产品市场竞争与公司股票特质性风险--基于我国上市公司的经验证据  

Product Market Competition and Firm's Stock Idiosyncratic Risk——Based on the Empirical Evidence of Chinese Listed Companies

作　　者：吴昊旻[1,2] 杨兴全[1,2] 魏卉[1,2] 

机构地区：[1]石河子大学经济与管理学院 [2]石河子大学公司治理与管理创新研究中心

出　　处：《经济研究》2012年第6期101-115,共15页Economic Research Journal

基　　金：国家自然科学基金(项目批准号:70962005);教育部人文社科研究项目(项目编号:10YJC790279、10YJA630015和11XJJC630001);国家社科基金项目(项目编号:11XGL002);石河子大学高层次人才专项(项目编号:RCSX201101)

摘　　要：国外诸多研究将近几十年来美国乃至全球资本市场上公司股票特质性风险或其回报波动的显著增加,以及公司产品市场竞争业绩与其股票市场绩效的关联性下滑,直接归咎于经济领域内日趋激烈的竞争。本文首次关注我国资本市场是否存在上述现象:我国上市公司股票特质性风险的显著增加(若有)是否应该归咎于产品市场竞争的加剧?集中的行业结构和显著的市场势力是否能够有效缓解我国上市公司的特质性风险或其回报波动?本文基于"竞争结构—风险预期—回报波动"关联视角的理论分析和实证研究表明:我国上市公司股票特质性风险——至少近十年来——亦呈现显著增加的趋势,特质性风险与其市场风险水平的明显"背离"虽国内外皆然,但其背离的"性质"却显著不同,我国股市的投机性、政策性特征更为明显;特质性风险的显著增加与我国上市公司产品市场竞争的加剧显著正相关;相对集中的行业结构与显著的市场势力能够有效弱化公司股票特质性风险而稳定公司回报。Growing literature has directly attributed the significant increasing trend of idiosyncratic return volatility in the U. S. and global capital markets over the past few years and the inter-related decline in firms＇ product market competition performance and its stock market efficiency to the increasingly fierce economy-wide competition. This paper focuses on whether our capital market also has such phenomenon？ Whether the significant increasing trend of idiosyncratic risk of our listed companies （if） and its performance＇ s inter-related decline should also attributed to the more intense economy-wide competition in China？ Whether the more concentrated industry structure or firms＇ significant product market power can help to alleviate idiosyncratic risk or its frequent return volatility？ Based on the related perspective of＇＂ structure-risk-return＂, the empirical results show that ： at least over the past decade, the listed companies＇ stock idiosyncratic risk in China is also indeed showing a significant increasing trend; The paper argues that this finding is attributable to the more intense product market competition; despite the significantly divergence of idiosyncratic risk and market risk exists both at home and abroad, the ＂nature＂ of divergence was significantly different; and the more concentrated industry structure or firms＇ significant product market power can effectively weaken the idiosyncratic risk and stabilize the firms＇ stock return.

关 键 词：行业结构 产品市场竞争 股票特质性风险 

分 类 号：F224[经济管理—国民经济] F832.51