不确定性与公司特质风险：基于隐含权益资本成本的中介效应检验——兼论独立董事的调节作用

摘要/Abstract

摘要： 已有文献多基于内部因素分析公司特质风险的形成机制，很少关注经营环境的不确定性对其产生的影响。本文以2003—2016年的深沪A股为研究对象，基于隐含权益资本成本的中介效应和独董比例的调节效应，对环境不确定性与特质风险的相关性进行分析。研究发现：（1）环境不确定性和特质风险呈正相关性，表明经营环境波动是推动特质风险变化的重要因素；（2）隐含权益资本成本在不确定性和特质风险之间存在显著的中介效应，该结论明晰了前者对后者的影响机理；（3）独董比例的上升，降低了隐含权益资本成本的中介效应，缓解了环境不确定性对特质风险的影响，表明独董制度的完善有利于资本市场的稳定。本研究的意义在于，它说明外部风险因素并不仅仅决定系统性风险，同时，对特质风险也产生重要影响，使得两者在理论上存在显著的关联性；另一方面，企业的内部特质，如公司治理机制则对这种关联性存在显著的调节作用。

关键词: 环境不确定性, 特质风险, 隐含权益资本成本, 中介效应, 独立董事

Abstract: Most of the existing studies analyze the formation mechanism of idiosyncratic risk from the perspective internal factors, with little attention paid to external environmental factors. Using a sample of listed companies in Chinese stock exchanges from 2003 to 2016, this paper investigates the effect of environmental uncertainty on idiosyncratic risk based on mediating effect test of implied equity capital cost and moderating effect test of independent director. And the conclusions are as follows: firstly, There is a positive correlation between environmental uncertainty and idiosyncratic risk, indicating that volatility of external business environment will promote it. Secondly, implied equity capital cost has a mediating effect between environmental uncertainty and idiosyncratic risk, which clarifies the influence mechanism of the former on the latter. Thirdly, higher proportion of independent directors can reduce the mediating effect of implied equity capital cost and alleviate the influence of environmental uncertainty on idiosyncratic risk. The significance of this study is that it shows external risk factors not only determine systemic risk, but also have an important impact on idiosyncratic risk, thus making the two risks significantly correlated to each other in theory. On the other hand, the internal characteristics of enterprises, such as corporate governance mechanism, have a significant moderating effect on this correlation.

Key words: environmental uncertainty, idiosyncratic risk, implied equity capital cost, mediating effect, independent director

花冯涛. 不确定性与公司特质风险：基于隐含权益资本成本的中介效应检验——兼论独立董事的调节作用[J]. 管理评论, 2021, 33(2): 249-262.

Hua Fengtao. Uncertainty and Idiosyncratic Risk: Based on the Mediation Test of Implied Equity Capital Cost——Mediating Effect of Independent Directors[J]. Management Review, 2021, 33(2): 249-262.

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