上市公司破产风险时间效应的理论猜想

Theoretical Conjecture of Bankruptcy Risk Temporal Effect of Listed Company

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。

Foreign studies focus on measurement of bankruptcy risk and prediction effect, seldom on the gen- eral rules of the risk changing with time. Based on the complete data of the quarterly, semi-annual and yearly performance of China＇ s Shanghai and Shenzhen a-share market between March 2013 and June 2015, by adopting cross sectional fixed effect panel model, this paper empirically judges the innate rules of risk features changing with time and explains the economic reason for the relation between risk and time. The results show that the time effect of bankruptcy risk is conspicuous and steady, forming an inverted U type and the turning point appears after 6.5 years; debt-paying ability, management ability and profit ability are introduced as con- trollable variant, this rule is still obvious and stable. Therefore, there is time effect in the risk of listed compa- ny and the effect is innate. Theoretical conjecture believes that the rigid constraint and the excitement of man- agers, tax shield effect and measurement of value influence effect contribute to the rule of inverted U type in the features of the risk of listed company.