如何衡量企业风险承担水平

How to Measure Firms’Risk-taking

企业主动承担风险,目的是追求收益。一般地,高风险通常对应高收益。然而,企业风险承担水平难以直接测度,需要采用其他可观察到的代理指标予以反映。盈余波动性作为企业风险承担水平的衡量指标,被国内文献广泛采用,但该指标存在一定程度的缺陷。本文首先阐述并提出证据表明,盈余波动性适用于衡量企业的被动风险承担,不适合于衡量企业的主动风险承担水平。进一步地,依据行为逻辑理论,从企业主动承担风险的角度,本文尝试构建经营性投资指标来衡量企业的主动风险承担水平,并按照风险承担创造价值,以及各风险衡量指标应该正相关的内在逻辑,实证检验了其合理性。

Firms take risks actively in pursuit of returns.Generally,high risk corresponds to high returns.However,the level of corporate risk-taking is difficult to measure directly and needs to be reflected using other observable proxies.Earnings volatility is a widely-used,but defected proxy for the corporate risk-taking level in domestic research.This paper first provides evidence that earnings volatility can be used to measure the risks that the firm takes passively,but it is not appropriate for measuring active corporate risktaking.Furthermore,based on the behavioral logic theory,this paper attempts to construct operational investment indicators to measure actively corporate risk-taking,and empirically examine the rationality of indicators based on the values created by the risk-taking activities and the positive correlations between the risk assessment indicators.