上市公司破产风险时间效应的理论猜想

发布时间：2018-08-22 17:37

【摘要】：国内外已有研究主要关注破产风险的度量方法和预测效果,较少涉及企业上市后破产风险随时间变化的一般性规律问题。基于2003年3月至2015年6月中国沪深A股市场季度、半年度和年度全样本数据,利用横截面固定效应面板模型,实证判别企业破产风险特征随上市时间变化的内生性规律,并通过实证结果给出理论猜想解释上市公司破产风险存在内生性时间效应的经济学原因。实证结果表明:上市公司破产风险的时间效应显著且稳健,随上市时间变化呈现倒U型曲线规律,拐点大约出现在6.5年左右;引入偿债能力、营运能力和盈利能力等可能的影响因素作为控制变量,上市公司破产风险的时变规律仍然显著且稳健。因此,上市公司的破产风险存在时间效应,且时间效应具有内生性特征。理论猜想认为:上市条件的硬性约束、企业管理者的上市亢奋、债务的税盾效应以及企业价值影响效果的权衡导致企业破产风险特征呈现先上升再下降的倒U型内生时变规律。
[Abstract]:Domestic and foreign studies mainly focus on the measurement of bankruptcy risk and the effect of prediction, and less on the general law of the change of bankruptcy risk with time after listing. Based on the quarterly, semi-annual and annual total sample data of China's Shanghai and Shenzhen A share market from March 2003 to June 2015, and using cross-section fixed effect panel model, the paper empirically discriminates the endogenous law of enterprise bankruptcy risk changing with the time of listing. The theoretical conjecture is given to explain the economic reasons of the endogenous time effect of bankruptcy risk of listed companies. The empirical results show that the time effect of bankruptcy risk of listed companies is significant and robust, with the change of listing time showing the law of inverted U-shaped curve, the inflection point is about 6.5 years, and the ability to repay debt is introduced. As control variables, the time-varying rule of bankruptcy risk of listed companies is still significant and robust. Therefore, the bankruptcy risk of listed companies has a time effect, and the time effect has an endogenous feature. The theoretical conjecture holds that the rigid constraints of listing conditions, the exuberant listing of enterprise managers, the tax shield effect of debt and the tradeoff of the effect of enterprise value result in the inverted U-type endogenous time-varying law of the characteristics of enterprise bankruptcy risk which rises first and then decreases.
【作者单位】：吉林大学商学院;
【基金】：国家自然科学基金项目“跨期条件下Beta系数时变对资产定价的影响”,项目编号:1073067 教育部人文社会科学重点研究基地重大项目“我国农村金融生态环境的风险生成机理与政策应对路径选择”,项目编号:11JJD790010;教育部“新世纪”优秀人才计划“金融开放条件下国际金融风险对我国资本市场的冲击机理研究”,项目编号:NCET-10-0434
【分类号】：F275

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