【摘要】：國外諸多研究將近幾十年來美國乃至全球資本市場上公司股票特質(zhì)性風險或其回報波動的顯著增加,以及公司產(chǎn)品市場競爭業(yè)績與其股票市場績效的關聯(lián)性下滑,直接歸咎于經(jīng)濟領域內(nèi)日趨激烈的競爭。本文首次關注我國資本市場是否存在上述現(xiàn)象:我國上市公司股票特質(zhì)性風險的顯著增加(若有)是否應該歸咎于產(chǎn)品市場競爭的加劇?集中的行業(yè)結(jié)構和顯著的市場勢力是否能夠有效緩解我國上市公司的特質(zhì)性風險或其回報波動?本文基于"競爭結(jié)構—風險預期—回報波動"關聯(lián)視角的理論分析和實證研究表明:我國上市公司股票特質(zhì)性風險——至少近十年來——亦呈現(xiàn)顯著增加的趨勢,特質(zhì)性風險與其市場風險水平的明顯"背離"雖國內(nèi)外皆然,但其背離的"性質(zhì)"卻顯著不同,我國股市的投機性、政策性特征更為明顯;特質(zhì)性風險的顯著增加與我國上市公司產(chǎn)品市場競爭的加劇顯著正相關;相對集中的行業(yè)結(jié)構與顯著的市場勢力能夠有效弱化公司股票特質(zhì)性風險而穩(wěn)定公司回報。
[Abstract]:In recent decades, many studies abroad have shown a marked increase in the specific risks or volatility of corporate stock returns in the American and even global capital markets, as well as the decline in the correlation between the competitive performance of the company's product market and its stock market performance. The direct blame lies in the increasingly fierce competition in the economic field. This paper first pays attention to the existence of the above phenomenon in the capital market of our country: should the sharp increase (if any) of the specific risk of the stock market of listed companies in our country be attributed to the intensification of competition in the product market? Can a concentrated industry structure and significant market forces effectively mitigate the characteristic risks or volatility of returns of listed companies in China? Based on the theoretical analysis and empirical research on the perspective of "competitive structure, risk expectation and return volatility", this paper shows that the specific risk of the listed companies in China, at least in the past ten years, has also shown a significant increase trend. The characteristic risk deviates from its market risk level obviously, but the nature of the deviation is obviously different. The speculative and policy characteristics of Chinese stock market are more obvious. The significant increase of characteristic risk is positively related to the aggravation of market competition of listed companies in China, and the relatively concentrated industry structure and significant market forces can effectively weaken the characteristic risk of company stock and stabilize the company's return.
【作者單位】： 石河子大學經(jīng)濟與管理學院;石河子大學公司治理與管理創(chuàng)新研究中心;
【基金】：國家自然科學基金(項目批準號:70962005) 教育部人文社科研究項目(項目編號:10YJC790279、10YJA630015和11XJJC630001) 國家社科基金項目(項目編號:11XGL002) 石河子大學高層次人才專項(項目編號:RCSX201101)
【分類號】：F224;F832.51

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本文編號：2262170