企业“脱实向虚”如何传染?——基于同群效应的视角

How does “Transforming the Economy from Substantialto Fictitious” Spread? Based on the Perspective ofPeer Effects

近年来,越来越多的非金融企业将大量的资金投资于金融资产,使得我国经济出现了明显的“脱实向虚”趋势。文章基于同群效应的视角,考察了我国企业金融化行为传染效应的存在性、发生机制及其经济后果。利用2007−2016年间沪深A股上市公司的数据,文章研究发现,企业的金融化决策存在显著的传染效应,企业的金融化程度与同行业或同省份其他企业的平均金融化程度显著正相关,该结论在控制内生性问题后仍然成立。“信息学习”动机和“代理成本”是驱动企业金融化同群效应的潜在原因,主要表现为具有信息劣势的追随企业倾向于模仿具有信息优势的领导企业的金融化行为,但反之不成立;并且,外部信息环境越差、不确定性程度越高、代理成本越高,企业金融化的同群效应越强。进一步研究发现,基于同群效应的金融化降低了企业的特质风险,但增加了企业面临的系统性风险和总体风险。文章的研究为理解我国经济“脱实向虚”的发生机制及经济后果提供了一个新的微观视角。

In recent years,more and more non-financial enterprises have invested a large amount ofcapital in financial assets and resulted in an obvious trend of “transforming the economy from substantial tofictitious” in China,which has attracted continuous attention from the government and academia. Existing researchesusually assume that enterprises’ financialization decisions are independent of other enterprises,whilelittle literature considers the interaction between different enterprises’ financialization decisions,that is,thecontagion effect of enterprises’ financialization behaviors.Using the data of Chinese listed firms from 2001 to 2016,this paper investigates the existence,mechanismand economic consequences of the contagion effect of financialization behaviors based on the perspectiveof peer effects. This paper concludes that it is a significant contagion effect in the financialization decision of enterprises,and the degree of financialization is significantly positively correlated with the average degree offinancialization of other enterprises in the same industry or province. To overcome endogeneity,we employ aninstrumental variable approach based on peer firms’ average stock idiosyncratic returns and idiosyncraticvolatility. Our results are still robust even after controlling endogeneity. Besides,our results are also robust byconducting a series of other robust tests. Furthermore,we explore the motivation of financialization peer effectsfrom three aspects:information learning,maintaining competitive balance and reducing agency cost. Theresults show that the motivation of “information learning” and “agency cost” is the potential reasons drivingthe financialization peer effect of enterprises. Specifically,follower enterprises with information disadvantagesare inclined to imitate the financialization behavior of leader enterprises with information advantages inthe same industry and province,otherwise,it is not true. The peer effect of financialization is more pronouncedamong enterprises that face environment with a higher degree of information asymmetry,and a higherdegree of uncertainty. And the peer effect of financialization of enterprises with higher agency cost (stateownedenterprises or enterprises with more serious director corruption) will be stronger. In addition,we examinethe economic consequences of enterprise financialization peer effects,and find that the financializationbased on peer effects reduces the idiosyncratic risk of enterprises while increases the systemic risk and the totalrisk.The main contributions of this paper are that:(1) It provides a new microscopic perspective for understandingthe occurrence and strengthening mechanism of “transforming the economy from substantial to fictitious”in China. (2) It expands the literature on enterprise financialization. (3) It enriches the research on thepeer effect of financial decision-making.