事件研究法的改进：基于违约距离的评判

doi:10.3863/j.issn.1674-5094.2012.02.009

西南石油大学学报(社会科学版) ›› 2012, Vol. 14 ›› Issue (2): 44-50.DOI: 10.3863/j.issn.1674-5094.2012.02.009

事件研究法的改进：基于违约距离的评判

张苏林1 王岩2

1.重庆理工大学经济与贸易学院，重庆 400050； 2.中国保险监督管理委员会陕西监管局统计研究处，陕西西安 710000

收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2012-03-01 发布日期:2012-03-01

Default Distance Based Improvement of Event Study Method

ZHANG Su-lin1 WANG Yan2

1. Economic and Business College，Chongqing University of Technology，Chongqing，4000502. Shaanxi Bureau of China Insurance Regulatory Commission，Xi'an Shaanxi，710000，China

Received:1900-01-01 Revised:1900-01-01 Online:2012-03-01 Published:2012-03-01

摘要/Abstract

摘要： 一般利用事件研究法来检验证券市场是否满足半强式有效的假定，该方法始终停留在事件发生前后样本公司的股票收益率是否有显著变化方面。针对此方法研究的不足，利用反应样本公司违约状况的违约距离（DD）指标，替代了传统事件研究法中的核心因素——收益率，以期转换角度利用事件研究法来评判我国证券市场的效率。通过实证分析法得到的结果与大多数研究者的结论相同，证实了该方式具有一定的可行性，同时避免了传统半强式有效市场证明的有关争论。

关键词: 证券市场, 半强式有效市场, 事件研究法, 违约概率, KMV模型

Abstract: Event study method is generally used to determine whether the semistrong form market efficiency hypothesis is true of the securities market.This method focuses on whether there are remarkable changes in the rate of return of sample company stock before and after the event occurrence. This paper substitutes default distance of sample companies for the core factor，rate of return，of event study method，expecting to evaluate the efficiency of the securities market of our country from a different angle.Results of empirical analysis agree with the conclusions of the majority of researchers，which proves the feasibility of this method.The default distance based event study method also helps avoid the disagreements about market evaluation by means of the conventional semi-strong form market efficiency hypothesis.

Key words: semistrong form market efficiency hypothesis, event study, default probability, KMV model, security market

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