企业金融资产配置如何影响股价崩盘风险?——基于期限结构异质性视角下的机制检验

How Does Corporate Financial Asset Allocation Affect the Risk of Stock Price Collapse?——An Inspection of Mechanism from the Perspective of Term Structure Heterogeneity

本文利用2007-2017年中国上市企业数据集,构建实证模型研究企业金融资产配置对股价崩盘风险的影响。与既有研究不同,本文不仅考虑“金融资产配置-股价崩盘风险”之间的关系,还将金融资产配置的期限结构差异引入上述研究框架。研究发现,金融资产配置对股价崩盘风险有着明显的期限结构异质性影响:短期金融资产配置显著地提升了企业的股价崩盘风险,而长期金融资产配置对其却存在较强的抑制作用。从传导因素来看,短期金融资产配置导致了企业的主业“空心化”,提升了股价崩盘风险,而长期金融资产配置降低了企业的短视偏向,有助于抑制股价崩盘风险,特别是,长期金融资产配置有助于降低企业所面临的环境不确定性,从而降低股价崩盘风险,而短期金融资产配置无此功效。最后,不同性质企业的金融资产配置行为对股价崩盘风险有着明显差异化的影响。本项研究从期限结构的视角丰富了企业金融资产配置的研究,还对当前中国金融市场改革和当前政府出台“脱实向虚”的经济政策具有重要启示价值。

This article uses the data sets of Chinese listed companies from 2007 to 2017 to study the impact of corporate financial asset allocation on the risk of stock price crash.It not only considers the relationship between financial asset allocation and stock price collapse risk,but also introduces the heterogeneity in the term structure of financial asset allocation into the research framework.The study finds that financial asset allocation has significantly heterogeneous effects on the term structure of stock price crash risk,as short-term financial asset allocation increases the risk of corporate stock price crash while long-term financial asset allocation has a strong inhibitory effect.Short-term financial asset allocation leads to the“hollowing out”of the company s main business,which increases the risk of stock price collapse,while long-term financial asset allocation reduces companies myopia bias,which helps to curb the risk of stock price collapse.In particular,long-term financial asset allocation reduces the environmental uncertainty that companies face while short-term financial asset allocation has no such effect.