企业社会责任和企业成长能力对债务违约风险的影响研究

 2022-04-24 11:04

论文总字数:41397字

摘 要

2018年债务违约事件频频爆发,在政策预期不会有明显放松的背景下,如何合理有效地度量企业债务违约风险和降低企业违约风险逐步受到学界和政府管理部门的重视。基于债务违约风险和企业社会责任的相关理论研究,企业积极履行社会责任很可能有助于降低企业违约风险。由于违约风险估计模型适用性的局限,现有文献对企业社会责任、企业成长能力与债务违约风险的影响探讨较少。

本文采用KMV模型对债务违约风险进行估计。为提高模型适用性,使用父子代合并和精英保留策略的遗传算法对KMV模型进行修正,经检验,修正结果提高了KMV模型在中国市场的适用性。

在理论分析的基础上,本文进一步采用我国A股上市公司2013-2017年的经验数据加以验证。研究结果表明:首先,企业履行社会责任能够降低企业债务违约风险;其次,以净资产收益率衡量的企业成长能力对降低违约风险和企业社会责任与债务违约风险的关系缺少显著的影响;再次,真实经营水平的改善有助于抵御债务违约风险。值得注意的是,民营企业相较于国有企业,面临着更高的债务风险,并且由于融资歧视等外部因素,企业自身真实经营水平的提高和履行社会责任对降低债务风险的帮助相对有限。对此,本文针对性地分别对企业、政府和投资主体提出了相应的建议,其中又特别地对民营企业提出了降低违约风险的部分措施。

关键词:债务违约风险,企业社会责任,KMV模型,遗传算法

Abstract

Due to the frequent outbreak of debt default events in 2018, since the strict financial regulation will maintain in the near future, academic circles and government have gradually placed emphasis on how to reasonably measuring and reduce corporate default risk. According to relevant research about corporate default risk and corporate social responsibility(CSR), CSR is likely to have an influence on reducing default risk. However, there were few studies on the relationship between CSR and debt default risk in the past on account of the default risk assessment models’ limited applicability.

KMV model is widely used to assess default risk. To improve its applicability in China, KMV model is modified by Genetic Algorithm with parent-child combination and elite strategy in this paper. Compared to initial model, modified KMV model has better applicability in Chinese market.

Empirical analysis is based on the theoretical analysis and data of Chinese A-share companies between 2013 and 2017. The results show that CSR can reduce the corporate debt default risk; the growth ability measured by return on equity has no significant influence on the reduction of default risk and the relationship between CSR and debt default risk; the improvement of real operating ability helps to resist the debt default risk. Moreover, compared with state-owned enterprises, private enterprises are faced with higher debt risks. And due to external causes, such as financing discrimination, the improvement of private enterprises' real operation ability and the fulfillment of social responsibilities are relatively limited in helping to reduce debt risks. To this end, some corresponding suggestions are put forward to enterprises, government, investors and particularly private enterprises.

KEY WORDS: debt default risk, corporate social responsibility, KMV model, Genetic Algorithm

目 录

摘 要 I

ABSTRACT II

第一章 绪论 1

1.1 问题的提出 1

1.2 研究意义 2

1.3 研究方法 2

1.4 研究思路 3

1.5 可能的创新 3

第二章 文献综述 5

2.1 债务违约风险的相关研究 5

2.2 企业社会责任的相关研究 6

2.3 企业成长能力、企业社会责任和债务违约风险 8

2.4 评述 9

第三章 理论基础与假设 10

3.1 企业社会责任与债务违约风险 10

3.2 企业成长能力与债务违约风险 11

3.4 本章小结 11

第四章 债务违约风险测算 12

4.1 基于遗传算法的KMV模型构建 12

4.1.1 KMV模型 12

4.1.2 遗传算法 14

4.1.3 算法设定与模型思路 15

4.2 数据来源及处理 18

4.3 优化结果 19

4.4 本章小结 20

第五章 实证分析 22

5.1 样本选取与数据 22

5.2 计量模型构建 23

5.3 实证分析 24

5.3.1 描述性统计 24

5.3.2 回归分析 24

5.3.3 稳健性检验 25

5.4 结果分析 27

5.5 本章小结 28

第六章 结论与建议 29

6.1 主要结论 29

6.2 政策建议 29

参考文献 31

附 录 34

遗传算法代码 34

致 谢 41

第一章 绪论

    1. 问题的提出

从2014年公开市场首只债券发生违约以来,债券违约在2015年和2016年有过短暂的爆发。但近年来由于供给侧改革及金融严监管,2018年出现了中国市场史无前例的债券违约潮。如图1所示,截至2019年1月1日,2018年共有43家公司发生债务违约,涉及的违约金额破千亿。民营企业在这场违约浪潮中受损颇重,2018年的全部违约主体中,民企违约37家,国企违约仅6家。

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