企业风险预期与投资策略选择——基于年报文本挖掘的实证研究  

Enterprise Risk Expectation and Investment Strategy Selection:An Empirical Study based on Text Mining of Annual Reports of Listed Enterprises

作　　者：杨兵 杨杨 杜剑[3] YANG Bing;YANG Yang;DU Jian(School of Economics,Guizhou University of Finance and Economics,Guiyang,Guizhou,550025,China;Big Data Application and Economics,Guizhou University of Finance and Economics,Guiyang,Guizhou,550025,China;School of Accounting,Guizhou University of Finance and Economics,Guiyang,Guizhou,550025,China)

机构地区：[1]贵州财经大学经济学院,贵州贵阳550025 [2]贵州财经大学大数据应用与经济学院,贵州贵阳550025 [3]贵州财经大学会计学院,贵州贵阳550025

出　　处：《经济管理》2022年第2期122-140,共19页Business and Management Journal ( BMJ )

基　　金：国家自然科学基金青年项目“中国减税降费的就业效应:理论分析、实证检验和政策建议”(72003053);贵州省哲学社会科学规划一般课题“‘十四五’时期贵州推动经济高质量发展的新动能和新机制研究”(20GZYB02);贵州省2021年度哲学社会科学规划重大课题“新形势下贵州经济高质量发展和环境高水平保护的协同性测度及机制创新研究”(21GZZB30)。

摘　　要：合理的投资组合有利于提高资源利用率、实现资源的优化配置。企业如何将现有资产在实体投资和金融投资之间合理分配,是实现企业长久发展的关键所在。鉴于此,本文以2010—2018年沪深两市上市企业为研究样本,运用计算机文本挖掘技术并结合情感分析,测算企业风险预期指数,实证研究了企业风险预期对投资策略选择的影响机制和内在逻辑。研究结果表明:当市场风险预期和财务风险攀升时,企业倾向于选择增加金融投资而降低实体投资的投资策略;企业市场风险预期的攀升导致了风险资产规模扩大进而促进金融投资,而财务风险预期增加了金融投资收益进而促进金融投资,但实体投资成本和实体投资收益皆不是企业风险预期影响实体投资的中介因子;税收优惠缓解了财务风险预期对实体投资的抑制效应和减小了对金融投资的驱动效应,融资约束减小了财务风险预期对金融投资的驱动效应,公司治理机制减小了市场风险预期对金融投资的驱动效应;企业风险预期对实体投资和金融投资的影响程度与市场化程度、政府干预程度和经济发展水平相关。本文研究明确了企业风险预期攀升时,企业投资策略的选择倾向,从而为政府振兴实体经济,防止企业“脱实向虚”提供了方向指引。How an enterprise can rationally allocate existing assets between the physical market and the financial market, to achieve effective resource allocation? The answer of this question is the key to achieving long-term, healthy and stable development of the enterprise, also an important micro-foundation for achieving high-quality economic development in China.With the rapid development of the virtual economy, the real economy has been severely impacted, the problem of “removing the real to the virtual” becoming serious.In reality, companies break away from the real economy and get involved in financial activities, leading to a continuous increase in the proportion of financial assets in the company’s asset allocation, resulting in a strange phenomenon: The economic source of the development of real enterprises depends on finance, not on industry.This distorted form of asset allocation is not conducive to high-quality economic and social development.But what are the reasons that the current enterprises present a serious status quo of “removing from reality to virtual”?This paper is based on the enterprise’s reality of “removing from the real to the virtual”,starting from the entrepreneur’s own point of view.Based on the 2010-2018 Shanghai and Shenzhen listed companies’ annual report text information, this paper extracted the relevant vocabulary of the economic environment, industry development prospects, market risks, current economic policies, and financial conditions from the annual report text, using the method of data mining.Then, the enterprise market risk expectation index and financial risk expectation index are calculated by combining text sentiment analysis.Firstly, we empirically test the internal logic of investment strategy selection, when entrepreneurs anticipate that the company faces market risks and financial risks.Secondly, using the intermediary effect model, we analyze the transmission path of corporate risk expectations affecting corporate investment strategy choices.Thirdly, w

关 键 词：企业风险预期 投资策略选择 计算机文本挖掘 

分 类 号：F831.4[经济管理—金融学]