产品市场竞争与异质性风险：理论模型和实证
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摘要
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(PMC)与其证券市场绩效(SME)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)及其绩效的关联性下滑,是否也应归咎于多因素导致的市场竞争的加剧?公司产品市场竞争(PMC)的加剧是如何传导至其证券市场并引致其风险或回报的频繁波动(SME)?即公司两大要素市场是否存在效率关联或互动?行业竞争加剧的后果又有哪些?对于上述现象的解释中外有何差异?受产业组织、市场结构、企业战略管理和创造性破坏等相关理论以及国外最新研究启发,本文基于产品市场竞争之“内生互动效应”和“外生独立影响”正反两种路径及其“七类效应”的描述,对我国上市公司的产品市场竞争与其证券市场的效率关联或互动(“PMC—SME”)及其影响路径进行系统的逻辑分析、理论建模和实证检验。
秉承本文理论分析提出的“SICP”范式及其“结构化分析”路径,即从“行业竞争结构—异质性风险—公司绩效”的关联视角出发,在系统验证“剧烈的竞争有损公司绩效”的数理模型基础之上,本文以2000-2010年我国沪深A股上市公司为基本样本,对上述关联命题予以系统检验。本文基于我国上市公司的产品市场竞争(PMC)及其结构的多维度量、以及全行业样本、制造业(C)样本和区分证券市场(SM)之风险结构差异的多元分组样本的实证检验结果,显著支持了本文的理论预期,研究表明：我国上市公司的异质性风险水平——至少近十年来——确亦呈现出显著增加的趋势,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；公司异质性风险的显著增加亦确应主要归咎于其产品市场竞争(PMC)的加剧；过于分散的行业结构以及剧烈的市场竞争将有损公司的整体绩效或风险回报；而相对集中的行业结构与显著的公司市场势力(MP)有助于缓解公司证券市场的低效率(SME),即其能够有效弱化公司的异质性风险或其回报波动、降低资本成本与信息不对称、并进而稳定和提升公司的绩效。这与Demsetz(1973).Campbell et al.(2001).Fama and French(2004)等早期经典研究以及Gaspar and Massa(2006)、Brown and Kapadia(2007)、Irvine and Pontiff(2009)、Kale (2010)、Peress(2010)、Hoberg and Phillips(2010)等最新研究的基本结论相一致。本文的研究结果对于新时期我国上市公司的获利模式及其决策路径的研究与实践、以及我国金融市场发展和产业结构调整等宏观政策的改革与创新,均具有重要的理论与应用价值。
Over the past few years, the volatility of the average stock return, or idiosyncratic risk, has drastically outpaced total market volatility in the U.S. and global capital markets. And the typical economic consequences of the dramatically volatility is the inter-related decline in firms' product market competition performance (PMC) and its stock market efficiency (SME). Growing body of foreign literature has directly attributed the significant increasing trend of idiosyncratic return volatility 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? Whether there exists the efficiency affiliated or interactions between the two factors market, namely firms'product market and stock market? Based on the industrial organization, market structure, strategic management or the theory of creative destruction, and inspired by the latest research abroad, the theoretical model and empirical test of this paper systematically investigates the product market competition' "endogenous interaction effect" and "exogenous independent effect",
Based on the basic sample of China's Shanghai and Shenzhen A shares of 2000-2010, and our listed company's product market competition's multi-dimensional measurement (PMC), the empirical results of the paper significantly support the theoretical expectations whatever in its total sample or its multiple sub-samples. The results of this study indicate 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, the intense market competition among firms and the fragmented industry structure would be detrimental to the company's performance, and the more concentrated industry structure or firms' significant product market power (MP) can help to alleviate the low efficiency of the company's securities market (SME), that is, they can effectively weaken the idiosyncratic return volatility, lower its cost of capital and information asymmetry, and thus stabilize and enhance the company's overall performance. These results are not only consistent with the early classic literature and recent research findings, but also consistent with the characteristics of the new policy orientation in China. These findings obviously have important theoretical and practical value in the research or practice of our listed companies' decision-making path, as well as China's financial market development and industrial structure adjustment and other macro-policy reform and innovation.
秉承本文理论分析提出的“SICP”范式及其“结构化分析”路径,即从“行业竞争结构—异质性风险—公司绩效”的关联视角出发,在系统验证“剧烈的竞争有损公司绩效”的数理模型基础之上,本文以2000-2010年我国沪深A股上市公司为基本样本,对上述关联命题予以系统检验。本文基于我国上市公司的产品市场竞争(PMC)及其结构的多维度量、以及全行业样本、制造业(C)样本和区分证券市场(SM)之风险结构差异的多元分组样本的实证检验结果,显著支持了本文的理论预期,研究表明：我国上市公司的异质性风险水平——至少近十年来——确亦呈现出显著增加的趋势,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；公司异质性风险的显著增加亦确应主要归咎于其产品市场竞争(PMC)的加剧；过于分散的行业结构以及剧烈的市场竞争将有损公司的整体绩效或风险回报；而相对集中的行业结构与显著的公司市场势力(MP)有助于缓解公司证券市场的低效率(SME),即其能够有效弱化公司的异质性风险或其回报波动、降低资本成本与信息不对称、并进而稳定和提升公司的绩效。这与Demsetz(1973).Campbell et al.(2001).Fama and French(2004)等早期经典研究以及Gaspar and Massa(2006)、Brown and Kapadia(2007)、Irvine and Pontiff(2009)、Kale (2010)、Peress(2010)、Hoberg and Phillips(2010)等最新研究的基本结论相一致。本文的研究结果对于新时期我国上市公司的获利模式及其决策路径的研究与实践、以及我国金融市场发展和产业结构调整等宏观政策的改革与创新,均具有重要的理论与应用价值。
Over the past few years, the volatility of the average stock return, or idiosyncratic risk, has drastically outpaced total market volatility in the U.S. and global capital markets. And the typical economic consequences of the dramatically volatility is the inter-related decline in firms' product market competition performance (PMC) and its stock market efficiency (SME). Growing body of foreign literature has directly attributed the significant increasing trend of idiosyncratic return volatility 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? Whether there exists the efficiency affiliated or interactions between the two factors market, namely firms'product market and stock market? Based on the industrial organization, market structure, strategic management or the theory of creative destruction, and inspired by the latest research abroad, the theoretical model and empirical test of this paper systematically investigates the product market competition' "endogenous interaction effect" and "exogenous independent effect",
Based on the basic sample of China's Shanghai and Shenzhen A shares of 2000-2010, and our listed company's product market competition's multi-dimensional measurement (PMC), the empirical results of the paper significantly support the theoretical expectations whatever in its total sample or its multiple sub-samples. The results of this study indicate 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, the intense market competition among firms and the fragmented industry structure would be detrimental to the company's performance, and the more concentrated industry structure or firms' significant product market power (MP) can help to alleviate the low efficiency of the company's securities market (SME), that is, they can effectively weaken the idiosyncratic return volatility, lower its cost of capital and information asymmetry, and thus stabilize and enhance the company's overall performance. These results are not only consistent with the early classic literature and recent research findings, but also consistent with the characteristics of the new policy orientation in China. These findings obviously have important theoretical and practical value in the research or practice of our listed companies' decision-making path, as well as China's financial market development and industrial structure adjustment and other macro-policy reform and innovation.
引文
①Tookes (2008)、Peress (2010)等研究表明,内部人知情交易的增加会降低公司证券的流动性,有损证券市场的效率。
①Campello et al. (2009)和Duchin et al. (2008)等新近研究表明,为应对日益紧缩的信贷条件和避免现金困境(cash squeeze),现金贫乏(cash-poor)公司不得不削减其研发支出、就业机会以及其他资本性支出。
①Mayer (1997)研究发现,公司的所有权结构可能受其产品市场的竞争程度的影响。
①可以参见Campbell et al. (2001)第五部分对于异质性风险影响因素的述评(P37-40),这些因素涉及现金流波动、总产出波动、金融创新、上市时间、现金流信息、折现率以及管理层激励等影响。
①Irvine and Pontiff (2009)对于行业管制的放松、国际竞争环境及其他经济影响的纵深检验,又进一步验证了竞争的加剧最终导致异质性风险的增加的预期。
①Irvine and Pontiff (2009)也将其归入公司异质性风险研究的两大分类或流派之一
②Rajan and Zingales (2003)认为,开放跨境贸易尤其是资本的自由流动(capital flows),可以缓解既得利益者的反对动机和能力,从而有利于金融市场的繁荣。
①Rajan and Zingales (2003)认为,一国金融部门的发展并不会随着时间而单调变化,并认为其提出的“利益集团理论”可用于解释金融市场发展水平的国别(截面)差异和时间序列特征。
①Lowry et al. (2010)的研究可以很好地将这两者关联起来,并“潜在甚或显著地”预示着行业竞争结构的基础性影响的存在。见后文的专节分析。
①而且,以Lowry et al. (2010)、Ang et al. (2009)等的研究结果及其启示来看,似乎中外(美国)皆似乎如此。
②这里的市场环境差异,除涉及主板市场与非主板市场的上市差异之外,还应该包括是否跨境上市、以及Lowry et al. (2010)等所谓的二级(secondary)交易市场的波动等影响差异。
③Pastor and Veronesi (2005)关于(二级)市场的环境与上市决策的研究预期当市场(market-wide)对于年轻企业未来盈利的事前不确定性更高时,将会有更多的企业选择上市——因为更高的不确定性会增加上市的期权价值。但Lowry et al.(2010)关于拟上市公司类型的变化对IPOs波动具有更显著影响——相对与二级市场的波动——的结果却意味着,Pastor and Veronesi (2005)的预期只能部分解释IPOs的波动,市场环境不止影响上市决策,也会影响拟上市公司的类型。
①参见陆毅等,2010.产业集聚与企业规模——来自中国的证据.管理世界(8)：84-89.
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①Campello et al. (2009)和Duchin et al. (2008)等新近研究表明,为应对日益紧缩的信贷条件和避免现金困境(cash squeeze),现金贫乏(cash-poor)公司不得不削减其研发支出、就业机会以及其他资本性支出。
①Mayer (1997)研究发现,公司的所有权结构可能受其产品市场的竞争程度的影响。
①可以参见Campbell et al. (2001)第五部分对于异质性风险影响因素的述评(P37-40),这些因素涉及现金流波动、总产出波动、金融创新、上市时间、现金流信息、折现率以及管理层激励等影响。
①Irvine and Pontiff (2009)对于行业管制的放松、国际竞争环境及其他经济影响的纵深检验,又进一步验证了竞争的加剧最终导致异质性风险的增加的预期。
①Irvine and Pontiff (2009)也将其归入公司异质性风险研究的两大分类或流派之一
②Rajan and Zingales (2003)认为,开放跨境贸易尤其是资本的自由流动(capital flows),可以缓解既得利益者的反对动机和能力,从而有利于金融市场的繁荣。
①Rajan and Zingales (2003)认为,一国金融部门的发展并不会随着时间而单调变化,并认为其提出的“利益集团理论”可用于解释金融市场发展水平的国别(截面)差异和时间序列特征。
①Lowry et al. (2010)的研究可以很好地将这两者关联起来,并“潜在甚或显著地”预示着行业竞争结构的基础性影响的存在。见后文的专节分析。
①而且,以Lowry et al. (2010)、Ang et al. (2009)等的研究结果及其启示来看,似乎中外(美国)皆似乎如此。
②这里的市场环境差异,除涉及主板市场与非主板市场的上市差异之外,还应该包括是否跨境上市、以及Lowry et al. (2010)等所谓的二级(secondary)交易市场的波动等影响差异。
③Pastor and Veronesi (2005)关于(二级)市场的环境与上市决策的研究预期当市场(market-wide)对于年轻企业未来盈利的事前不确定性更高时,将会有更多的企业选择上市——因为更高的不确定性会增加上市的期权价值。但Lowry et al.(2010)关于拟上市公司类型的变化对IPOs波动具有更显著影响——相对与二级市场的波动——的结果却意味着,Pastor and Veronesi (2005)的预期只能部分解释IPOs的波动,市场环境不止影响上市决策,也会影响拟上市公司的类型。
①参见陆毅等,2010.产业集聚与企业规模——来自中国的证据.管理世界(8)：84-89.
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