互联网时代零售业上市公司资本资产定价模型研究

The Research of Capital Asset Pricing Model for Listed Retail Companies in Internet Era

互联网时代背景下,互联网技术改变了零售业上市公司的经营决策、产品创新、价值生产及资源控制等环节。本文对零售业上市公司的研究发现,互联网溢价已经影响了零售业上市公司的资本资产价值,并且是通过互联网技术影响其他生产要素的价值创造过程实现的。本文考虑互联网技术渗透度,构建资本资产定价四因子模型,该模型在零售业上市公司的运用通过了稳健性检验和新冠肺炎疫情下危机行情的异质性检验。进一步研究发现,对于大规模、高账面/市值比的零售业上市公司以及高账面/市值比的互联网零售业上市公司,四因子模型拟合效果更加显著。

In recent years,the reshaping of the business model has become a hot topic for discussion in academic circles.Under the background of the Internet era,the internet technology is reshaping the traditional format of the retail production,operation and sales profits,creating value from the aspects of the business model,product sales and the service innovation.Then the question is:Has the Internet technology affected the value of capital assets?If the Internet technology premium already exists in the capital market,the applicability of the capital asset pricing model will encounter challenges.This study selects the retail companies listed on NASDAQ before January 2015 as the research sample to carry out an empirical analysis of the panel data from January 2015 to March 2020.It is found that the Internet technology has generated the Internet technology premium by integrating into the chain of the operation and the value creation of the listed retail companies.Assuming that the Internet technology premium will affect the value of the capital assets,this paper constructs a four-factor model based on the Fama-French three-factor model and groups the listed retail companies according to whether they are Internet retail companies.The results of the study are as follows:(1)The application of the four-factor model in the listed retail companies has passed the robustness test.For the listed retail companies,the four-factor model improves the applicability of the Fama-French three-factor model on stock returns.(2)Mechanism analysis shows that the Internet technology does not directly affect the stock yield,and the logic of the Internet technology value creation is to produce value through affecting other factors in the production process.(3)The empirical results explain the"abnormalcy"of the capital asset pricing model.Firstly,the phenomenon of stocks with high B/M ratio having higher returns than those with low B/M ratio is the result of the data mining;Secondly,the return rate of the small-scale and high B/M value ratio portfolio is higher than that of other portfolios.(4)For the listed companies with big size and high B/M ratio,the applicability of the four-factor model is more significant for the listed companies in the Internet retail industry with high B/M ratio.Further study is conducted on the stock market under the situation of COVID-19.The results show that the four-factor model has passed the heterogeneity test under different market conditions,and has improved the application of the stock returns of the listed Internet retailcompanies.Besides,the performance of the four-factor model in the Internet retail industry is better than that in the non-Internet retail industry.The Internet technology is the core productivity of the new generation of the technological revolution.The value creation of the Internet technology has brought about both opportunities and challenges to the revision and discussion of the traditional financial theory.This paper starts from the capital asset pricing model and expands the applicability of the model in the listed retail companies.As the starting point of the exploration of the financial model in the Internet era,it can provide reference for the revision of the financial model in the Internet era.