资本结构与破产预测

1、资本结构与破产预测本文论述了破产预测的理论基础，并以资本结构的新古典主义理论作为 出发点。本文旨在通过展示一个简单的模型，证明其可行性，比如，通 过使用一个简单的理论模型和实证分析，构造一个最优资本结构模型， 并以违约概率模型改写。它的实证含义是根据挪威数据样本导出并进行 测试的。这种做法显然有它的局限性，但和大多数无理论的实证研究相 比它可能存在一定的价值，并且对于那些基于期权定价理论的违约理论 来说也是一个有用的替代。关键词：破产的可能性；资本结构；逻辑回归一、引言最近，安然公司和世通公司的破产案已引起产业界和学术界对破产预测 重要性的关注。现在看来制定一套早期预警系统比以往任何时候都更有

2、 必要，它可以帮助预防或避免企业破产，并有利于协助企业选择是否与 某家公司合作或投资某家公司。破产预测研究一直默默地进行了几十年, 自Beaver ( 1966,1968 )和Altman ( 1968 )开始，很多实证研究开 始出版。最初用来预测公司倒闭的方法已被用来统计分类技术(通常用 作判别分析)的抽样同时包含失败的和非经营失败的公司。比如，1972The purpose of this paper is to contribute to a theory of default that is based on capital structure theory, by demonstra

3、ting its feasibility in a simple setting. As a preliminary conclusion it can be said that the approach is indeed feasible, but that it clearly has its limitations. One limitation is that some undesirable aspects of the capital structure model are transferred into default probability model. More spec

4、ifically, the model shows no straightforward relationship between default probability on the one hand and leverage and cash flow characteristics (expectation and variance) on the other. Conventional wisdom generally assumes that such a straightforward relationship exists. In addition, the models app

5、eared to have a limited explanatory power, even if the variables for which no hypothesis could be formulated are included in the empirical analysis. On the other hand, the advantages of a theory based methodology have become apparent along the way: it provides a clear frame of reference in which the

6、 results can be evaluated and directions for future research can be specified. This by itself can be a valuable contribution compared to the multitude of theory-less empirical studies and a useful addition to default theory based on option pricing.年的Deakin和1977年的Altman等人。在那之后，研究方法的重点 转向了概率或逻辑分析。1977

7、年的Martin和1980年的Ohlson是第 一批应用这些技术的人之一之后的还比如1980年的Wiginton ,1984 年的 Zmijewski , 1985 年的 Zavgren , 1989 年的 Aziz 和 Lawson , 1999 年的 Lennox 和 2001 年的 Westgaard 及 Van der Wijst0 其他 统计技术也被引进，如1985年Frydman等人提出的递归划分，1991 年Gregory等人提出的突变理论,1991年Mar Molinero和Ezzamel 提出的多维缩放理论，1992年Tam和Kiang提出的神经网络，1994 年Johnse

8、n和Melicher提出的多名义罗吉特模型,1999年 Zopounidis和Doumpos提出的多准则决策辅助方法以及1999年 Dimitras等人提出的粗糙集合理论。1987年Jones ,Karels和Prakash 以及1996年Dimitras等人对这些研究进行了评论。从这些广泛的研究工作得出一个总的结论就是，单看每项研究都能在破 产和非破产公司之间提供了一个合理的辨别方法，但是，或许更重要的 是，各式各样的研究没有展现出共性可以说明什么是破产预测最重要的 因素。的确，30多年关于破产预测的实证研究都未能在确定哪些是好 的预测变量及原因上达成一致。这种不和谐的结论当然可以部分归咎于

9、 这些研究涉及的是不同时期，不同国家和不同行业。另一个因素可能就 是几乎所有这些研究都缺乏理论框架来指导实证研究工作。在缺乏理论 的基础上提供一个可检验的假说，每个实证研究的结果只能是在各自的 法律理据上加以评估，人们希望模式能从众多结果中浮现出来。这显然 不是破产预测情形下得出的结果。本文论述了破产预测的理论基础，以众所周知的新古典主义理论的资本 结构为出发点的。因此，它有别于1974年莫顿提出的著名的莫顿模型， 而是遵循另一种基于期权定价理论的方法，被称为KMV模型。以破产 理论为主的资本结构的起源，一方面来自于模型中有关公司价值破坏后 的索赔风险（比如，1971年的Gordon , 19

10、77年的Scott和1979年 的Vinso）,之后一个更详尽的阐述可以在1981年的Scott上找到。 另一方面来自于最优资本结构模型，他们出现在著名的MM无关性理 论之后（1958 和 1963 年的 Modigliani 和 Miller ,1967 年的 Baxter, 1973 年的 Kraus 和 Litzenberger, 1976 年的 Scott 以及 1978 年的 Kim ）。几乎所有的最优资本结构模型在推导过程中都使用了违约（或 破产）的特殊条件。这种特殊条件抓住了决定破产情况出现的本质：当 公司各种可用现金流的价值不足以支付债务时，公司就要面临违约或破 产。对此，最优

11、资本结构理论的派生属性用比较经济静态分析方法进行 分析，这也是实证分析的基本原理。出人意外的是，这样的模型很少, 如果有的话，也只是明确地陈述破产的特点和概率，比如说，它是如何 被最优资本结构的决定因素影响的。80年代初以来，这条理论研究路 线似乎被选择以破产理论为主的理论研究完全超越。本文旨在通过设定 一个简单的背景，论证其可行性，从而对以破产理论为基础的资本结构 理论有所研究，比如说，通过应用一个简单的理论模型和一些有限制条 件的实证分析。本文的组织结构如下：第二部分首先重申了简单的最优资本结构模型, 随后根据模型提出造成破产可能性的决定因素。可测试的假说模型是以 比较静态模型为基础的。这

12、些假说是对挪威公司从1995-2001年期间 的数据的实证检验。第三部分描述了数据和方法，第四部分提出和讨论 结果，第五部分是总结。五、结束语本文的写作目的是对破产理论有所贡献，它是建立在资本结构理论基础 上的，通过设定一个简单的背景，论证其可行性。作为一个初步结论, 可以说，该方法确实是可行的，但它显然有其局限性。一个限制因素是, 资本结构模型的一些不利影响被转入到破产概率模型中。更具体地说, 该模型一方面没有显示破产概率间的直接关系，另一方面也没有显示负 债比率和现金流量特征（期望和方差）间的直接关系。传统观点一般假 设存在这样一种直接的关系。此外，这个模型似乎解释能力有限，因为 那些即使

13、没有被假设的变量也都被包括在实证分析中。另一方面，这种 以理论为基础的方法的优点已经慢慢地显现：它提供了一个清晰的参考 框架，通过这种方法可以评估结果，指明未来研究的方向。和那些理论 较少的实证研究相比，这种方法本身就是一个宝贵的贡献，并且也是对 基于期权定价理论的破产理论的有益补充。Capital Structure and the Prediction of BankruptcyThis paper addresses the theoretical foundations of bankruptcy prediction, using the neo-classical theory o

14、f capital structure as a starting point. The paper intends to demonstrate the feasibility of such an approach in a simple setting, i.e. by using a simple theoretical model and a limited empirical analysis. A model of optimal capital structure is constructed and rewritten as a model of default probab

15、ility. Its empirical implications are derived and tested on a sample of Norwegian data. It is concluded that this approach clearly has its limitations, but also that it may be a valuable contribution compared to the multitude of theory-less empirical studies and a useful alternative to the default t

16、heory based on option pricing.Keywords: Default Probabilities ; Capital Structure ; Logistic Regression1. Introduction The recent bankruptcies of Enron and WorldCom have underlined the importance of default prediction both in academia and in industry. It now seems more necessary than ever to develop

17、 early warning systems that can help prevent or avert corporate default and that facilitate the selection of firms to collaborate with or invest in. Research on default prediction has been conducted for many decades and a very large number of empirical studies has been published since the pioneering

18、 work of Beaver (1966, 1968) and Altman (1968). The initial approach to predicting corporate failure has been to apply a statistical classification technique (usually discriminate analysis) to a sample containing both failed and non-failed firms. Examples of such studies are Deakin (1972) and Altman

19、 et al. (1977). After that, emphasis shifted toward probit or logit analysis. Martin (1977) and Ohlson (1980) were among the first to apply these techniques, followed by e.g. Wiginton (1980), Zmijewski (1984), Zavgren (1985), Aziz and Lawson (1989), Lennox (1999) and Westgaard & Van der Wijst (2001)

20、. Other statistical techniques have also been introduced, such as recursive partitioning (Frydman et al. (1985), catastrophe theory (Gregory et al. (1991), multidimensional scaling (Mar Molineroand Ezzamel (1991), neural networks (Tam and Kiang (1992), multinominal logit models (Johnsen and Melicher

21、 (1994), multicriteria decision aid methodology (Zopounidis and Doumpos, 1999) and rough sets (Dimitras et al, 1999). Reviews studies can be found in Jones (1987), Karels and Prakash (1987) and Dimitras et al. (1996).The general conclusions from this extensive research effort seem to be that each st

22、udy by itself provides a reasonable discrimination between failed and non-failed firms, but also, and perhaps more significantly, that the various studies hardly show any agreement on what factors are important for failure prediction. Indeed, it can be said that more than 30 years of empirical resea

23、rch on bankruptcy prediction failed to produce agreement on which variables are good predictors and why. This discord of conclusions can, of course, partly be attributed to the fact that the studies refer to different periods, countries and industries. Another factor may be that virtually all of the

24、se studies lack a theoretical framework to guide the empirical research effort. In the absence of a theory that provides testable hypotheses, each empirical result has to be evaluated on its own merits and one can only hope that patterns emerge from themultitude of results. This is obviously not the

25、 case in the default prediction.This paper addresses the theoretical underpinnings of bankruptcy prediction, taking the well-known neo-classical theory of capital structure as a starting point. Thus, it follows an alternative approach compared to the well-known Merton model (Merton, 1974), that is b

26、ased on option pricing theory and that is elaborated into the KMV model. The origins of a capital structure based default theory on the one hand, lie in models that relate the risk of ruin to the valuation of corporate claims (see e.g. Gordon, (1971), Scott (1977), and Vinso (1979). A later elaborat

27、ion can be found in Scott (1981). On the other hand, they lie in the models of optimal capital structure that were developed in the wake of the famous Modigliani-Miller irrelevance theorem (Modigliani and Miller (1958, 1963), Baxter (1967), Kraus and Litzenberger (1973), Scott (1976), and Kim (1978)

28、. Practically all models of optimal capital structure use a default (or bankruptcy) condition in the derivation of optimal capital structure. This condition captures the essence of the default decision: it obtains when the value of the various cash flows available to firm are insufficient to cover the debt obligations. With this, the theory derives properties of theoptimal capital structure in its comparative statics, which are the basis for empirical analyses. Surprisingly, these models are seldom, if ever, rewritten to explicitly state the probability of bankruptcy and its c