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劳动投资效率、企业性质与资产收益率 被引量:50

Labor Investment Efficiency,Property Rights and Stock Returns
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摘要 本文考察我国上市公司的劳动投资效率对企业股票收益率的影响。研究发现:第一、劳动投资效率高的公司,其股票收益率显著高于劳动投资效率低的公司。FamaMac Beth回归显示,劳动投资效率作为风险因子显著地影响股票收益率。第二、劳动投资效率与股票收益率显著正相关,且民营企业尤为明显。第三、劳动密集型企业的劳动投资效率上升显著地提升了股票收益率。最后,为了解决潜在的内生性问题,本文使用劳动合同法作为工具变量,发现结论依然不变。整体上,本文从新的角度对资产定价影响因素进行了探索,并给监管部门提供了清晰的政策参考,即在提高就业率的同时,要兼顾微观企业的劳动投资效率,才能更好地优化就业资源配置。 This paper estimates the labor investment efficiency and investigates its influence on the stock returns. The study shows that : ( 1) The average return of high labor investment efficiency stocks is higher than that of low investment stocks, and by running Fama - MacBeth regression, we learn that labor investment efficiency is an insignificant risk factor that systematically influence stock returns. (2) Improving enterprise labor investment efficiency can increase the current stock returns, especially for the private enterprises. (3) The labor- intensive enterprises improve more significant on the stock returns. (4) This paper uses the labor contract law as instrumental variable to solve the latent endogenous problem, and we find the conchlsion remains unchanged. On the whole, this paper has a new angle exploring the influence factors on the asset pricing, and has a clearly policy implications to the regulators, that is, to better optimize the resources distribution of employment, both the employment rate and enterprise labor investment efficiency should be taken into consideration concurrently.
出处 《金融研究》 CSSCI 北大核心 2017年第3期145-158,共14页 Journal of Financial Research
基金 国家自然科学基金项目(71372130 71602074 71173078) 中组部“青年拔尖人才”计划的资助
关键词 劳动投资效率 企业性质 资产收益率 风险因子 Labor Investment Efficiency, Property Rights, Stock Returns, Risk Factor
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