我国上市公司大股东违规引致的股票信用风险探析被引量：1

On the Definition and Measurement of Equity Credit Risk Caused by Controlling Shareholders' Expropriations

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摘要本文将大股东违规行为导致股票价格波动,进而引致中小股东收益的不确定性称为股票信用风险,在证明该称呼合理的基础上又对其内涵、特征、传导机制及其与债务性信用风险的异同等进行了剖析。然后,借鉴债务性信用风险度量方法,提出计量违规概率和违规损失率的方法,并构建了股票信用风险度量模型。据此模型,对我国上市公司股票信用风险进行了实证计算和检验。实证结果表明:我国上市公司股票信用风险状况异常严重,具有小频率大损失、风险损失波动性大、股票之间差异性大等特点。对此,本文提出了相应的对策和建议。 Expropriations conducted by Controlling Shareholders may result in the loss of minor shareholders.It is a risk that minor shareholders have to face,and thus this paper defines Equity Credit Risk as the minor shareholders' income uncertainty from expropriations.Using the measurement models of credit risk for reference,we compose a measurement model for Equity Credit Risk,which is based on the concepts of expropriation probability and loss given expropriation.The empirical research shows that Equity Credit Risk in Chinese listed companies is serious,featuring small frequency—big loss,big volatility and big diversity among companies.

作者张金清石黎卿

机构地区复旦大学金融研究院云南大学经济学院

出处《复旦学报（社会科学版）》 CSSCI 北大核心 2013年第1期8-17,154,共10页 Fudan Journal（Social Sciences）

基金国家自然科学基金项目(项目批准号:71073025) 上海市哲学社会科学规划课题项目教育部人文社科项目(项目批准号:07JA790023) 复旦大学"教育部金融创新研究生开放实验室"金融创新项目资助

关键词股票信用风险大股东违规金融风险度量 equity credit risk controlling shareholder expropriation financial risk measurement

分类号 F224 [经济管理—国民经济] F832.51 [经济管理—金融学]

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参考文献16

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