产品市场竞争和异质波动：“自然避险”还是“信息不确定”？

发布时间：2018-05-01 12:36

本文选题：市场竞争 + 异质波动　；参考：《华中科技大学》2012年硕士论文

【摘要】：本文旨在研究企业所面临的产品市场竞争环境及其资产异质波动的关系。根据市场有效性假说，收益率异质波动在本质上反映了企业经营现金流和公司红利的异质波动，而现金流和红利则进一步意味着该影响来自于公司盈利与营业利润。因此，在研究股票异质波动时，其必定与企业利润率之间存在联系。本文研究产品市场竞争与异质波动之间的关系，，并进一步基于自然避险与信息不确定的角度考察两者的内在影响机制。结果发现：公司的市场力量与异质波动之间呈显著负相关；这种负向关系主要来自于信息不对称机制，即公司的市场力量通过影响投资者对该股票的未来平均利润率的不确定性，进而间接影响股票的异质波动；同时，将竞争市场和异质波动联系起来的另外一条途径是自然避险机制，我们预测市场力量大的公司，其定价能力强，以此将竞争的风险转嫁给消费者，但是通过实证检验，发现公司通过其市场力量作用于资产波动的自然避险机制，效果不明显。本文的研究具有明晰的政策含义，即加强信息披露质量，降低信息不确定性，从而进一步降低市场波动。
[Abstract]:The purpose of this paper is to study the relationship between the competitive environment of product market and the heterogeneous fluctuation of assets. According to the hypothesis of market efficiency, the volatility of return heterogeneity reflects the heterogeneity of operating cash flow and corporate dividend in essence, while cash flow and dividend further mean that the effect comes from corporate profit and operating profit. Therefore, when studying the heterogeneous volatility of stock, there must be a relationship between it and the profit margin. In this paper, we study the relationship between product market competition and heterogeneous volatility, and further investigate their internal influence mechanism based on the perspectives of natural risk avoidance and information uncertainty. The results show that there is a significant negative correlation between market power and heterogeneous volatility, and this negative relationship mainly comes from asymmetric information mechanism. That is, the market power of the company affects the heterogeneity of the stock indirectly by influencing the uncertainty of the investor's future average profit margin of the stock; at the same time, Another way to link competitive markets with heterogeneous volatility is through natural risk-aversion mechanisms. We predict that companies with strong market forces have strong pricing power to pass on the risks of competition to consumers, but through empirical testing. It is found that the natural risk-averse mechanism by which the company acts on asset fluctuations through its market forces has no obvious effect. The research in this paper has a clear policy meaning, that is, to strengthen the quality of information disclosure, reduce information uncertainty, and further reduce market volatility.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F224;F276.6

【参考文献】