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中国上市公司风险—收益关系实证研究

发布时间:2018-04-26 23:42

  本文选题:战略风险 + 企业绩效 ; 参考:《中国科学技术大学》2014年硕士论文


【摘要】:随着全球经济一体化趋势的不断加强,我国企业所处的外部经营环境变得更加复杂多变,企业内部的不确定性因素也日益增多。企业具有的内外部不确定性因素导致企业在战略实施过程中容易遭受多重风险,无法实现其战略目标,甚至导致企业在战略管理和实施过程中遭受了灭顶之灾。全球权威的咨询机构德勤在1999年的一项研究中发现企业面临的最大风险之一就是战略风险。所以战略风险问题即企业组织层次的风险日益受到实业界和学术界的高度关注。其中,战略风险-收益关系问题成为关注焦点之一。一直以来,传统的金融理论等均认为风险和收益之间是正相关的,即所谓的“高风险,高收益”。直至Bowman(1980)研究发现的“鲍曼悖论”现象,人们才对传统假定的风险-收益的正相关关系产生了质疑并展开了大量的后续研究。基于此,本文以我国上市企业的风险-收益关系为研究对象,研究了多个行业的风险-收益关系及企业战略风险的决定因素。 首先,在回顾与总结以往研究的基础上,本研究根据公司行为理论建立了个风险模型,选取我国12个行业共629家上市公司作为研究样本。风险模型中关键变量风险的度量采用先进的事前度量法。 然后,运用SPSS17.0软件对研究模型进行了描述性统计分析和多元回归分析,得出了以下几个重要结论:(1)企业风险-收益关系与行业性质密切相关。在自由竞争程度高的行业(例如本研究中序号为1-6的行业)中,企业绩效Performance t对企业未来风险Risk t+i存在显著的负向影响。也就是说,这些行业存在“鲍曼悖论”现象即企业风险-收益关系是负相关的;相反地,在垄断程度较高的行业(例如本研究中序号为7-12的行业)中,企业绩效Performance t对企业未来风险Risk t+i存在显著的正向影响。也就是说,这些行业的风险-收益关系是正相关的。(2)本研究模型中的各变量对企业风险都存在一定的正向或负向影响,而且在不同的行业中同一变量对风险的影响是不一样的。例如,在自由竞争程度较高的行业中,企业绩效Performance t对企业未来风险Risk t+i存在显著的负向影响;相反地,在垄断程度较高的行业,企业绩效Performance t对企业未来风险Risk t+i存在显著的正向影响。(3)我国一些行业确实存在“鲍曼悖论”现象,但西方对“鲍曼悖论”现象的公司行为理论解释不完全适用于中国,需要结合中国的特殊国情和行业发展状况等来具体分析和解释。 最后,根据研究结论得出了相关启示,并对企业、政府和其他投资者都提出了建议,同时在探讨研究局限的基础上,展望了后续的研究方向。
[Abstract]:With the increasing trend of global economic integration, the external operating environment of Chinese enterprises has become more complex and changeable, and the uncertainty factors within enterprises are also increasing day by day. Because of the internal and external uncertainty factors, enterprises are vulnerable to multiple risks in the process of strategic implementation, unable to achieve their strategic objectives, and even destroyed in the process of strategic management and implementation. Deloitte, a global consultancy, found in a 1999 study that one of the biggest risks companies face is strategic risk. Therefore, the strategic risk, that is, the risk of enterprise organization level, is paid more and more attention by the industry and academic circles. Among them, the strategic risk-benefit relationship has become one of the focus. All along, the traditional financial theory thinks that risk and return are positively related, that is, "high risk, high return". It was not until Bowman's 1980) that Bowman's paradox was discovered that people questioned the traditional assumption of the positive correlation between risk and return and carried out a large number of follow-up studies. Based on this, this paper takes the risk-to-profit relationship of listed enterprises in China as the research object, studies the risk-to-profit relationship in many industries and the determinants of the strategic risks of enterprises. First of all, on the basis of reviewing and summarizing the previous studies, this study establishes a risk model according to the theory of corporate behavior, and selects 629 listed companies in 12 industries of our country as the research samples. The risk measurement of key variables in risk model adopts advanced prior measure method. Then, using SPSS17.0 software, the paper makes descriptive statistical analysis and multiple regression analysis to the research model, and draws the following important conclusions: 1) the relationship between enterprise risk and income is closely related to the nature of the industry. In industries with high degree of free competition (such as those with serial numbers of 1-6 in this study), firm performance (Performance t) has a significant negative effect on the future risk of the firm (Risk t I). In other words, there is a "Bowman paradox" in these industries, that is, the risk-return relationship is negatively correlated; on the contrary, in industries with a high degree of monopoly (for example, those with serial numbers of 7-12 in this study), Enterprise performance Performance t has significant positive influence on future risk Risk t I. That is to say, the risk-return relationship of these industries is positively related. 2) the variables in this research model have a certain positive or negative impact on enterprise risk, and the same variable has different effects on risk in different industries. For example, in industries with higher degree of free competition, the firm performance Performance t has a significant negative effect on the future risk of the enterprise Risk t I; on the contrary, in the industry with higher degree of monopoly, Enterprise performance Performance t has a significant positive impact on the future risk Risk t i of enterprises. (3) in some industries in China, there is a "Bowman Paradox" phenomenon, but the western explanation of the phenomenon of "Bowman Paradox" is not fully applicable in China. Need to be combined with China's special national conditions and industry development to specific analysis and interpretation. Finally, based on the conclusions of the study, the author draws some suggestions to the enterprises, the government and other investors. At the same time, on the basis of discussing the limitations of the research, the future research direction is prospected.
【学位授予单位】:中国科学技术大学
【学位级别】:硕士
【学位授予年份】:2014
【分类号】:F832.51;F272.3;F275

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