中国证券市场各类风险对资本成本的影响研究  

Research on Effect of Stock Market Risk on the Capital Cost

作　　者：易建平[1,2] 

机构地区：[1]天津大学管理与经济学部,天津300072 [2]唐山职业技术学院院长办,河北唐山063001

出　　处：《河北经贸大学学报》2014年第3期74-76,共3页Journal of Hebei University of Economics and Business

摘　　要：以2007-2010年我国A股上市公司为样本,用Hanlon改进的剩余收益增长率方法度量资本成本,并在此基础上从微观结构视角分析证券市场中最主要的系统波动性风险、特质波动性风险、流动性风险和信息风险对资本成本的影响。结果发现,随着系统波动性风险、流动性风险以及信息风险这三类传统意义上的系统性风险增大,资本成本也增大;通过投资组合部分分散的特质波动风险则与资本成本的关系不明确。Based on the sample of Chinese A-share listed companies during 2007-2010,this paper measure the cost of capital by Hanlon＇s method, and then analyze the impact of system volatility risk, idiosyncratic volatility risk, liquidity risk and information risk of stocks on the cost of capital from the perspective of microstructure. The result shows that, with the system volatility risk,liquidity risk and information risk increased, the cost of capital will be higher. However, this relationship could not be found between idiosyncratic volatility risk and the cost of capital.

关 键 词：二级市场 风险 资本成本 系统波动性风险 特质波动性风险 流动性风险 信息风险 

分 类 号：F832.5[经济管理—金融学]