世界经济 ›› 2021, Vol. 44 ›› Issue (1): 151-173.

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宏观经济政策与企业资产配置有效性:基于夏普率的分析

吕之安1, 李少育2   

  1. 1. 上海财经大学金融学院;
    2. 华南师范大学国际商学院
  • 出版日期:2021-01-10 发布日期:2021-01-23
  • 通讯作者: 李少育(通讯作者):华南师范大学国际商学院,电子信箱:lishaoyu2007@aliyun.com。 E-mail:lishaoyu2007@aliyun.com
  • 作者简介:吕之安:上海财经大学金融学院电子信箱:lzafinance@163.com
  • 基金资助:
    国家自然科学基金青年项目(71301131)的资助。

Macroeconomic Policies and Asset Allocation Efficiency of the Listed Companies in China:An Analysis Based on the Sharpe Ratio

Lyu Zhian1, Li Shaoyu2   

  • Online:2021-01-10 Published:2021-01-23

摘要: 本文通过构建夏普率指标来衡量企业资产配置有效性。研究发现,驱使企业投资风险金融资产的因素降低了金融资产配置的有效性。企业配置风险金融资产的预防性储蓄动机削弱了经营资产配置的有效性,追逐利润动机则不会。“四万亿”政策使风险金融资产配置的有效性持续增加,而经营资产配置的有效性持续降低,表现出脱实向虚的趋向;“四万亿”重点刺激行业的风险金融资产配置有效性增长超过其他行业;供给侧改革时期,经营资产配置的有效性逐渐恢复,但有融资优势的国有企业拉开与非国有企业风险金融资产配置有效性的差距。结论表明,力度过大的宏观调控会给实体与金融带来结构性失衡风险。

关键词: 风险资产配置有效性, 夏普率, 样本选择模型, 双重差分

Abstract: Estimating the Sharpe ratio of corporate risky assets is an important step forward and it presents a difficulty in analysing the micro-behavioural changes of companies listed in China under macroeconomic policies. Based on the reorganisation of the corporate financial statements, this paper constructs for the first time an indicator of the Sharpe ratio to measure the corporate risky financial and operating asset allocation efficiency. Using Heckman's model to study the Sharpe ratio influencing factors on risky financial assets, the paper finds that the factors driving companies to invest in risky financial assets have an opposite effect on allocation efficiency. The study finds that:the "four trillion" policy has been aggravating the structural problems in the economy, leading to a continuous increase in the Sharpe ratio of corporate risky financial assets and to a continuous decline in that of operating assets, reflecting a "transformative trend from reality to the fictitious"; the growth of the Sharpe ratio of corporate risky financial assets for companies, mainly stimulated by the "four trillion" policy, outweighs that of other companies; and during the "supply-side reform" period, the Sharpe ratio of operating assets gradually recovered, but the gap in the Sharpe ratio of risky financial assets between state-owned and non-state-owned companies was significantly widened due to the financing advantages of state-owned companies.

Key words: risky asset allocation efficiency, Sharpe ratio, Heckman's sample selection model, difference-in-differences (DID) technique