Study On The Impact Of Default Distance On The Return Rate Of Bank Stock Portfolio

With Chinese macro environment entering a new stage,the degree of market openness is increasing,and the proportion of securities market in the whole financial market is increasing.By the end of August 2018,there were 45 listed banks in China,with a total market value of 9.48 trillion yuan,accounting for about 15%of the total stock market.Banking industry is an important part of China's securities market,and its importance is self-evident.In the 10 years from 2008 to 2017,the share of net profit in the stock market of the banking industry has never been less than 40%.It is precisely because the status of banking sector returns is very important to the whole stock market,so the study of bank stock returns has important theoretical value and practical significance.The innovation of this paper is to use KMV model to calculate the default distance as Fama-French three-factor model to construct a new explanation factor.Previous studies have generally examined the impact of liquidity,investor sentiment and other factors on portfolio returns.This paper argues that default distance is an effective factor to measure credit risk.There should be a certain relationship between the size of credit risk and portfolio returns.Using default distance to construct a new interpretation factor of return is the main innovation of this paper.The core idea of this paper is to use KMV model to measure the default distance of commercial banks' credit risk,and construct a new default distance explanatory factor to study the excess return of bank stock portfolio.This paper is mainly divided into seven parts,the main structure is as follows:The first part introduces the research background and significance of the paper,summarizes the domestic and foreign literature on KMV model and the factors affecting stock returns,and puts forward research ideas;the second part introduces the types,characteristics of credit risk of commercial banks and the advantages and disadvantages of various credit risk measurement models;the third part studies the advantages and disadvantages of K-MV model and the factors affecting stock returns.The whole framework of MV model is deduced and analyzed,and its application steps are summarized.In the fourth part,the data of 16 listed commercial banks from the third quarter of 2010 to the third quarter of 2018 are selected,and the KMV model is revised to suit our national conditions.Based on the revised KMV model,the default distances of 16 listed commercial banks are calculated,and the results show that the default distances are energy.To accurately reflect the credit risk of commercial banks,the larger the default distance is,the smaller the credit risk is,the smaller the default distance is,and the greater the credit risk is;the fifth part introduces how to construct the explanatory variables and the explanatory variables of the model;the sixth part makes an empirical analysis of the return rate of the bank stock portfolio,and the regression results show that the default distance factor exceeds the return of the bank stock portfolio.The eight regressions of interest rates have passed the significance test,and the explanation strength is the strongest.The explanation strength of portfolios with small market value and low book-to-market value ratio is higher than that of portfolios with large market value and high book-to-value ratio.The seventh part elaborates the conclusions and suggestions of the study.