公司治理（环境）、产品市场竞争与股票特质性风险

The distribution characteristics of stock returns and the effects of corporate governance on stock prices are the important proposition of corporate finance. Our previous studies and foreign research showed that intense product market competition (PMC) will lead to the sharp increase in stock idiosyncratic risk, and exacerbate the significant divergence between idiosyncratic risk and stock returns. For the idiosyncratic risk' causes, change and its connotation, we need to seek a new explanation in the broader aspects of the governance environment, that is, set an "efficiency frontier" for the competition. Improvement of corporate governance environment can undoubtedly promote a higher quality of product market competition. In the aspects of effectively improving the stock price information content (corresponding to the higher idiosyncratic volatility), relieving the significant deviation between stock idiosyncratic risk and its return, and thus continue to enhancing the quality of inter-company competition and its performance, Optimizing the structure of industry competition or cultivating significant company competitive advantage are consistent with improving corporate governance environment. Inspired by the multi-dimensional theory as industrial organization, market structure, corporate governance or foreign latest research, and based on the innovative perspective of PMC, and combined with the interactive effect of the "PMC-Governance" or "Governance-Risk" findings, this project takes corporate governance considerations into the connection of "PMC-Risk" for the first time, and thus provides in-depth and consistent interpretation of the idiosyncratic risk' causes, change and its connotation for our listed companies. This helps to examine the efficiency of China's capital market as well as the overall governance environment from the micro perspective of the idiosyncratic risk on the other hand, and then provides inspiration for their improvement.

项目前期研究及国外最新成果表明，产品市场的剧烈竞争会导致股票特质性风险的激增，并加剧其与回报的普遍背离，对于特质性风险的成因、变化及其内涵，还须在治理环境的更广层面寻求新的解释，即须为竞争设置一个"效率边界"，公司治理环境的改善无疑能促进更高质量的市场竞争。在有效提升股价信息含量（对应着较高的特质性波动）、缓解股票特质性风险与其回报的明显背离、进而持续提升公司间竞争质量及其绩效方面，优化行业竞争结构或培育公司显著的竞争优势与完善公司治理环境"殊途同归"。受产业组织、市场结构理论及公司治理等多元理论和国外最新研究启发，项目基于产品市场竞争的创新视角，并结合"竞争-治理"互动效应等研究成果，在"竞争-风险"关联中首次纳入公司治理考量，为我国上市公司股票特质性风险成因、变化及其内涵提供纵深而一贯的解释，亦有助于从特质性风险之微观视角"反观"我国资本市场的效率乃至整个治理环境，为其革新提供启示。

国内外诸多研究表明，产品市场的剧烈竞争会加剧公司的特质性回报波动（IR），并导致其与回报的普遍背离。本项目基于产品市场竞争（PMC）的中宏观视角，在“竞争-风险”关联中首次纳入公司治理（环境）考量，以中国工业企业及沪深A股上市公司2000～2013年数据为样本，从公司微观治理机制（包括股权/控制权结构、公司内部的整体治理水平CGI）及其所在的中宏观治理环境（行业的国有股比重ROG、市场化程度）两大层面，纵深考察“治理-竞争-波动”关联。.项目研究发现：中国资本市场的特质性风险已处于较高水平，且具有明显的阶段波动特征；产品市场竞争与特质性波动呈显著的非线性关系，产品市场的适度竞争（行业结构相对集中、公司市场势力更为显著时）能有效缓解特质性波动；弱化的公司治理（环境）在加剧竞争的同时，还会加剧特质性回报波动，特别是在国有股比重（ROG）更大的行业，其回报波动更为显著，我国以国企为主体的上市公司间竞争以及以国有经济为主导的行业竞争格局“畸形”依旧；成长性差异是影响“竞争-风险”关系及其治理的重要环境因素，在政府更倾向于优先支持“国字号、规模大、势力强、成长快、技术新”特征企业的“理性”偏好背景之下，高成长性（机会）成为国企巩固其已有优势的更有利基础（相对于民企）；更好的公司治理（环境）能够有效抑制市场的过度竞争及其引致的显著特质性波动（即会弱化“竞争-风险”正相关关系），进而有效提升产品市场竞争的质量或效率（可为PMC设置“效率边界”，以使竞争效率不至于“倒U 型”递减）。.项目的研究不仅为市场的过度竞争及其引致的特质性回报波动的有效治理提供了经验证据，同时也从产品市场竞争的中宏观视角“重申”了国企的“双重效率损失”（国企的日益做大“双向加剧”了行业的行政性垄断与无序竞争，进而引致显著的特质性波动），为中国行业“双低并存”的畸形竞争格局以及各行业“国企独大”的双重危害，提供了基于产品市场竞争（PMC）之传导路径的可信解释。