Uncertainty and Idiosyncratic Risk: Based on the Mediation Test of Implied Equity Capital Cost——Mediating Effect of Independent Directors

Abstract

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

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.

References

[1] Campbell J. Y., Lettau M., Malkiel G. B., et al. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk[J]. Journal of Finance, 2001,56(1):1-43
[2] Brown G., Kapadia N. Firm-Specific Risk and Equity Market Development[J]. Journal of Financial Economics, 2004,84(2):358-388
[3] Bali T., Cakici N., Levy H. A Model-Independent Measure of Aggregate Idiosyncratic Risk[J]. Journal of Empirical Finance, 2008,15(5):878-896
[4] Xu Y., Malkiel B. Investigating The Behaviour of Idiosyncratic Volatility[J]. Journal of Business, 2003,76(4):613-644
[5] 花冯涛. 公司特质风险、信息披露质量与盈余管理——基于深市A股市场的实证检验[J]. 山西财经大学学报, 2016,38(3):79-89
[6] 花冯涛,王进波. 公司特质风险、股价信息含量抑或信息不确定性——基于中国股市的经验证据[J]. 山西财经大学学报, 2014,36(1):54-66
[7] 江旭,马永远. 环境不确定性、联盟绿色变革与联盟绩效[J]. 管理评论, 2018,30(3):60-71
[8] 吴昊旻,杨兴全,魏卉. 产品市场竞争与公司股票特质性风险——基于我国上市公司的经验证据[J]. 经济研究, 2012,47(6):101-115
[9] Cotter J., Sullivan N. O., Rossi F. The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market[J]. International Review of Financial Analysis, 2015,37(12):184-193
[10] Bartram S. M., Brown G. W., Stulz R. M. Why does Idiosyncratic Risk Increase With Market Risk?[R]. Nber Working Papers, 2018
[11] Berkman H., Cole R. A., Fu L. J. Improving Corporate Governance Where the State Is the Controlling Block Holder:Evidence From China[J]. European Journal of Finance, 2014,20(7-9):752-777
[12] 黄珺,魏莎. 独立董事政治关联对企业信贷融资的影响研究[J]. 管理评论, 2016,28(11):182-190
[13] 王垒,刘新民,吴士健,等. 创业企业IPO后所有权类型集中度、董事会主导功能与多元化战略选择[J]. 南开管理评论, 2018,21(3):103-115
[14] 李大元. 企业环境不确定性研究及其新进展[J]. 管理评论, 2010,22(11):81-87
[15] Yu C. L., Brouthers K. D., Wang F. Competition Identification, Perceived Environmental Uncertainty, and Performance[J]. Canadian Journal of Administrative Sciences, 2016,33(1):21-35
[16] Lueg R., Borisov B. G. Archival or Perceived Measures of Environmental Uncertainty? Conceptualization and New Empirical Evidence[J]. European Management Journal, 2014,32(4):658-671
[17] 邓可斌,丁重. 中国为什么缺乏创造性破坏?——基于上市公司特质信息的经验证据[J]. 经济研究, 2010,45(6):66-79
[18] 袁建国,程晨,后青松. 环境不确定性与企业技术创新——基于中国上市公司的实证研究[J]. 管理评论, 2015,27(10):60-69
[19] Fink J., Fink K. E., Grullon G., et al. What Drove the Increase in Idiosyncratic Volatility During the Internet Boom?[J]. Journal of Financial & Quantitative Analysis, 2010,45(5):1253-1278
[20] 花冯涛. 真实盈余管理、公司信息质量和环境不确定性——基于深市A股的经验研究[J]. 中国经济问题, 2017,(3):123-135
[21] 申慧慧. 环境不确定性对盈余管理的影响[J]. 审计研究, 2010,(1):89-96
[22] 张红,陈嘉伟,李林峻. 房地产上市公司多元化战略与资本成本关系研究[J]. 经济问题, 2015,(10):1-6
[23] 韩鹏,岳园园. 企业创新行为信息披露的经济后果研究——来自创业板的经验证据[J]. 会计研究, 2016,(1):49-55
[24] 林钟高,郑军,卜继栓. 环境不确定性、多元化经营与资本成本[J]. 会计研究, 2015,(2):36-43
[25] Hillier D., Loncan T. Stock Market Integration, Cost of Equity Capital, and Corporate Investment:Evidence from Brazil[J]. European Financial Management, 2017,15(3):230-269
[26] 花冯涛. 机构投资者如何影响公司特质风险:刺激还是抑制?——基于通径分析的经验证据[J]. 上海财经大学学报, 2018,20(1):43-56
[27] Hu J., Lin Z. The Implied Cost of Equity Capital, Corporate Investment and Chief Executive Officer Turnover[J]. Accounting & Finance, 2016,55(4):1041-1070
[28] 汪平,邹颖,兰京. 异质股东的资本成本差异研究——兼论混合所有制改革的财务基础[J]. 中国工业经济, 2015,(9):129-144
[29] 花冯涛,王进波,尚俊松. 股权结构、产品市场竞争与公司特质风险——基于深沪A股的经验证据[J]. 山西财经大学学报, 2017,39(10):100-112
[30] Frensidy B. The Performance of Undiversified Portfolio in Indonesia Stock Exchange[J]. The Journal of Applied Business Research, 2016,32(4):1041-1048
[31] 梁权熙,曾海舰. 独立董事制度改革、独立董事的独立性与股价崩盘风险[J]. 管理世界, 2016,(3):144-159
[32] 黄海杰,吕长江,丁慧. 独立董事声誉与盈余质量——会计专业独董的视角[J]. 管理世界, 2016,(3):128-143
[33] 全怡,李四海,梁上坤. 异地上市公司的政治资源获取:基于聘请北京独立董事的考察[J]. 会计研究, 2017,(11):58-64
[34] 叶志强,赵炎. 独立董事、制度环境与研发投入[J]. 管理学报, 2017,14(7):1033-1040
[35] 王亚男,周泽将. 社会关系网络能降低民营企业的实际税负吗——基于中国上市公司独立董事视角的实证分析[J]. 当代经济研究, 2017,(9):73-79
[36] 单文涛,赵秀云. 独立董事治理、供应链关系与股权资本成本[J]. 财经论丛, 2018,(6):55-64
[37] 温忠麟,张雷,侯杰泰. 中介效应检验程序及其应用[J]. 心理学报, 2004,(5):614-620
[38] Fu F. Idiosyncratic Risk and the Cross-Section of Expected Stock Returns[J]. Journal of Financial Economics, 2009,91(1):24-37
[39] Ghosh D., Olsen L. Environmental Uncertainty and Managers' Use of Discretionary Accruals[J]. Accounting Organizations & Society, 2009,34(2):188-205
[40] Wang Y., Chen Y., Wang J. Management Earnings Forecasts and Analyst Forecasts:Evidence from Mandatory Disclosure System[J]. China Journal of Accounting Research, 2015,8(2):133-146
[41] Gebhardt W. R., Lee C. M. C., Swaminathan B. Toward an Implied Cost of Capital[J]. Journal of Accounting Research, 2001, 39(1):125-176
[42] 陆正飞,叶康涛. 中国上市公司股权融资偏好解析——偏好股权融资就是缘于融资成本低吗?[J]. 经济研究, 2004,39(4):50-59
[43] Gaspar J. M., Massa M., Matos P. Favoritism in Mutual Fund Families? Evidence on Strategic Cross-Fund Subsidization[J]. Journal of Finance, 2006,61(1):73-104
[44] Irvine P. J., Pontiff J. Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition[J]. Review of Financial Studies, 2009,22(3):1149-1177
[45] 金春雨,张浩博. 货币政策对股票市场流动性影响时变性的计量检验——基于TVP-VAR模型的实证分析[J]. 管理评论, 2016,28(3):20-32
[46] Ohlson J. A., Juttner-Nauroth B. E. Expected EPS and EPS Growth as Determinants of Value[J]. Review of Accounting Studies, 2005,10(2/3):349-365
[47] 王亮亮. 真实活动盈余管理与权益资本成本[J]. 管理科学, 2013,26(5):87-99
[48] Baker S. R., Bloom N., Davis S. J. Measuring Economic Policy Uncertainty[J]. The Quarterly Journal of Economics, 2016,131(4):1593-1636
[49] 蒋腾,张永冀,赵晓丽. 经济政策不确定性与企业债务融资[J]. 管理评论, 2018,30(3):29-39