DEFAULT RISK AND FIRM CHARACTERISTICS

摘要：

This paper applies structure model to estimate the default risks implied in Chinese stock prices and exam ines whether they are affected by firm characteristic. The empirical results show that some firm characteristic variables, including size, BM ratio, and EPS could be used to predict the default risk, which means these var iables include useful information about the firm’s operation. However, there is weak evidence that the stock returns include new information that helps predict the default risk when the other factors are controlled.

关键词： default risk structure model firm characteristic

作者: Hai Lin

作者单位: Department of Finance, Xiamen University, Xiamen 361005, China

会议类型: 国际会议

会议名称: The Ninth International Conference on Industrial Management(第九届工业管理国际会议 ICIM2008)

会议地点: 日本大阪

会议语种:英文

页码: 338-342

在线出版日期: 2008-09-16（万方平台首次上网日期，不代表论文的发表时间）