客户集中度和股价崩盘风险的关系研究

【作者】 张超；

【导师】 彭浩东；

【作者基本信息】 南京师范大学 ， 金融学， 2019， 硕士

【摘要】 2018年6月沪深股市有234支股票被纳进MSCI指数,投资者称这一事件为“A股入摩”。“A股入摩”标志着我国股市发展获得国际资本的重视。然而,沪深股市在2008和2015年的大崩盘表明我国股票市场仍然不稳定。在十九大会议中,习主席指出,我国经济不应当只关注增长速度更应当重视增长质量,高质量的经济增长才能够降低经济发展中的风险。因而寻找股价崩盘的影响因素以及预防股市的崩盘的方法是我国现阶段发展急需处理的问题。价值投资理论认为,股价的崩盘源于企业自身价值低于企业股票价格。在深入挖掘了众多国内外关于股价暴跌风险的文献后笔者发现,较少有学者从客户这一重要利益相关者的角度研究其和公司股价崩盘风险的关系。因此,本文从反映企业价值的基本面指标中选取客户集中度作为解释变量,以A股2008-2016年所有上市企业为样本,分析国内公司客户集中度和股价崩盘的关系。并结合我国国情按照企业性质分为国有组和民营组检验企业性质对于两者的关系是否有影响。之后,本文基于会计稳健性衡量指标C-SCORE、供应链整合引起的业绩改善指标Tobinq以及企业综合风险变化指标DTLt_DTLt-1这三个中介因子使用中介效应模型分析客户集中度和股价崩盘风险的传导路径,研究会计稳健性、经营业绩表现以及企业综合风险变化这三条路径是否存在对客户集中度和股价崩盘风险的传导作用。在检验完三者的中介效应之后,本文将全部样本依据外部制度环境的高低、市场竞争程度的高低、应收账款周转率和存货周转率的高低分成八个样本组进行实证,进一步分析影响机理。本文的研究结果表明,在A股市场中,客户集中度和股价的暴跌显著负相关。在民营企业中,客户集中度抑制股价崩盘的作用更加显著,而在国有公司中双方的负相关性并不明显。进一步的中介效应测试结论显示,会计稳健性和供应链整合引起的经营业绩的改善是客户集中度和股价崩盘风险关系的两条传导路径。通过更进一步的分组实证研究,我们发现在外部制度环境较高、产品市场程度较低的样本组中,客户集中度与股票崩盘风险之间没有显著的负相关关系,而在外部制度环境较低、产品市场程度较高的样本组中,客户集中度能够抑制股价的暴跌;在应收账款周转比率较高、存货周转比率较高的样本组中,客户集中度和股价崩盘风险的负相关关系并不明显,而在应收账款周转比率较低、存货周转比率较低的样本组中,客户集中度能够缓解股价的暴跌。更多还原

【Abstract】 In June 2018,234 stocks of Shanghai and Shenzhen stock market were included in the MSCI index.Investors called the event "MSCI inclusion of A shares".This event marks that the development of China’s stock market has gained the attention of the international capital.However,the crash of A shares in 2008 and 2015 shows that China’s stock market is still unstable.At the Nineteenth National Congress,President Xi pointed out that China’s economy should not only focus on the growth rate,but also on the quality of growth,because only high-quality economic growth can reduce the risks in economic development.Thus to find the influence factors of share price collapse and how to prevent the stock market crash are two problems that need to be solved urgently at the present stage of China’s development.Value investment theory holds that the collapse of stock price results from the fact that the value of the enterprise itself is lower than the stock price of the enterprise.After studying a large number of domestic and foreign literatures on the risk of stock price collapse,we find that few scholars study the relationship between customers,an important stakeholder,and the risk of stock price crash.Therefore,this thesis chooses customer concentration as explanatory variable and takes all listed companies in A-share market from 2008 to 2016 as research samples to analyze the relationship between customer concentration and share prices collapse.Under the background of China’s national conditions,we divide all samples into state-owned group and private group to test whether the nature of enterprises has an impact on the relationship between them.Then,this thesis uses intermediary effect model to analyze the transmission path of customer concentration and stock price crash risk which based on Accounting Conservatism measurement index C_SCORE,performance improvement index Tobinq caused by supply chain integration and enterprise comprehensive risk change index DTLt_DTLt-1.The thesis studies whether the three paths of accounting conservatism,business performance and enterprise comprehensive risk change have a conductive effect on customer concentration and stock price crash risk.After examining the intermediary effect of the three paths,in order to provide further evidence for the transmission path mentioned above,this thesis further divides all samples into eight groups to examine according to the level of external institutional environment,market competition,accounts receivable turnover rate and inventory turnover rate.The results of this study show that there is a significant negative correlation between customer concentration and stock price crash risk in A-share market.The effect of customer concentration on the risk of stock price crash is more significant in private enterprises,while the negative correlation between them is not significant in state-owned enterprises.The results of intermediary effect show that accounting conservatism and the improvement of business performance are two transmission paths of the relationship between customer concentration and risk of stock price crash.Through further grouping empirical research,we find that there is no significant negative correlation between customer concentration and stock price crash risk in the group with higher external institutional environment and lower product market level,while in the group with lower external institutional environment and higher product market level,customer concentration can restrain the risk of stock price collapse.There is no significant negative correlation between customer concentration and stock price crash risk in the group with higher accounts receivable turnover ratio and higher inventory turnover ratio,but in the group with lower accounts receivable turnover ratio and lower inventory turnover ratio,customer concentration can restrain stock price crash risk.更多还原