企业“脱实向虚”与金融市场稳定--基于股价崩盘风险的视角  

The Effect of Transforming the Economy from Substantial to Fictitiouson Financial Market Stability: An Analysis on Stock Price Crash Risk

作　　者：彭俞超 倪骁然[3,4] 沈吉 PENG Yuchao;NI Xiaoran;SHEN Ji(Central University of Finance and Economics;Xiamen University;Peking University)

机构地区：[1]中央财经大学金融学院 [2]中央财经大学丝路金融研究中心 [3]厦门大学经济学院金融系 [4]厦门大学王亚南经济研究院 [5]北京大学光华管理学院金融系

出　　处：《经济研究》2018年第10期50-66,共17页Economic Research Journal

基　　金：国家自然科学基金青年项目(71802170、71603302、71603304)的资助

摘　　要：近年来,经济中出现的"脱实向虚"问题引起了政府和学术界的广泛关注。本文从企业金融投资如何影响股价崩盘风险的视角,研究了企业"脱实向虚"对金融市场稳定的影响。通过构建一个包含市场、公司和经理人的三期博弈模型,本文发现,上市公司为了隐藏负面信息而持有金融资产会提升企业股价崩盘的概率。基于沪深两市A股上市公司样本的实证分析验证了理论模型的结论。平均而言,企业金融投资每增加1个标准差,未来一期的股价崩盘风险约增加5.5%个标准差。进一步的研究表明,金融投资水平越高的企业与外界的信息不对称程度也越高。金融投资与股价崩盘风险之间的正相关关系在经营风险更高、内部人受监督程度更低的企业中更为显著。本文的发现揭示出了经济"脱实向虚"引起系统性金融风险的一条路径。In China's new normal economy,firms find difficulties in gaining handsome returns from real business.As a consequence,the whole economic activities exhibit a trend of transforming from substantial to fictitious.This phenomena has aroused wide concerns around government regulators,academia and market practitioners as well.At the micro-firm level,the transformation of the economic activities from substantial to fictitious largely refers to that many Chinese non-financial firms invest heavily in non-cash financial assets with excess volatility and highly riskiness.This can create short-term profits for the firms,but may impede economic growth and expose the overall economy to higher risk.In this article,we assess the impact of economic activities transforming from substantial to fictitious on capital market stability.Specifically,we focus on the effect of firm-level financialization on stock price pattern.We predict that with increasing difficulty in obtaining high return from real investment,corporate managers have strong incentive to engage in more financial investments to realize high short-term return.However,such deviation can expose a firm to higher operating risk,especially when the performance of firm's core businesses gets worse.When market participants realize that firm s financialization is driven by poor performance in its core businesses and firm s manager's tendency to protect their private benefits,they choose to sell stocks off and trigger severe crash on the market.To formalize the idea,we first construct a three-period principle-agent model to analyze the effect of firm financialization on stock price crashes.In the model,managers differ in their capability,which determines the future cash flows of the firm.However,firms cannot directly observe a manager s capability,but have to infer it from the medium-term cash flow.Therefore,before renewing their contracts,managers with low capability are motivated to speculate on financial assets,with an intention of realizing a higher cash flow,so that they c

关 键 词：股价崩盘 企业金融化 脱实向虚 金融市场稳定 

分 类 号：G12[文化科学] G18