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