雪上加霜:企业金融化会降低资本市场定价效率吗?

Adding Insult to Injury: Does Corporate Financialization Reduce the Efficiency of Capital Market Pricing?

基于企业金融化这一热点问题,文章利用2009—2018年A股上市公司财务和股票市场数据,研究了企业金融化与资本市场定价效率之间的关系。结果发现,企业金融化推升了股价同步性水平,使我国本就较低的资本市场定价效率“雪上加霜”。从持有金融资产的类型看,企业持有流动性较差金融资产是推升股价同步性的主因。进一步的作用机制检验表明,企业金融化通过降低企业主业业绩和机构持股比例,提升了股价同步性水平。文章的研究结论从微观层面揭示了经济“脱实向虚”作用于资本市场定价效率的新渠道。

Based on the hot issue of corporate financialization,the article examines the relationship between corporate financialization and capital market pricing efficiency using financial and stock market data of A-share listed companies from 2009-2018.It is found that corporate financialization pushes up the level of stock price synchronicity, "adding insult to injury" to China’s already low capital market pricing efficiency.In terms of the types of financial assets held,the main reason for the increase in stock price synchronization is that firms hold illiquid financial assets.Further mechanism of action tests show that corporate financialization raises the level of stock price synchronicity by reducing the performance of the main industry and the ratio of institutional ownership.The findings of the article reveal new channels through which the " derealization" of the economy can affect the pricing efficiency of the capital market at the micro level.