经营业务竞争与股票收益——基于财务报告文本附注的分析

Business Competition and Stock Return: Evidence from Textual Analysis of Chinese Financial Report Notes

本文通过上市公司财务报告文本附注中披露的经营范围信息构建市场中心度指标,考察公司经营业务竞争强度对于股票收益率的影响。研究发现,经营业务竞争越激烈的公司,由于具有更高的系统性风险,包括创新风险和破产风险,投资者要求更高的风险补偿,因而具有更高的股票收益率。在与衡量经营业务竞争的传统变量相比、以及使用不同分词的稳健性检验后,该结论依然成立。该指标的建立能够比传统行业分类更有效地反映公司个体层面竞争水平的异质性,对于理解上市公司所处竞争结构以及风险评估具有一定的参考价值。

By constructing the market centrality index through business descriptions disclosed in financial report notes,we examine whether company's business competition impact its stofk return.The results show that companies with higher business competition have higher stock returns due to larger systematic risk including innovation risk and bankruptcy risk,where investors demand higher risk compensation,even after using alternative cutting methods lor Chinese characters,and comparing with traditional business competition variables.Our research on such new competition variable can reflect the heterogeneity of competition at firm level more effectively than traditional industry classification,which also provides some value for understanding the market competition structure and risk assessment of public companies.