企业风险决定因素及风险收益关系研究

An empirical study on the risk-return correlation and determinants of strategic risk

研究基于2004-2012年中国电力、热力生产和供应业上市公司的财务数据,运用一个包含了风险、企业绩效、行业绩效、预期绩效水平和理想绩效水平的动态模型,对中国企业承担的风险的决定因素以及风险—收益关系进行实证检验。研究发现,企业绩效和过去的风险水平对企业风险有显著负向影响,而预期绩效水平和理想绩效水平对企业风险有显著正向影响,支持了公司行为理论关于战略风险—收益关系的因果论证。绩效低的公司会主动寻求较大的风险,绩效高的公司会规避风险,中国企业存在"鲍曼悖论"现象。

This research empirically tests for the strategic risk -return correlation and the determining factors of strategic risk in China. In this paper, the authors select listed companies in the electric power industry in China as the research sample and adopt a dynamic time series model including aspirations, expectations, industry performance, corporate performance and risk. The empirical findings indicate that aspirations and expectations both have a positive impact on risk taking, while enterprise performance and previous risk have a negative impact on risk taking. It supports Behavioral Theory in the Firm＇ s thesis about the causal relationship between strategic risk and return, namely low performance - high risk. A firm with low performance will seek greater risk and a firm with high performance will try to keep low risk. Bowman＇ s paradox also applies to China＇ s enterprises.