战略风险与收益:中国上市公司的实证研究
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财经研究 2008 年 第 34 卷第 05 期, 页码：135 - 145
摘要
参考文献
摘要
国外大量的研究表明,战略风险与收益的关系存在被称为"鲍漫悖论"(Bow-man’s paradox)即负相关关系的现象。文章摒弃了资本资产定价、均值方差等传统的战略风险度量方法,借鉴序数信息下系统组织整体不确定性度量的熵法,把战略风险转化为企业在战略参考系统内收益排名(竞争位置)下降带来的负面不确定信息,给出了序数战略风险度量的一般模型,这个方法符合战略风险的战略本质。通过收集中国上市公司上证50指数36家企业的收益数据,运用该模型方法,根据事件研究思路,对战略风险与收益的相关关系进行了中国情景下的多次验证,得到战略风险与收益的一致负相关关系。这个结果表明,高风险不一定带来高收益,企业持久竞争优势的获取不仅源于高收益,更是长期高收益—低风险的绩效产出结果。
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[10]Fiegenbaum A.Prospect theory and the risk-return association:An empirical exami-nation in 85 industries[J].Journal of Economic Behavior and Organization,1990,14:187-204.
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[12]Nickel MN,Rodriguez MC.Areviewof research onthe negative accounting relation-ship between risk and return:Bowman’s paradox[J].Omega,2002,30:1-18.
[13]Fiegenbaum A,Thomas,H.Attitudes toward risk and the risk return paradox:Pros-pect theory explanations[J].Academy of Management Journal,1988,31(1):85-106.
[14]Johnson H J,The relationship between variability,distance from target,and firmsize:Atest of prospect theoryin the commercial bankingindustry[J].Journal of So-cio-Economics,1992,21:153-171.
[15]Sinha T.Prospect theory and risk return association:Another look[J].Journal of E-conomic Behavior and Organization,1994,24:225-231.
[16]Fiegenbaum A,Thomas H.Strategic groups as reference groups:Theory,modelingand an empirical examination of industry and competitive strategy[J].Strategic Man-agement Journal,1995,16(5):461-476.
[17]Ruefli T W.Paradox lost becomes dilemma found-reply[J].Management Science,1991,37(12):1210-1215.
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[22]郭菊娥,王琦,杨华江.集团公司战略风险属性的识别研究[J].南开管理评论,2005,8(5):105-109.
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[34]Emblemsvag J,Kjolstad L E.Strategic risk analysis-Afield version[J].Manage-ment Decision,2002,40(9):842-852.
引用本文
祝志明, 杨乃定, 高婧. 战略风险与收益:中国上市公司的实证研究[J]. 财经研究, 2008, 34(5): 135–145.
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