管理层风险承担与公司治理收益：基于中国股市牛熊市下的证据  

Managerial Risk Taking and Stock Return Induced by Corporate Governance:Analysis based on China Bull and Bear Stock Market

作　　者：张艳磊[1] 吴昱[1] 秦芳[2] 

机构地区：[1]西南财经大学经济与管理研究院 [2]西南财经大学中国家庭金融调查与研究中心

出　　处：《投资研究》2015年第2期142-156,共15页Review of Investment Studies

基　　金：西南财经大学211工程青年教师成长项目(项目号211QN2011061);四川省社科“十二五”规划项目青年项目(项目号SC14C003)的资助

摘　　要：公司治理是否会影响股票收益率以及其内在机制迄今尚无定论。我们将中国股市的各个年度分别划分为牛市和熊市,考察了牛熊市中公司治理对股票收益率的不同影响,并进一步分析了管理层的风险承担行为在其中所起的作用。研究表明:公司治理状况较好的公司在牛市中具有更高的股票收益率,而在熊市中这些公司的股票收益率反而比其他公司更低。与此同时,治理较好公司的管理层在牛市和熊市中都会承担更多风险。该结果说明,正是管理层积极的风险承担行为以及牛熊市中截然相反的风险-收益关系导致了牛熊市中的公司治理收益出现差异。There is still no explicit answer to the relationship between corporate governance and stock return, and the reasons causing this relationship. After classifying the market into bull and bear, we analyze the influence of corporate governance on stock return, and discuss the implications of managerial risk taking. The results suggest that the firms with good corporate governance show higher returns in the bull market, but show lower returns in the bear market. Meanwhile, corporate governance increase managerial risk taking in both bull and bear market. It implies that managerial risk taking behavior and the opposite risk-return relations in bull and bear market results in the opposite relation between corporate governance and stock return in bull and bear market.

关 键 词：管理层风险承担 公司治理收益 牛熊市 

分 类 号：F832.51[经济管理—金融学] F271