虚假陈述背景下投资损失构成成分的机理关系

On the Mechanism Relationship of Investment Losses' Component Factors under the Background of Misrepresentation

即使在金融危机集中爆发期间或市场综合指数与个股股价同时下跌的情况下,仍然不能认为投资损失完全是由系统性风险造成的。对于虚假陈述类上市公司的投资者而言,其投资损失或收益在中国现行法律要求和市场环境下由三部分影响因素构成,包括固定投资收益效应、系统性风险效应和虚假陈述类特质效应。本文着重阐述了虚假陈述类特质效应和系统性风险效应的机理关系。系统性风险效应具有时变的特点,在不同的时点上产生不一致的损失或收益效果;系统性风险效应与虚假陈述类特质效应在形态上具有对称互补关系,共同形成了投资损失或收益。

Even if under the situation of the financial crisis individual stock downfall at the same time, we still cannot risk. On the causes of investment losses or gains under the regard outbreak cluster or when the benchmark index and the losses of investment is solely due to systematic requirement of Chinese existing law and the market envi- ronment for misrepresentation type listed corporation＇s investor, three component factors which include fixed income effects, systematic risk effects and idiosyncratic effects attributed to misrepresentation are essentially to be consid- ered. The mechanism relationship including the time varying analysis, complementary relationships and three dimen- sional stereoscopic constitutions are discussed. This paper emphasize on the mechanism analysis of the relationship between idiosyncratic effects attributed to misrepresentation and systematic risk effects. The time varying characteris- tics of systematic risk effects bring about variant losses or gains effects at different times. Systematic risk effects and idiosyncratic effects attributed to misrepresentation have symmetrical and complementary relationships in the pat- tern ; they jointly formed the losses or gains of investment. By the quotation and expansion of useful statistics, this pa- per adopted some indication ratios that reflect the relationship of systematic risk and investment return. The time va- rying measures match with the dissimilarity exchange results brought about by investors in different exchange times. Because of the time varying fl coefficient in the shorter exchange periods can catch up with the influence and mutative mechanism of systematic risk effect, the method of time varying process has some advantages in the calcula- tion of theoretical compensation in those cases that the investors require more accurate outcome. The two indexes, RHO（t） which measure the effect of the systematic risk and PHI（t） which measure the effect of the misrepresenta- tion are complementary when other damage factors are not significant. Corresponding with the time varying property offl coefficient,RHO（t） and PHI（t） are also time varying and better reflected the temporary losses or returns in the capital market. Even if the fl coefficient doesn＇ t vary significantly in the short period, we still need to consider the tiny changes because of many a little makes a large amount especially for those investors whose exchange periods are small, frequently and concentrated. If we calculate those investors＇ losses considering the same systematic risk effect with others, that will be unfair for them. This paper gives totally different viewpoints and concluding remarks in regard to some trialed misrepresentation cases. It is not right to have any undue emphasis on the existence of ei- ther systematic risk effect or misrepresentation effect in trailed misrepresentation cases. But unfortunately, a lot of cases were inclined to either full amount or completely not compensate to the loss of investors. This is unfair for lis- ted companies and investors. These analytical outcomes in this paper are helpful for the definition and repartition of misrepresentation compensation for damage. It is needed to mention that the mechanism relationship among invest- ment losses＇ component factors will still firm even if the influence of fixed income effects is significant. The above- stated mechanism analysis will be helpful to the settlements of judicial cases. Based on the scholars＇ experiences, the adoption of state space time varying parameter model that put the research define the mechanism relationship a- mong investment losses＇ component factors unambiguously,which is differ from the way of GARCH and wavelet a- nalysis method.