融资约束、系统风险与资产定价

Financing Constraint,Systemic Risk and Asset Pricing

本文在控制市场和公司规模等因素的基础上,检验了中国A股市场中具有融资约束的公司股票是否具有更高的风险和预期收益率。实证结果显示,融资约束通过影响公司的系统风险对公司资产定价产生影响,即具有较高融资约束程度的公司,其具有较高的系统性风险;但融资约束并不能成为独立的定价因子对股票收益率产生贡献,它通过影响公司的系统风险对公司股票定价产生影响。这表明中国资本市场在一定程度上能够以资产价格的形式反映出企业的融资约束高低,但资本市场的定价功能未得到充分发挥。

On the basis of controlling factors such as market and company size,this paper inspects whether or not the stock of the company,which is listed in China's A-share market and faces financing constraint,has a higher risk and a higher expected return.The empirical results show that financing constraint impacts the systemic risks of company and then impacts the pricing of company asset,which means that the more financing constraint the company faces,the higher the systemic risks are.However,financing constraint can not be an independent pricing factor to impact return on stock and it impacts the pricing of company stocks through its influence on systemic risks,which means that,to a certain extent,the price of asset in China's capital markets can reflect the level of financing constraint,but the pricing function of capital markets has not been fully realized.