發(fā)布時間：2018-05-01 12:36

  本文選題：市場競爭 + 異質波動　； 參考：《華中科技大學》2012年碩士論文

【摘要】：本文旨在研究企業(yè)所面臨的產品市場競爭環(huán)境及其資產異質波動的關系。根據(jù)市場有效性假說，收益率異質波動在本質上反映了企業(yè)經營現(xiàn)金流和公司紅利的異質波動，而現(xiàn)金流和紅利則進一步意味著該影響來自于公司盈利與營業(yè)利潤。因此，在研究股票異質波動時，其必定與企業(yè)利潤率之間存在聯(lián)系。本文研究產品市場競爭與異質波動之間的關系，，并進一步基于自然避險與信息不確定的角度考察兩者的內在影響機制。結果發(fā)現(xiàn)：公司的市場力量與異質波動之間呈顯著負相關；這種負向關系主要來自于信息不對稱機制，即公司的市場力量通過影響投資者對該股票的未來平均利潤率的不確定性，進而間接影響股票的異質波動；同時，將競爭市場和異質波動聯(lián)系起來的另外一條途徑是自然避險機制，我們預測市場力量大的公司，其定價能力強，以此將競爭的風險轉嫁給消費者，但是通過實證檢驗，發(fā)現(xiàn)公司通過其市場力量作用于資產波動的自然避險機制，效果不明顯。本文的研究具有明晰的政策含義，即加強信息披露質量，降低信息不確定性，從而進一步降低市場波動。
[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.
【學位授予單位】：華中科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F830.91;F224;F276.6

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