CAJ | 학술논문

国外诸多研究将近几十年来美国乃至全球资本市场上公司股票特质性风险或其回报波动的显著增加，以及公司产品市场竞争业绩与其股票市场绩效的关联性下滑，直接归咎于经济领域内日趋激烈的竞争。本文首次关注我国资本市场是否存在上述现象：我国上市公司股票特质性风险的显著增加（若有）是否应该归咎于产品市场竞争的加剧？集中的行业结构和显著的市场势力是否能够有效缓解我国上市公司的特质性风险或其回报波动？本文基于“竞争结构一风险预期一回报波动”关联视角的理论分析和实证研究表明：我国上市公司股票特质性风险——至少近十年来——亦呈现显著增加的趋势，特质性风险与其市场风险水平的明显“背离”虽国内外皆然，但其背离的“性质”却显著不同，我国股市的投机性、政策性特征更为明显；特质性风险的显著增加与我国上市公司产品市场竞争的加剧显著正相关；相对集中的行业结构与显著的市场势力能够有效弱化公司股票特质性风险而稳定公司回报。
국외제다연구장근궤십년래미국내지전구자본시장상공사고표특질성풍험혹기회보파동적현저증가，이급공사산품시장경쟁업적여기고표시장적효적관련성하활，직접귀구우경제영역내일추격렬적경쟁。본문수차관주아국자본시장시부존재상술현상：아국상시공사고표특질성풍험적현저증가（약유）시부응해귀구우산품시장경쟁적가극？집중적행업결구화현저적시장세력시부능구유효완해아국상시공사적특질성풍험혹기회보파동？본문기우“경쟁결구일풍험예기일회보파동”관련시각적이론분석화실증연구표명：아국상시공사고표특질성풍험——지소근십년래——역정현현저증가적추세，특질성풍험여기시장풍험수평적명현“배리”수국내외개연，단기배리적“성질”각현저불동，아국고시적투궤성、정책성특정경위명현；특질성풍험적현저증가여아국상시공사산품시장경쟁적가극현저정상관；상대집중적행업결구여현저적시장세력능구유효약화공사고표특질성풍험이은정공사회보。
Growing literature has directly attributed the significant increasing trend of idiosyncratic return volatility in the U. S. and global capital markets over the past few years and the inter-related decline in firms＇ product market competition performance and its stock market efficiency to the increasingly fierce economy-wide competition. This paper focuses on whether our capital market also has such phenomenon？ Whether the significant increasing trend of idiosyncratic risk of our listed companies （if） and its performance＇ s inter-related decline should also attributed to the more intense economy-wide competition in China？ Whether the more concentrated industry structure or firms＇ significant product market power can help to alleviate idiosyncratic risk or its frequent return volatility？ Based on the related perspective of＇＂ structure-risk-return＂, the empirical results show that ： at least over the past decade, the listed companies＇ stock idiosyncratic risk in China is also indeed showing a significant increasing trend; The paper argues that this finding is attributable to the more intense product market competition; despite the significantly divergence of idiosyncratic risk and market risk exists both at home and abroad, the ＂nature＂ of divergence was significantly different; and the more concentrated industry structure or firms＇ significant product market power can effectively weaken the idiosyncratic risk and stabilize the firms＇ stock return.