摘要
随着金融服务实体经济的广度和深度显著拓展,实体部门“脱实向虚”趋势俨然成为结构性矛盾,企业金融化背后的动因及适度性成为亟需解决的议题.本文从企业应对风险与不确定性,以及追求股东价值的金融化驱动机制出发,构造以企业风险最小化和股东价值最大化为目标的投资组合优化问题,并获得不同目标下的金融资产最优配置,反映出企业风险、股东价值与企业金融化水平之间的非线性关系.在此基础上,基于企业金融化驱动机制反映金融化动机的特征事实,从企业自身的资产配置结构出发,结合特定目标下金融资产最优配置,提出企业金融化动机的判别准则,以及企业金融化适度性范围的确定方式.随之,我们选取中国代表性上市非金融企业为样本进行实证分析:关于金融化动机的判别,本文发现非金融企业部门虽然整体上仍然以“蓄水池”动机为主导,但“投资替代”动机倾向比较显著,不容忽视.不同行业之间、不同股权性质企业存在异质性,其中批发零售业和房地产业“投资替代”动机显著,非国有企业“投资替代”动机显著强于国有企业.关于企业金融化的适度性,本文发现非金融企业部门整体上金融化适度性水平偏低,尤其是信息技术业和电力、煤气及水生产供应业,金融化适度性显著低于平均水平,并且行业金融化水平有所不足,而批发零售业和房地产业则存在过度金融化现象.非国有企业金融化适度性显著高于国有企业,同时也存在过度金融化现象.本文的结论为企业金融投资决策和监管识别提供引导性建议.
With the significant expansion of the breadth and depth of financial services for the real economy,the real sector's“be diverted out of the real economy”trend has become a structural contradiction,and the motivation and appropriateness behind the enterprise's financialization have become an urgent issue to be resolved.This paper starts from the enterprise's response to risk and uncertainty,as well as the financialization drive mechanism to pursue shareholder value,and constructs the optimization problem of the investment portfolio intending to minimize enterprise risk and maximize shareholder value,and then obtains the optimal allocation of financial assets under different objectives reflecting the relationship between enterprise risk,shareholder value and the non-linear relationship between the levels of enterprise financialization.On this basis,based on the fact that the enterprise's financialization driving mechanism reflects the characteristics of the financialization motivation,we start from the enterprise's asset allocation structure.Combined with the optimal allocation of financial assets under specific objectives,we propose the criteria for determining the enterprise's financialization motivation and the appropriate scope of the enterprise's financialization.Then,we selected the representative listed non-financial enterprises in China as a sample for empirical analysis:As for the identification of the motivation of financialization,this paper found that although the non-financial enterprise sector is still dominated by the“reservoir”motivation,the whole,the“investment substitution”motivation is more significant and cannot be ignored.There is heterogeneity among different industries and enterprises with different equity natures,among which the motivation of“investment substitution”in the wholesale and retail industry and real estate industry is significant,and the motivation of“investment substitution”in non-state-owned enterprises is significantly stronger than that in state-owned ente
作者
黄哲豪
杨存奕
李正辉
HUANG Zhehao;YANG Cunyi;LI Zhenghui(Guangzhou Institute of International Finance,Guangzhou University,Guangzhou 510405,China;Lingnan College,Sun Yat-Sen University,Guangzhou 510275,China)
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2023年第6期1545-1567,共23页
Systems Engineering-Theory & Practice
基金
国家社会科学基金(21CTJ014)
广东省自然科学基金卓越青年团队项目(2023B1515040001)。
关键词
企业金融化
投资组合优化
结构化模型
破产风险
股权定价
financialization of enterprises
portfolio optimum
structure model
bankrupt risk
equitypricing
