产品市场竞争与异质性风险
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| Title | Product Market Competition and Idiosyncratic Risk
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| 作者 | 吴昊旻 杨兴全 魏卉 |
| Author | Wu Haomin ,Yang Xingquan and Wei Hui |
| 作者单位 | 石河子大学经济与管理学院 |
| Organization | Economy and Management School, Shihezi University |
| 作者Email | whm_1977@126.com |
| 中文关键词 | 行业结构 产品市场竞争 异质性风险 |
| Key Words | Industry Structure; Product Market Competition; Idiosyncratic Risk |
| 内容提要 | 国外越来越多的研究将近几十年来美国乃至全球资本市场上公司异质性风险或其回报波动的显著增加、以及公司产品市场竞争业绩与其证券市场绩效的关联性下滑，直接归咎于经济领域内日趋激烈的竞争。本文关注我国资本市场是否也存在上述现象？我国上市公司异质性风险的显著增加（若有）是否也应归咎于剧烈的产品市场竞争？产品市场竞争的加剧是如何传导至公司证券市场并引致风险或回报的频繁波动？本文基于“结构-风险-回报”关联视角的实证研究表明：我国上市公司异质性风险——至少近十年来——亦呈显著增加的趋势，异质性风险与其市场风险水平的明显“背离”虽国内外皆然，但其背离的“性质”却显著不同，我国股市的投机特征更为明显；异质性风险的显著增加亦确与我国上市公司产品市场竞争的加剧密切关联；相对集中的行业结构与显著的公司市场势力有助于缓解公司证券市场的低效率（SME），即其能有效弱化异质性风险、稳定公司业绩。 |
| Abstract | Growing body of foreign literature has directly attributed the significant increasing trend of idiosyncratic return volatility in the U.S. and global capital markets over the past few years and the inter-related decline in firms’ product market competition performance and its stock market efficiency to the increasingly fierce economy-wide competition. This paper focuses on whether our capital market also has such phenomenon? Whether the significant increasing trend of idiosyncratic risk of our listed companies (if) and its performance’s inter-related decline should also attributed to the more intense economy-wide competition in China? How firms’ intense competition in product market is to transfer to its securities market and lead to its risk or frequent fluctuations in return? Based on the related perspective of “structure-risk-return”, the empirical results show that: at least over the past decade, the idiosyncratic risk level of listed companies’ in China is also indeed showing a significant increasing trend; The paper argues that this finding is attributable to the more intense product market competition; despite the significantly divergence of idiosyncratic risk and market risk exists both at home and abroad, the "nature" of divergence was significantly different; and the more concentrated industry structure or firms’ significant product market power can help to alleviate the low efficiency of the company's securities market, that is, they can effectively weaken the idiosyncratic return volatility. |
| 文章编号 | WP119 |
| 登载时间 | 2011-09-14 |
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