通货膨胀如何影响股票回报——基于债务融资的视角

How Inflation Affects Stock Returns——Based on the Perspective of Debt Financing

大部分研究发现实际通货膨胀率与股票回报呈现出负相关关系,但对于两者为何呈现这样的关系并未提供相关的实证证据。我们认为其主要原因在于缺乏通货膨胀到股票回报之间中间渠道的认识与分析。因此,本文依据我国通货膨胀指标,基于通货膨胀影响企业债务融资行为的研究视角,实证检验发现,当通货膨胀率上升时,企业会增加债务融资,而债务融资比例的上升进一步提升了企业风险,并且通货膨胀与股票回报的负相关关系主要通过债务融资渠道进行传导;上述现象在国有企业以及融资约束较弱的企业表现得更为明显。本文的研究为通货膨胀与股票回报之间的负相关关系提供了微观层面的解释视角。

Most of the researches find that actual inflation is negative with stock returns, but few of them provide the empirical evidence on why the relationship is negative. We think the main reason is that most of them lack of understanding the channel between inflation and stock returns. In this paper, we find that enterprises will increase the debt financing when the inflation rate rises based on the inflation index in our country, and then risk of enterprises increase. Furthermore, we find the main channels between inflation and stock returns negative correlation is debt financing. The above phenomenon is more obvious in those enterprises that ownership is state - owned and financing constraints is weaker. In this paper, we provide the interpretation that inflation and stock returns is negative relationship on the micro level.