产品市场竞争对股票市场影响研究
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摘要
长久以来,金融学的文献将产品市场与金融市场视作两个相互隔离的市场进行研究,忽视了产品市场竞争对股票市场的影响。一般来说,企业在产品市场上相互竞争产生具有不确定性的现金流。而企业的市场力量(market power)会直接影响现企业现金流不确定性的大小,企业的市场力量越大,抵御风险、抗击冲击的能力越强,现金流的不确定性越小。相应地,在股票市场上,股票分析师对上市公司的现金流进行预测,并通过各种媒介传递给股票投资者,股票投资者根据对上市公司未来现金流的预期对股票进行定价,因此产品市场竞争对股票市场应该有重要影响。本文从产品市场竞争的视角,系统性地研究了产品市场竞争对股票市场的影响,发现产品市场竞争是影响股票市场的一个重要因素。本文的研究结果弥补了现有文献的不足,在一定程度上加深了我们对产品市场竞争与股票市场关系的认识。
改革开放以来,我国逐步确立建立社会主义市场经济的目标,逐渐从计划经济体制向市场经济体制转型,市场经济逐渐成为资源配置的主要方式,经济的市场化程度不断提高。在国企改革过程中,民进国退,国有企业逐渐退出竞争性行业和领域,民营企业不断进入新的行业和领域,民营经济比重不断提高。2002年我国加入世界贸易组织,进口关税大幅降低,大量国外商品进入国内市场。同时国外产业资本以QFII形式大量流入,这进一步加剧了产品市场的竞争。但与此同时,部分行业与领域存在一定的行政性垄断,民营企业面临较高的进入门槛,市场竞争程度较弱。
与之相呼应的是,我国的股票市场自20世纪90年代成立以来发生巨大的变革与发展,截至2010年我国股票市场总市值居世界第二位。股权分置改革从根本上解决了非流通股东与流通股东之间的利益冲突,显著地提高了我国股票市场的流动性。成立创业板,逐步形成了主板、中小企业板块与创业板的多层次资本市场体系。但与此同时,我国股票市场中还存在种种不规范行为,内幕交易、信息披露不规范以及基金“老鼠仓”等行为时有发生。
一方面我国经济的市场化程度不断提高,产品市场竞争日趋激烈；另一方面我国股票市场也取得了巨大的发展。本文研究了在我国经济体制转型的大背景下,产品市场竞争对股票市场的影响。本文采用行业的市场集中度(HHI)和企业的勒纳指数(Lerner index)来衡量产品市场的竞争程度与企业的市场力量。一方面,市场集中度和勒纳指数反映了产品市场的竞争程度,产品市场竞争越激烈,行业的市场集中度越低、企业的勒纳指数越小；反之,产品市场竞争的程度越弱,行业的市场集中度越高、企业的勒纳指数越大。另一方面,市场集中度和勒纳指数反映了企业的市场力量,市场集中度越高、企业的勒纳指数越大,企业的市场力量越大；反之,市场集中度越低、企业的勒纳指数越小,企业的市场力量越小。产品市场竞争的程度和企业的市场力量如同一枚硬币的两个方面,共同反映了产品市场的竞争结构。
本文共分为七章,具体的章节结构安排如下。
第一章是导论,介绍本文的研究背景,提出研究问题与研究内容,并指出本文研究的理论意义与现实意义。
第二章是文献综述,分别从股票的收益率、股票异质性波动率、股票分析师预测和股票价格信息含量等四个方面梳理了相关的英文和中文文献,并对文献进行简单的述评。
第三章研究了产品市场竞争与股票收益率的关系。我们发现在控制住其他因素后,行业的市场集中度越高、企业勒纳指数越大,股票收益率越低。在考虑上市公司的控股类型和国有股比例的影响后,市场集中度与勒纳指数的系数估计值仍然显著为负,这说明我们的研究结果并不是由上市公司的所有制性质引起的。稳健性检验的结果表明,无论是股改前还是在股改后,我们的发现均成立；并且我们的结果不受市场集中度指标选择的影响。
第四章研究了产品市场竞争与股票异质性波动率的关系。根据红利贴现模型,股票价格等于企业未来不确定现金流的期望值贴现后的加总。产品市场竞争越激烈,企业现金流的不确定性越大,在股票市场上表现为较高的股价波动。实证结果表明,行业的市场集中度越高、企业的勒纳指数越大,股票的异质性波动率越小。考虑到股票上市与退市有可能会对系数的估计值产生影响,我们只保留1998至2007年一直交易的股票,回归结果与前面的结果基本一致。稳健性检验的结果表明,我们的实证发现不受模型回归方法、股票异质性波动率构造方法和市场集中度指标选择的影响,这说明我们的实证结果具有一定的稳健性。由于股票的异质性波动率代表了股票的异质性风险,在不完全信息的股票市场上,股票的异质性风险会影响到股票的收益率,因此第四章的结果为第三章提供了实证基础。
第五章研究了产品市场竞争对股票分析师盈余预测的影响。产品市场竞争越激烈,股票分析师盈余预测的难度越大,分析师盈余预测的难度又会影响到分析师预测的表现。我们发现行业的市场集中度越高、企业的勒纳指数越大,股票分析师盈余预测的准确度越高,乐观性偏差越小。这说明当分析师的预测任务难度较大、不能准确预测上市公司的每股盈余时,分析师倾向于做出过于乐观的盈余预测来取悦上市公司管理层,以便于在以后的预测中从上市公司管理层获取内部消息。稳健性检验的结果进一步支持了我们的发现。同时,由于股票分析师的盈余预测代表了股票投资者的盈余预期,第五章的实证结果为第六章提供了传导机制。
第六章研究了产品市场竞争对股票价格信息含量的影响。我们采用事件研究方法,以上市公司盈余公告日作为事件发生日,用上市公司盈余公告产生的累计异常收益率来衡量股票价格的信息含量。股票的累计异常收益率越高,说明股票价格的信息含量越小；反之,股票的累计异常收益率越低,说明股票价格的信息含量越大。我们发现行业的市场集中度越高、上市公司的勒纳指数越大,股票的累计异常收益率越低,股票价格的信息含量越大。但是在考虑了去趋势的换手率与样本的聚类相关后,市场集中度的系数不再显著。稳健性检验的结果进一步支持了我们的发现。在我国,上市公司的分红预案通常与中报、年报的盈余公告一起公布,由于分红预案确定的股利是股票投资者获取投资收益的重要渠道,因此上市公司的分红信息可能会产生一定的噪音进入股票价格中。在我国股票市场上存在大量不分红的上市公司,这为我们研究分红信息对股票价格的影响提供了天然的实验。我们将全部样本分为不分红样本与分红样本后,发现在不分红样本中,市场集中度与勒纳指数的系数估计值全部显著为负；在分红样本中,市场集中度与勒纳指数的系数符号都不再显著。这说明分红信息确实作为噪音信息影响了股票价格,使得市场集中度与勒纳指数对股票累计异常收益率的作用机制不再显著。
第七章是本文的结论,从总体上对整篇文章进行总结,同时阐明研究的缺陷与不足,并指出进一步研究的方向。
目前关于产品市场竞争对股票市场影响的研究刚刚起步,相对于已有的文献,本文的贡献与创新之处在于,首先,已有的研究大多着眼于一个方面,从某个特定的角度进行研究。本文从多个方面系统性地研究了产品市场竞争对股票市场的影响,并试图论证其中的传导途径与作用机制。其次,本文同时采用行业的市场集中度和企业勒纳指数来衡量产品市场的竞争程度与企业的市场力量,能够更加全面地反映产品市场的竞争结构。再次,我们在计算行业的市场集中度时,使用了国家统计局的工业企业数据,该数据涵盖了所有国有企业和主营业务收入在500万以上的非国有企业,占全部工业企业总产值的90%以上,基本上反映了我国各行业产品市场竞争程度的差异,有效地避免了度量误差对实证结果的影响。
由于水平有限,本文没有从理论上构建一般均衡理论模型来阐述产品市场竞争对股票市场的影响。本文使用国家统计局工业企业数据计算市场集中度,可以更加准确的衡量行业的市场集中度。但是,由于该数据只包括工业企业,不包括农业、服务业等行业,在将工业企业计数据计算的市场集中度与股票数据进行匹配时,农业、服务业等行业的上市公司数据无法匹配,这使得我们损失一部分数据样本,降低了模型估计的效率。这些都是本文研究的不足之处。
产品市场竞争在多个方面对股票市场产生影响,本文仅选取股票收益率、异质性波动率、股票分析师预测、股票价格的信息含量四个方面进行了研究。在其他方面,如公司治理、股票流动性、现金流持有等方面,都可以作为进一步研究的主题。
The product market and financial market have long been regarded as separate markets in the finance literature, and researches always neglect the influence of product competition on financial market. Generally speaking, firms compete in the product market and generate cash flow with uncertainty. The market power would have an influence on the uncertainty of the cash flow, the bigger of the market power, and the smaller of the uncertainty of the cash flow. Stock analysts forecast the cash flow of the listed companies in the stock market, and they convey the message to the investors by kinds of media. Based on their earnings expectations, the investors evaluate the price of the stock. As a result, product market competition would have an important impact on the stock market. This thesis investigates the relationship between product market competition and stock market from the perspective of product market competition, and we find product market competition is an important factor for the stock market. The thesis fills the gap of the existing literature and help to understand better the relationship between product market competition and stock market.
China has gradually established the goal of socialist market economy since reforming and opening, and market economy becomes the fundamental means of the resources allocation. At the same time, the extent of marketalization increases gradually. In the process of state-owned enterprises reform, state-owned enterprises quitted the competitive industries, and private enterprises entered into the new industries and areas and the ratio of private economy increases gradually. Import tariff decreases much and lots of commodities entered into domestic market since China's entering into WTO in2002. Foreign industry capital entered into domestic market in the form of FDI, which further intensify the product market competition. There is, however, some administrative monopoly in some industries, where private enterprises face high entry barriers and market competition is much weaker.
At the same time, China's stock market has experienced extreme reformation and development since1990s, and the total market value of the domestic stock market has ranked the second place in the world by2010. Shareholding division reformation fundamentally solved the interest conflicts of the non-tradable shareholders and tradable shareholders, which significantly improved the stock liquidity. Growth Enterprise Market, small and medium sized enterprises board and main board market constitute the capital market system. However, there are still some illegal activities in the domestic stock market, such as insider trading, illegal information disclosure and rat trading.
On the one hand, the extent of marketalization increases gradually and the product market competition intensifies more and more. On the other hand, China's stock market also obtains tremendous growth. This thesis investigates the relationship between product market competition and stock market in the background of China's economy transition. This thesis measures the product market competition and firms'market power using both market concentration and the Lerner index. On the one hand, market concentration and the Lerner index reflect the extent of product market competition, the fiercer of the market competition, the lower of the market concentration and the smaller of the Lerner index, and vice verse. On the other hand, the market concentration and the Lerner index reflect the market power of the firms, the higher of the concentration and the bigger of the Lerner index, the bigger of the market power, and vice verse. Product market competition and firms'Lerner index are two sides of one coin, which reflects the competition structure of the product market.
This thesis includes seven chapters and the structure is as following.
Chapter one is introduction, which brings forward the background and the question, then points out the contribution of the thesis theoretically and empirically.
Chapter two is literature review. We review and discuss the related literature from four different dimensions, stock return, idiosyncratic volatility, stock analyst forecasting and stock price informativeness.
Chapter three investigates the relationship between product market competition and stock return. We find that the more concentrated of the industries and the bigger of the Lerner index, the lower of the stock return, after controlling for other factors affecting stock return. The coefficients of the market concentration and the Lerner index are still negative after including the ownership and state-own share ratio of listed companies. The results show that our findings are not due to the ownership of the listed companies. Robust checks show that the finding is valid for both the pre stock reform sample and post stock reform sample, and our results are robust to the market concentration measure.
Chapter four investigates the relationship between product market competition and idiosyncratic volatility. The stock price equals the sum of the discounted expectation of the cash flow by the dividend discount model. We find that the higher of the market concentration and the bigger of the firms'Lerner index, the lower of the idiosyncratic volatility. Considering that the new IPOs and stock delists would affect the idiosyncratic volatility, we keep only stocks that trade through1998and2007, and the results is still valid. Robust checks show that our findings are robust to the choice of the method of model regression, the idiosyncratic volatility measure and market concentration measure. Because idiosyncratic volatility measures the idiosyncratic risk of stock, the idiosyncratic risk would have an impact on the stock return in incomplete market. As a result, the results of this chapter provide empirical basis for chapter3.
Chapter five investigate the relationship between product market competition and stock analyst forecasting. The fiercer of the product market competition, the more difficult of the earning forecasting. The difficulty of the earning forecasting would influence the performance of the analyst forecasting in turn. We find that the higher of the concentration ratio and the bigger of the Lerner index, the more accurate of the earning forecasting and the smaller of optimistic bias. Robust checks further support our findings. At the same time, analysts'forecasts represent the investors'earning expectations; the results of this chapter provide channel and mechanism for chapter six.
Chapter six investigates the relationship between product market competition and stock price informativeness. We calculate the cumulative abnormal return (CAR) related earning announcement using event study method, and we measure the price informativeness using the CAR. The bigger of the CAR, the smaller of information content of the stock price, and vice verse. We find that the higher of the concentration ratio of the industries and the bigger of the Lerner index, the lower of the CAR and the stronger of the price informativeness. The coefficient of the market concentration is insignificant after considering the detrended turnover and sample cluster. Robust checks further support our findings. In domestic stock market, the dividend plan is announced simultaneously with the earning announcements of semi-annual report and annual report. The dividend information of the plan would generate noise entering into stock price. There are lots of listed companies which do not hand out dividend to the investor. As a result, it provides ideal experiment for us to test the influence of dividend information on stock price. We divide the sample into two parts, stocks without dividend and stocks with dividend. We find that the coefficients of the market concentration and the Lerner index are both significant in the sample without dividend, and the coefficients of these two variables are insignificant in the sample without dividend. It shows that dividend information as noise indeed influences the stock price, which makes the coefficients of the market concentration and the Lerner index insignificant.
Chapter seven concludes the whole thesis and demonstrates the deficiencies and flaws of the thesis. At the same time, we also point out the direction of the further study.
The research relating product market competition and stock market is just beginning. Relative to the existing literatures, the innovation and contribution of this thesis is as following. Firstly, the literatures mainly focus on a special point. We investigate the relationship between product market competition and stock market from four different perspectives and try to find the potential channels. Secondly, we use both market concentration and Lerner index to measure the product market competition and firms'market power. Last but not least, we apply the firm level data from National Bureau of Statistics (NBS) to calculate the market concentration, which comprises of all state owned firms and non state owned firms with operating income no less than five million. It can effectively alleviate the influence of measurement error.
We don't construct general equilibrium models to relate product market competition and stock market to study the relationship theoretically. We calculate the market concentration using firm level data from National Bureau of Statistics, which can measure the concentration ratio more accurate. The data, however, does not include firms of agriculture industry and service industry. As a result, we have to delete the stocks of agriculture industry and service industry when merging the stock data with market concentration data. It would decrease the sample and lose the efficiency of estimation. These are the deficiencies of the thesis.
Product market competition has influence on stock market from many ways, and we study its influence on stock return, idiosyncratic volatility, analyst forecasting and stock price informativeness. Corporate governance, stock liquidity and cash holding all could be the topic of the further research.
改革开放以来,我国逐步确立建立社会主义市场经济的目标,逐渐从计划经济体制向市场经济体制转型,市场经济逐渐成为资源配置的主要方式,经济的市场化程度不断提高。在国企改革过程中,民进国退,国有企业逐渐退出竞争性行业和领域,民营企业不断进入新的行业和领域,民营经济比重不断提高。2002年我国加入世界贸易组织,进口关税大幅降低,大量国外商品进入国内市场。同时国外产业资本以QFII形式大量流入,这进一步加剧了产品市场的竞争。但与此同时,部分行业与领域存在一定的行政性垄断,民营企业面临较高的进入门槛,市场竞争程度较弱。
与之相呼应的是,我国的股票市场自20世纪90年代成立以来发生巨大的变革与发展,截至2010年我国股票市场总市值居世界第二位。股权分置改革从根本上解决了非流通股东与流通股东之间的利益冲突,显著地提高了我国股票市场的流动性。成立创业板,逐步形成了主板、中小企业板块与创业板的多层次资本市场体系。但与此同时,我国股票市场中还存在种种不规范行为,内幕交易、信息披露不规范以及基金“老鼠仓”等行为时有发生。
一方面我国经济的市场化程度不断提高,产品市场竞争日趋激烈；另一方面我国股票市场也取得了巨大的发展。本文研究了在我国经济体制转型的大背景下,产品市场竞争对股票市场的影响。本文采用行业的市场集中度(HHI)和企业的勒纳指数(Lerner index)来衡量产品市场的竞争程度与企业的市场力量。一方面,市场集中度和勒纳指数反映了产品市场的竞争程度,产品市场竞争越激烈,行业的市场集中度越低、企业的勒纳指数越小；反之,产品市场竞争的程度越弱,行业的市场集中度越高、企业的勒纳指数越大。另一方面,市场集中度和勒纳指数反映了企业的市场力量,市场集中度越高、企业的勒纳指数越大,企业的市场力量越大；反之,市场集中度越低、企业的勒纳指数越小,企业的市场力量越小。产品市场竞争的程度和企业的市场力量如同一枚硬币的两个方面,共同反映了产品市场的竞争结构。
本文共分为七章,具体的章节结构安排如下。
第一章是导论,介绍本文的研究背景,提出研究问题与研究内容,并指出本文研究的理论意义与现实意义。
第二章是文献综述,分别从股票的收益率、股票异质性波动率、股票分析师预测和股票价格信息含量等四个方面梳理了相关的英文和中文文献,并对文献进行简单的述评。
第三章研究了产品市场竞争与股票收益率的关系。我们发现在控制住其他因素后,行业的市场集中度越高、企业勒纳指数越大,股票收益率越低。在考虑上市公司的控股类型和国有股比例的影响后,市场集中度与勒纳指数的系数估计值仍然显著为负,这说明我们的研究结果并不是由上市公司的所有制性质引起的。稳健性检验的结果表明,无论是股改前还是在股改后,我们的发现均成立；并且我们的结果不受市场集中度指标选择的影响。
第四章研究了产品市场竞争与股票异质性波动率的关系。根据红利贴现模型,股票价格等于企业未来不确定现金流的期望值贴现后的加总。产品市场竞争越激烈,企业现金流的不确定性越大,在股票市场上表现为较高的股价波动。实证结果表明,行业的市场集中度越高、企业的勒纳指数越大,股票的异质性波动率越小。考虑到股票上市与退市有可能会对系数的估计值产生影响,我们只保留1998至2007年一直交易的股票,回归结果与前面的结果基本一致。稳健性检验的结果表明,我们的实证发现不受模型回归方法、股票异质性波动率构造方法和市场集中度指标选择的影响,这说明我们的实证结果具有一定的稳健性。由于股票的异质性波动率代表了股票的异质性风险,在不完全信息的股票市场上,股票的异质性风险会影响到股票的收益率,因此第四章的结果为第三章提供了实证基础。
第五章研究了产品市场竞争对股票分析师盈余预测的影响。产品市场竞争越激烈,股票分析师盈余预测的难度越大,分析师盈余预测的难度又会影响到分析师预测的表现。我们发现行业的市场集中度越高、企业的勒纳指数越大,股票分析师盈余预测的准确度越高,乐观性偏差越小。这说明当分析师的预测任务难度较大、不能准确预测上市公司的每股盈余时,分析师倾向于做出过于乐观的盈余预测来取悦上市公司管理层,以便于在以后的预测中从上市公司管理层获取内部消息。稳健性检验的结果进一步支持了我们的发现。同时,由于股票分析师的盈余预测代表了股票投资者的盈余预期,第五章的实证结果为第六章提供了传导机制。
第六章研究了产品市场竞争对股票价格信息含量的影响。我们采用事件研究方法,以上市公司盈余公告日作为事件发生日,用上市公司盈余公告产生的累计异常收益率来衡量股票价格的信息含量。股票的累计异常收益率越高,说明股票价格的信息含量越小；反之,股票的累计异常收益率越低,说明股票价格的信息含量越大。我们发现行业的市场集中度越高、上市公司的勒纳指数越大,股票的累计异常收益率越低,股票价格的信息含量越大。但是在考虑了去趋势的换手率与样本的聚类相关后,市场集中度的系数不再显著。稳健性检验的结果进一步支持了我们的发现。在我国,上市公司的分红预案通常与中报、年报的盈余公告一起公布,由于分红预案确定的股利是股票投资者获取投资收益的重要渠道,因此上市公司的分红信息可能会产生一定的噪音进入股票价格中。在我国股票市场上存在大量不分红的上市公司,这为我们研究分红信息对股票价格的影响提供了天然的实验。我们将全部样本分为不分红样本与分红样本后,发现在不分红样本中,市场集中度与勒纳指数的系数估计值全部显著为负；在分红样本中,市场集中度与勒纳指数的系数符号都不再显著。这说明分红信息确实作为噪音信息影响了股票价格,使得市场集中度与勒纳指数对股票累计异常收益率的作用机制不再显著。
第七章是本文的结论,从总体上对整篇文章进行总结,同时阐明研究的缺陷与不足,并指出进一步研究的方向。
目前关于产品市场竞争对股票市场影响的研究刚刚起步,相对于已有的文献,本文的贡献与创新之处在于,首先,已有的研究大多着眼于一个方面,从某个特定的角度进行研究。本文从多个方面系统性地研究了产品市场竞争对股票市场的影响,并试图论证其中的传导途径与作用机制。其次,本文同时采用行业的市场集中度和企业勒纳指数来衡量产品市场的竞争程度与企业的市场力量,能够更加全面地反映产品市场的竞争结构。再次,我们在计算行业的市场集中度时,使用了国家统计局的工业企业数据,该数据涵盖了所有国有企业和主营业务收入在500万以上的非国有企业,占全部工业企业总产值的90%以上,基本上反映了我国各行业产品市场竞争程度的差异,有效地避免了度量误差对实证结果的影响。
由于水平有限,本文没有从理论上构建一般均衡理论模型来阐述产品市场竞争对股票市场的影响。本文使用国家统计局工业企业数据计算市场集中度,可以更加准确的衡量行业的市场集中度。但是,由于该数据只包括工业企业,不包括农业、服务业等行业,在将工业企业计数据计算的市场集中度与股票数据进行匹配时,农业、服务业等行业的上市公司数据无法匹配,这使得我们损失一部分数据样本,降低了模型估计的效率。这些都是本文研究的不足之处。
产品市场竞争在多个方面对股票市场产生影响,本文仅选取股票收益率、异质性波动率、股票分析师预测、股票价格的信息含量四个方面进行了研究。在其他方面,如公司治理、股票流动性、现金流持有等方面,都可以作为进一步研究的主题。
The product market and financial market have long been regarded as separate markets in the finance literature, and researches always neglect the influence of product competition on financial market. Generally speaking, firms compete in the product market and generate cash flow with uncertainty. The market power would have an influence on the uncertainty of the cash flow, the bigger of the market power, and the smaller of the uncertainty of the cash flow. Stock analysts forecast the cash flow of the listed companies in the stock market, and they convey the message to the investors by kinds of media. Based on their earnings expectations, the investors evaluate the price of the stock. As a result, product market competition would have an important impact on the stock market. This thesis investigates the relationship between product market competition and stock market from the perspective of product market competition, and we find product market competition is an important factor for the stock market. The thesis fills the gap of the existing literature and help to understand better the relationship between product market competition and stock market.
China has gradually established the goal of socialist market economy since reforming and opening, and market economy becomes the fundamental means of the resources allocation. At the same time, the extent of marketalization increases gradually. In the process of state-owned enterprises reform, state-owned enterprises quitted the competitive industries, and private enterprises entered into the new industries and areas and the ratio of private economy increases gradually. Import tariff decreases much and lots of commodities entered into domestic market since China's entering into WTO in2002. Foreign industry capital entered into domestic market in the form of FDI, which further intensify the product market competition. There is, however, some administrative monopoly in some industries, where private enterprises face high entry barriers and market competition is much weaker.
At the same time, China's stock market has experienced extreme reformation and development since1990s, and the total market value of the domestic stock market has ranked the second place in the world by2010. Shareholding division reformation fundamentally solved the interest conflicts of the non-tradable shareholders and tradable shareholders, which significantly improved the stock liquidity. Growth Enterprise Market, small and medium sized enterprises board and main board market constitute the capital market system. However, there are still some illegal activities in the domestic stock market, such as insider trading, illegal information disclosure and rat trading.
On the one hand, the extent of marketalization increases gradually and the product market competition intensifies more and more. On the other hand, China's stock market also obtains tremendous growth. This thesis investigates the relationship between product market competition and stock market in the background of China's economy transition. This thesis measures the product market competition and firms'market power using both market concentration and the Lerner index. On the one hand, market concentration and the Lerner index reflect the extent of product market competition, the fiercer of the market competition, the lower of the market concentration and the smaller of the Lerner index, and vice verse. On the other hand, the market concentration and the Lerner index reflect the market power of the firms, the higher of the concentration and the bigger of the Lerner index, the bigger of the market power, and vice verse. Product market competition and firms'Lerner index are two sides of one coin, which reflects the competition structure of the product market.
This thesis includes seven chapters and the structure is as following.
Chapter one is introduction, which brings forward the background and the question, then points out the contribution of the thesis theoretically and empirically.
Chapter two is literature review. We review and discuss the related literature from four different dimensions, stock return, idiosyncratic volatility, stock analyst forecasting and stock price informativeness.
Chapter three investigates the relationship between product market competition and stock return. We find that the more concentrated of the industries and the bigger of the Lerner index, the lower of the stock return, after controlling for other factors affecting stock return. The coefficients of the market concentration and the Lerner index are still negative after including the ownership and state-own share ratio of listed companies. The results show that our findings are not due to the ownership of the listed companies. Robust checks show that the finding is valid for both the pre stock reform sample and post stock reform sample, and our results are robust to the market concentration measure.
Chapter four investigates the relationship between product market competition and idiosyncratic volatility. The stock price equals the sum of the discounted expectation of the cash flow by the dividend discount model. We find that the higher of the market concentration and the bigger of the firms'Lerner index, the lower of the idiosyncratic volatility. Considering that the new IPOs and stock delists would affect the idiosyncratic volatility, we keep only stocks that trade through1998and2007, and the results is still valid. Robust checks show that our findings are robust to the choice of the method of model regression, the idiosyncratic volatility measure and market concentration measure. Because idiosyncratic volatility measures the idiosyncratic risk of stock, the idiosyncratic risk would have an impact on the stock return in incomplete market. As a result, the results of this chapter provide empirical basis for chapter3.
Chapter five investigate the relationship between product market competition and stock analyst forecasting. The fiercer of the product market competition, the more difficult of the earning forecasting. The difficulty of the earning forecasting would influence the performance of the analyst forecasting in turn. We find that the higher of the concentration ratio and the bigger of the Lerner index, the more accurate of the earning forecasting and the smaller of optimistic bias. Robust checks further support our findings. At the same time, analysts'forecasts represent the investors'earning expectations; the results of this chapter provide channel and mechanism for chapter six.
Chapter six investigates the relationship between product market competition and stock price informativeness. We calculate the cumulative abnormal return (CAR) related earning announcement using event study method, and we measure the price informativeness using the CAR. The bigger of the CAR, the smaller of information content of the stock price, and vice verse. We find that the higher of the concentration ratio of the industries and the bigger of the Lerner index, the lower of the CAR and the stronger of the price informativeness. The coefficient of the market concentration is insignificant after considering the detrended turnover and sample cluster. Robust checks further support our findings. In domestic stock market, the dividend plan is announced simultaneously with the earning announcements of semi-annual report and annual report. The dividend information of the plan would generate noise entering into stock price. There are lots of listed companies which do not hand out dividend to the investor. As a result, it provides ideal experiment for us to test the influence of dividend information on stock price. We divide the sample into two parts, stocks without dividend and stocks with dividend. We find that the coefficients of the market concentration and the Lerner index are both significant in the sample without dividend, and the coefficients of these two variables are insignificant in the sample without dividend. It shows that dividend information as noise indeed influences the stock price, which makes the coefficients of the market concentration and the Lerner index insignificant.
Chapter seven concludes the whole thesis and demonstrates the deficiencies and flaws of the thesis. At the same time, we also point out the direction of the further study.
The research relating product market competition and stock market is just beginning. Relative to the existing literatures, the innovation and contribution of this thesis is as following. Firstly, the literatures mainly focus on a special point. We investigate the relationship between product market competition and stock market from four different perspectives and try to find the potential channels. Secondly, we use both market concentration and Lerner index to measure the product market competition and firms'market power. Last but not least, we apply the firm level data from National Bureau of Statistics (NBS) to calculate the market concentration, which comprises of all state owned firms and non state owned firms with operating income no less than five million. It can effectively alleviate the influence of measurement error.
We don't construct general equilibrium models to relate product market competition and stock market to study the relationship theoretically. We calculate the market concentration using firm level data from National Bureau of Statistics, which can measure the concentration ratio more accurate. The data, however, does not include firms of agriculture industry and service industry. As a result, we have to delete the stocks of agriculture industry and service industry when merging the stock data with market concentration data. It would decrease the sample and lose the efficiency of estimation. These are the deficiencies of the thesis.
Product market competition has influence on stock market from many ways, and we study its influence on stock return, idiosyncratic volatility, analyst forecasting and stock price informativeness. Corporate governance, stock liquidity and cash holding all could be the topic of the further research.
引文
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