资产配置金融化上市公司股票价格风险研究

Research on Stock Price Risk of Listed Companies with Asset Allocation Financialization

随着我国经济金融化程度的不断加深,金融资产配置已成为上市公司资产的重要组成部分,对上市公司价值产生重要的影响。本文以2003-2016年中国A股上市公司为研究样本,基于资本资产定价模型,实证检验上市公司金融资产配置对股票价格风险的影响。研究发现,上市公司金融资产配置与股价系统风险和非系统风险均正相关,表明上市公司在金融资产上的配置显著增加了上市公司股价波动受市场指数影响的敏感性程度,也提高了未被市场指数解释的股价特质性波动。按上市公司产权性质和杠杆水平分类回归显示,上市公司金融资产配置对国有上市公司和高杠杆上市公司股价风险的影响更大。

With the continuous deepening of China＇s economic financialization, financial asset allocation has become an important part of corporate assets, which has an important impact on corporate value. This paper takes China＇s A-share listed companies in 2003-2016 as a research sample, based on the capital asset pricing model, empirically tests the impact of corporate financial asset allocation on stock price risk. The study finds that corporate financial asset allocation is positively correlated with stock price system risk and non-system risk, indicating that the allocation of financial assets in enterprises significantly increases the sensitivity of corporate stock price fluctuations affected by market indices, and also improves the interpretation of market indices. The stock price volatility. According to the classification of the nature of enterprise property rights and the level of leverage, the financial asset allocation of enterprises has a greater impact on the stock price risk of state-owned enterprises and highly leveraged enterprises.