk presents in the same direction, so the result is significant; Third, operating costs associate with the credit risk, as the main expenses of the financial costs, administrative expenses, marketing costs, only the financial costs and credit risks is in the same direction change, administrative expenses and marketing expenses are negative correlated with credit risk; Fourth, high age of the management makes the credit risk increasing, the greater the age of management, the higher credit risk will be, it is in line with "59 phenomenon" logic. In addition, power management, shareholding and other indicators are not significantly related to credit risk and when we analyze the credit risk of corporate, age is an important index; finally, the longer company listed on, the higher credit risk.Chapter VI is a empirical analysis about credit risk and corporate performance. in this chapter, we build the credit risk to the business performance model. First, the article divides the corporate performance into stock prices earnings and financial incomes, analyze credit risk to investors by the annual rate of stock returns, to shareholders by earnings per share, and to the profitability of assets by the use of financial indicators. It is the same that we use dynamic panel data to measure the model again.The major findings of this chapter are: corporate performance has path-dependent features; credit risk and corporate performance have a significant negative correlation; a high proportion of state-owned shares will reduce the company performance. Those show that the share reform of listed companies in the performance optimization is beneficially; the longer company exist, the worse the performance. The fact that, further efforts are need on regulatory and governance of listed companies,Chapter VII is about the fact that China’s lack of credit and corresponding countermeasures. The paper first introduces the credit status of the stock market, further the cause, and finally gives according recommendations to improve the domestic stock market.Under the present conditions of general credibility lack of listed companies, the marketing credit relying on the government, institution construction, legal system improvement are the most important ways. On the hand of Improving the legal system, the same meaning events, the corresponding norms of legal measures; it is important to dilute the administrative supervision, and strengthen legal protection; it is also need to establish credibility and avoid the government dishonesty. On the other hand of system construction, we must first establish the modern enterprise system with clear property rights, which is, support the state-owned shares and share-trading policy; Second, establishing employee stock ownership plan, achieves effective supervision, establishes employee general assembly, to achieve supervision mechanism; Third, it is important to improve the listing and delisting system, improve listed companies delisting norms, increase penalties to irregular corporate; Finally, it is need to standardize information disclosure system.In summary, the study of stock market credit problems has a long way to go. This article gets a preliminary study on the point of the credit risk evaluation, the corresponding of credit risk with corporate governance and firm performance, but we must admit that, the database of listing company in default should to be perfect, and further improvements are needed on the supervision and management system of listed companies, because of the credit evaluation methods forever depending on the process of data systems improvement and maturing. This paper is just some preliminary discuss, and the follow-up study could include the improvement of credit risk assessment model, the improvement of the stock market information disclosure system and so on.I extremely hope this study will give researchers a reference.更多还原