政府背景客户、市场认知与投资机会——基于供应链整合视角

管理评论 ›› 2020, Vol. 32 ›› Issue (8): 13-28.

政府背景客户、市场认知与投资机会——基于供应链整合视角

窦超¹, 陈晓², 李馨子³

1. 中央财经大学商学院, 北京 100081;
2. 清华大学经济管理学院, 北京 100084;
3. 中央财经大学会计学院, 北京 100081

收稿日期:2018-11-22 出版日期:2020-08-28 发布日期:2020-09-05
作者简介:窦超,中央财经大学商学院讲师,博士;陈晓,清华大学经济管理学院教授,博士生导师,博士;李馨子,中央财经大学会计学院讲师,硕士生导师,博士。
基金资助:
北京高校高精尖学科“金融安全工程”2020年度应急项目‘新冠疫情冲击下的中国金融安全研究’；国家自然科学基金项目(71372050)；教育部人文社会科学研究青年基金项目（20YJC630016）。

Government-based Customer, Market Perception and Investment Opportunity——Based on Supply Chain Integration

Dou Chao¹, Chen Xiao², Li Xinzi³

1. Business School, Central University of Finance and Economics, Beijing 100081;
2. School of Economics andManagement, Tsinghua University, Beijing 100084;
3. School of Accountancy, Central University of Finance and Economics, Beijing 100081

Received:2018-11-22 Online:2020-08-28 Published:2020-09-05

摘要/Abstract

摘要： 在政府补助日渐收紧的大背景下，以政府采购为代表的政策方法日渐成为政府调控经济的重要手段。本文利用2007—2015年间上市公司的客户数据，系统考察了政府背景大客户对市场认知与投资机会的影响。实证结果表明，政府背景客户能有效提升资本市场对企业的估值水平，增强投资者对企业的关注程度，并显著提升了分析师对公司股票的评级；进一步的研究还发现，政府背景客户与股票投资收益间存在显著的正向关系，投资者可以通过构建对冲交易策略，买入政府背景客户订单比例较高的企业股票而卖出政府背景客户订单比例较低的股票，从而获得显著为正的投资回报；最后，政府背景客户对市场认知水平的影响很有可能是通过对企业盈利能力的提升来实现的。

关键词: 政府背景客户, 市场认知, 投资收益, 对冲策略

Abstract: This paper tries to test the relationship between market perception and government-based customer based on the client data of Chinese listed firms. The results show that government-based customer could obviously increase firm value and analysts' recommendation, and attract more investors' attention as well. Moreover, this study develops a hedge strategy for investors to buy stakes of the companies with more government-based customers, and sell stakes of the companies with less government-based customers. The results show that the hedge strategy can lead to significant excess returns in short and long term. In addition, the results indicate that the relationship we find is attributed to the improvement of profitability. Overall, the findings could help us better understand how government-based customer improve market perception, and government could enhance and improve macro-economic regulation to ensure stable and healthy economic development.

Key words: government-based customer, market perception, stock return, hedge strategy

窦超, 陈晓, 李馨子. 政府背景客户、市场认知与投资机会——基于供应链整合视角[J]. 管理评论, 2020, 32(8): 13-28.

Dou Chao, Chen Xiao, Li Xinzi. Government-based Customer, Market Perception and Investment Opportunity——Based on Supply Chain Integration[J]. Management Review, 2020, 32(8): 13-28.

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