本文選題：市場(chǎng)競(jìng)爭(zhēng) + 異質(zhì)波動(dòng)�。� 參考：《華中科技大學(xué)》2012年碩士論文

【摘要】：本文旨在研究企業(yè)所面臨的產(chǎn)品市場(chǎng)競(jìng)爭(zhēng)環(huán)境及其資產(chǎn)異質(zhì)波動(dòng)的關(guān)系。根據(jù)市場(chǎng)有效性假說(shuō)，收益率異質(zhì)波動(dòng)在本質(zhì)上反映了企業(yè)經(jīng)營(yíng)現(xiàn)金流和公司紅利的異質(zhì)波動(dòng)，而現(xiàn)金流和紅利則進(jìn)一步意味著該影響來(lái)自于公司盈利與營(yíng)業(yè)利潤(rùn)。因此，在研究股票異質(zhì)波動(dòng)時(shí)，其必定與企業(yè)利潤(rùn)率之間存在聯(lián)系。本文研究產(chǎn)品市場(chǎng)競(jìng)爭(zhēng)與異質(zhì)波動(dòng)之間的關(guān)系，，并進(jìn)一步基于自然避險(xiǎn)與信息不確定的角度考察兩者的內(nèi)在影響機(jī)制。結(jié)果發(fā)現(xiàn)：公司的市場(chǎng)力量與異質(zhì)波動(dòng)之間呈顯著負(fù)相關(guān)；這種負(fù)向關(guān)系主要來(lái)自于信息不對(duì)稱機(jī)制，即公司的市場(chǎng)力量通過(guò)影響投資者對(duì)該股票的未來(lái)平均利潤(rùn)率的不確定性，進(jìn)而間接影響股票的異質(zhì)波動(dòng)；同時(shí)，將競(jìng)爭(zhēng)市場(chǎng)和異質(zhì)波動(dòng)聯(lián)系起來(lái)的另外一條途徑是自然避險(xiǎn)機(jī)制，我們預(yù)測(cè)市場(chǎng)力量大的公司，其定價(jià)能力強(qiáng)，以此將競(jìng)爭(zhēng)的風(fēng)險(xiǎn)轉(zhuǎn)嫁給消費(fèi)者，但是通過(guò)實(shí)證檢驗(yàn)，發(fā)現(xiàn)公司通過(guò)其市場(chǎng)力量作用于資產(chǎn)波動(dòng)的自然避險(xiǎn)機(jī)制，效果不明顯。本文的研究具有明晰的政策含義，即加強(qiáng)信息披露質(zhì)量，降低信息不確定性，從而進(jìn)一步降低市場(chǎng)波動(dòng)。
[Abstract]:The purpose of this paper is to study the relationship between the competitive environment of product market and the heterogeneous fluctuation of assets. According to the hypothesis of market efficiency, the volatility of return heterogeneity reflects the heterogeneity of operating cash flow and corporate dividend in essence, while cash flow and dividend further mean that the effect comes from corporate profit and operating profit. Therefore, when studying the heterogeneous volatility of stock, there must be a relationship between it and the profit margin. In this paper, we study the relationship between product market competition and heterogeneous volatility, and further investigate their internal influence mechanism based on the perspectives of natural risk avoidance and information uncertainty. The results show that there is a significant negative correlation between market power and heterogeneous volatility, and this negative relationship mainly comes from asymmetric information mechanism. That is, the market power of the company affects the heterogeneity of the stock indirectly by influencing the uncertainty of the investor's future average profit margin of the stock; at the same time, Another way to link competitive markets with heterogeneous volatility is through natural risk-aversion mechanisms. We predict that companies with strong market forces have strong pricing power to pass on the risks of competition to consumers, but through empirical testing. It is found that the natural risk-averse mechanism by which the company acts on asset fluctuations through its market forces has no obvious effect. The research in this paper has a clear policy meaning, that is, to strengthen the quality of information disclosure, reduce information uncertainty, and further reduce market volatility.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.91;F224;F276.6

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