【作者】 李欣；

【导师】 冯芸；

【作者基本信息】 上海交通大学 ， 金融学， 2022， 博士

【摘要】 风险管理向来是企业治理架构的重要组成部分。然而,实业多元化、衍生品等常见的风险管理工具各有局限,如实业多元化通常面临委托代理关系、高额投资成本、交叉补贴等问题,而中国企业的衍生品使用积极性则远低于国际平均水平。相比之下,自股权分置改革以后,企业股权投资则兼具使用广泛、交易市场公开透明、投资成本可控且可灵活回收等诸多优势。因此,本文重点对企业股权投资用于企业风险管理的可行性、实际效果及其潜在负面影响进行全面、客观的评估,以期为我国企业的风险管理工具提供更加丰富的选择。从风险管理效果而言,企业股权投资既可能基于投资组合角度产生风险分散化效果,也可能基于控制权和生产关系等提升运营能力和市场地位,从而具备风险管理效果。从潜在的负面效果而言,企业股权投资既可能因成本过高提升财务风险,也可能因过度金融化和交叉持股资产联动产生资本市场风险。本文综合采用理论建模、文本分析、微观计量、仿真模拟、网络分析和空间计量等方法,对上述问题进行了深入考察。第一,基于大数据文本的企业关联测度。在普遍多元化运营的现实背景下,现有的针对企业的单一行业分类难以准确反映企业的行业属性。基于此,为深入考察股权投资的风险管理效果,本文采用中国三千四百万家企业的经营范围等信息,采用fast Text算法等文本分析手段测算了产业关联概率和实业投资、股权投资两种模式下的企业关联概率。第二,企业股权投资的风险管理效果分析。一方面,本文构建了基于利益相关者效用最大化的投资决策模型,并从实证角度考察了企业股权投资的风险分散化效果及其与实业多元化的互补、替代关系。另一方面,本文讨论了股权投资基于降低信息不对称、产业链整合、联盟和协同效应等,从生产运营层面出发的风险管理机制,并通过实证分析进行了考察。第三,企业股权投资的潜在负面影响。一方面,本文通过建立一个基于随机冲击和复杂网络的交叉持股价格联动模型,采用空间计量方法印证了交叉持股造成的资产联动。另一方面,本文从负面消息隐藏的视角探讨了企业金融类股权投资影响股价崩盘风险的机制,并创新性地考察了交叉持股在其中的作用。基于上述分析,本文主要结论如下。第一,从风险分散化视角,股权投资可有效降低企业特有风险和行业风险,行业跨度更大的股权投资更有助于处理行业风险,且股权投资与实业多元化存在替代关系,尤其是当二者均行业跨度较小、这种替代效应更强。第二,从生产关系视角,股权投资整体上对运营层面的上、下游行业风险解释力度较小,说明股权投资主要是通过分散化的机制降低了企业风险。第三,从交叉持股视角,发现持股网络形成的股价联动效应相对较弱,但市场波动对网络结构的变化更加敏感。第四,从金融化视角,发现企业对金融行业的股权投资存在显著的“脱实向虚”效应,针对金融业的长期股权投资和短期金融投资分别通过产生和隐藏负面消息加剧股价崩盘风险,而交叉持股则在其中产生了进一步助推作用,并导致了个股崩盘风险溢出效应。综上所述,企业股权投资在风险管理方面具备可行性。行业风险较高的企业可通过跨度较大的股权投资进行风险分散,以此弥补实业多元化成本和衍生品的不足,而特有风险较高的企业则可根据自身实力灵活选择股权投资或实业多元化策略。同时,监管层应注重甄别交叉持股中的高节点中心性企业,同时注重金融类投资信息披露,预防潜在的大规模资产联动和极端风险事件。更多还原

【Abstract】 Risk management has always been an important part of corporate governance.However,common risk management tools may have different kinds of limitations.For example,industrial diversifications may have principal-agent problems,high investment costs or cross subsidies,and the enthusiasm of Chinese enterprises to use derivatives is far lower than the international average.In contrast,since the implementation of share splitting reform,enterprise equity investment began to exhibit lots of advantages,such as widely used,open and transparent trading market,controllable investment cost and flexible recovery.Therefore,this thesis focuses on a comprehensive and objective evaluation of the feasibility,actual effect and potential negative impact of equity investment in enterprise risk management,in order to provide a new choice of risk management tools for Chinese enterprises.From the perspective of risk management effect,enterprise equity investment may not only have the effect of risk diversification based on the perspective of portfolio,but also enhance the operation ability and market position based on the right of control and production relations,so as to have the effect of risk management.From the perspective of potential negative effects,equity investment may not only increase financial risk due to high cost,but also generate capital market risk due to over financialization and generate asset price co-movement due to the cross-shareholding.This thesis combines a series of methods that including theoretical modeling,text analysis,micro econometric,simulation,network analysis and spatial econometric to investigate the above questions.First,enterprise correlation measurement based on big data text.Under the background of enterprise diversification,the existing single industry classification for enterprises is difficult to accurately reflect the industry attributes of enterprises.Thus,in order to further investigate the effect of risk management of equity investment,this thesis uses the business scope and other information of 34 million enterprises in China,and uses text analysis methods such as fast Text algorithm to calculate the industry association probability and the enterprise association probability under the two modes of enterprise investment(diversification and equity investment).Second,the effect of risk management of enterprise equity investment.On the one hand,this thesis constructs an investment decision-making model based on the utility maximization of stakeholders,and investigates the risk diversification effect of enterprise equity investment and its complementary and alternative relationship with industrial diversification from an empirical perspective.On the other hand,this thesis discusses the risk management mechanism of equity investment from the production and operation level based on reducing information asymmetry,industrial chain integration,alliance,and synergy,and measures it through empirical analysis.Third,the potential negative impact of equity investment.On the one hand,this thesis establishes a cross-shareholding based stock price co-movement model based on random shocks and complex network,and verifies the asset co-movement caused by cross-shareholding by means of spatial econometrics.On the other hand,from the perspective of negative news hiding,this thesis discusses the mechanism of financial equity investment affecting stock price crash risk,and innovatively examines the role of cross-shareholding in it.Based on the above analysis,the main conclusions of this thesis are as follows: First,from the perspective of risk diversification,equity investment can effectively reduce enterprise idiosyncratic risks and industry risks.Equity investment with a larger industry span is more helpful to deal with industry risks,and there is a substitution relationship between equity investment and industrial diversification,especially when both have a smaller industry span and this substitution effect is stronger.Second,from the perspective of production relations,equity investment as a whole has little explanation for the risks of upstream and downstream industries at the operation level,indicating that equity investment mainly reduces enterprise risks through the decentralized mechanism.Third,from the perspective of cross shareholding,it is found that the stock price linkage effect formed by the shareholding network is relatively weak,but the market fluctuation is more sensitive to the change of network structure.Fourth,from the perspective of financialization,it is found that the equity investment of enterprises in the financial industry has a significant " shifting from real to fictitious " effect.The long-term equity investment and short-term financial investment in the financial industry aggravate the risk of stock price collapse by generating and hiding negative news respectively,while cross shareholding further promotes it and leads to the risk spillover effect of individual stock collapse.To sum up,enterprise equity investment is feasible in risk management.Enterprises with higher industrial risk can diversify the risk through equity investment with larger span to make up for the shortage of diversification costs and financial hedging,while enterprises with higher idiosyncratic risk can flexibly choose equity investment or diversification strategy according to their own strength.Meanwhile,regulators should pay attention to the screening of enterprises with high node centrality in the crossshareholding network,and pay attention to the disclosure of financial investment information to prevent potential large-scale asset co-movement and extreme risk events.更多还原