战略风险与收益：中国上市公司的实证研究

Strategic Risk and Return:Empirical Study on Chinese Listed Companies

国外大量的研究表明,战略风险与收益的关系存在被称为"鲍漫悖论"(Bow-man’s paradox)即负相关关系的现象。文章摒弃了资本资产定价、均值方差等传统的战略风险度量方法,借鉴序数信息下系统组织整体不确定性度量的熵法,把战略风险转化为企业在战略参考系统内收益排名(竞争位置)下降带来的负面不确定信息,给出了序数战略风险度量的一般模型,这个方法符合战略风险的战略本质。通过收集中国上市公司上证50指数36家企业的收益数据,运用该模型方法,根据事件研究思路,对战略风险与收益的相关关系进行了中国情景下的多次验证,得到战略风险与收益的一致负相关关系。这个结果表明,高风险不一定带来高收益,企业持久竞争优势的获取不仅源于高收益,更是长期高收益—低风险的绩效产出结果。

A large number of foreign studies have found a negative rela- tionship between strategic risk and return, which is known as ＂Bowman＇s paradox＂. The paper employs the entropic measure of system uncertainty under the ordinal information, abandoning the traditional CAPM and meanvariance approachs. Through defining the strategic risk as negative uncertainty information when enterprise loses rank with return （competitive position） in a strategic reference system, the paper gives a general strategic risk measurement model. According to a train of thought of event study, correlations analysis using data from 36 Chinese companies listed on the SSE 50 indicates that the existence of negative relationship between strategic risk and return is significant and constant in Chinese context. The result shows that high risk does not necessarily lead to high return, and enterprisers sustainable competitive advantage is not only obtaining from the high return, but resulting in long-term high return-low risk performance outputs. The study is very important to reframe strategic risk theory and to change the attitudes in strategic management practice.