虚假陈述背景下投资损失构成成分的机理关系  

On the Mechanism Relationship of Investment Losses' Component Factors under the Background of Misrepresentation

作　　者：张文珂[1] 

机构地区：[1]中国社会科学院研究生院,北京102488

出　　处：《经济管理》2014年第5期104-114,共11页Business and Management Journal ( BMJ )

基　　金：安徽省优秀青年人才基金重点项目"净利润构成成分的波动性与现金分配"(2012SQRW051ZD);安徽省优秀青年人才基金重点项目"基于资金链视角的房地产企业风险管理研究"(2012SQRW047ZD);国家社会科学基金青年项目"国有企业跨国投资与政府监管问题研究"(12CGL007)

摘　　要：即使在金融危机集中爆发期间或市场综合指数与个股股价同时下跌的情况下,仍然不能认为投资损失完全是由系统性风险造成的。对于虚假陈述类上市公司的投资者而言,其投资损失或收益在中国现行法律要求和市场环境下由三部分影响因素构成,包括固定投资收益效应、系统性风险效应和虚假陈述类特质效应。本文着重阐述了虚假陈述类特质效应和系统性风险效应的机理关系。系统性风险效应具有时变的特点,在不同的时点上产生不一致的损失或收益效果;系统性风险效应与虚假陈述类特质效应在形态上具有对称互补关系,共同形成了投资损失或收益。Even if under the situation of the financial crisis individual stock downfall at the same time, we still cannot risk. On the causes of investment losses or gains under the regard outbreak cluster or when the benchmark index and the losses of investment is solely due to systematic requirement of Chinese existing law and the market envi- ronment for misrepresentation type listed corporation＇s investor, three component factors which include fixed income effects, systematic risk effects and idiosyncratic effects attributed to misrepresentation are essentially to be consid- ered. The mechanism relationship including the time varying analysis, complementary relationships and three dimen- sional stereoscopic constitutions are discussed. This paper emphasize on the mechanism analysis of the relationship between idiosyncratic effects attributed to misrepresentation and systematic risk effects. The time varying characteris- tics of systematic risk effects bring about variant losses or gains effects at different times. Systematic risk effects and idiosyncratic effects attributed to misrepresentation have symmetrical and complementary relationships in the pat- tern ; they jointly formed the losses or gains of investment. By the quotation and expansion of useful statistics, this pa- per adopted some indication ratios that reflect the relationship of systematic risk and investment return. The time va- rying measures match with the dissimilarity exchange results brought about by investors in different exchange times. Because of the time varying fl coefficient in the shorter exchange periods can catch up with the influence and mutative mechanism of systematic risk effect, the method of time varying process has some advantages in the calcula- tion of theoretical compensation in those cases that the investors require more accurate outcome. The two indexes, RHO（t） which measure the effect of the systematic risk and PHI（t） which measure the effect of the misrepresenta- tion are complementary when other damage factors are n

关 键 词：系统性风险效应 虚假陈述 状态空间时变参数 虚假陈述类特质效应 

分 类 号：F276.6[经济管理—企业管理]