Corporate Financial Asset Allocation and Long-term Risk of Stock Price Volatility: An Analysis from the Perspective of Investors' Expectation on Corporate Financial Asset Allocation
GUO Guixia, SUN Jialiang
School of Economics,University of International Business and Economics
Summary:
The issue of financial asset allocation of Chinese corporations has drawn great attention from both the government and the academia. Attracted by high profit margins, many companies have chosen to allocate financial assets, aiming to promote business development through such activities. On one hand, the government must guard against the risks of “shifting focus from the real to the virtual economy” brought by corporate financial asset allocation, but on the other hand, it should guide financial markets to foster enterprise growth, thereby achieving the goal of “utilizing the virtual to support the real economy”. As a direct reflection of the market's evaluation of enterprise value, stock prices reflect investors' assessments and expectations of corporate behavior. Consequently, changes in a company's asset allocation can impact the long-term risk of stock price volatility. Against this background, an issue that urgently needs to be addressed is, accurately understanding the impact of corporate financial asset allocation on long-term risk of stock price volatility from the perspective of investor expectations. A deep understanding of this issue is thus essential for effectively regulating and mitigating the risks associated with corporate financial asset allocation, to create a positive interaction between financial markets and the real economy. Building on the classic model of Grossman and Stiglitz (1980), this paper incorporates corporate financial asset allocation, investors' expectations of corporate financial asset allocation and their investment decisions into a unified theoretical framework, so as to analyze the impact of corporate financial asset allocation on the risk of long-term risk of stock price volatility. A key assumption is that investors have differentiated expectations regarding corporate financial asset allocation: investors with optimistic (pessimistic) expectations believe that an increase in the level of corporate financial asset allocation will enhance (reduce) the firm's stock value and its stability. Through mathematical deductions, propositions are derived, testable hypotheses are formulated and then empirically tested using data from Chinese listed companies from 2008 to 2022. We found that the impact of corporate financial asset allocation on long-term risk of stock price volatility exhibits “pro-cyclicality”: in markets dominated by investors with optimistic (pessimistic) expectations about corporate financial asset allocation, corporate financial asset allocation reduces (increases) the long-term risk of stock price volatility. Mechanism analysis shows that corporate financial asset allocation can alleviate the long-term risk of stock price volatility by clarifying investor expectations and by reducing overconfidence of investors, but it may increase the long-term risk of stock price volatility by curbing the development of enterprises' main businesses, and thus increase the pessimistic expectations of investors on corporate financial asset allocation. Based on these findings, several policy recommendations are proposed. Firstly, at the investor level, investors should keep an active eye on the information about corporate financial asset allocation, correctly view the behavior of corporate financial asset allocation, and enhance their financial literacy. This helps avoid forming irrationally pessimistic expectations about financial asset allocation by some investors, thereby reducing the potential risks arising from financial asset allocation. Secondly, at the corporate level, companies should reasonably allocate financial assets, harness the positive role of financial assets, and achieve a win-win situation where financial services support the real economy. For companies with poor operating conditions, more caution should be exercised in dealing with the risks that financial asset allocation may bring about under the influence of pessimistic investor expectations, in order to prevent further deterioration of their capital market performance. Finally, at the regulatory level, regulatory authorities could refer to market sentiment indicators and adopt corresponding constraints to implement “pre-emptive regulation” from the perspective of investor expectations, preventing the increased long-term risk of stock price volatility under the influence of strong pessimistic expectations. Regulatory authorities should pay close attention to the changes in financial market sentiment, remain vigilant against the “pro-cyclicality” nature of financial asset allocation, and guard against the negative effects of financial asset allocation during economic downturns, particularly when irrationally pessimistic expectations dominate the market. Marginal contributions of this paper are multifold. Firstly, this paper builds up a theoretical model from the investors' perspective, incorporating their differentiated expectations regarding corporate financial asset allocation, which allows for a more accurate modelling of the irrational behavior in the stock market. Secondly, it innovatively proposes that corporate financial asset allocation, by changing the asset structure, affects the precision of the information set relied upon by investors in their decision-making, thereby helping to mitigate the degree of investor overconfidence. Thirdly, it considers the signaling effect of financial asset allocation. Corporate financial asset allocation can clarify investor expectation, which in turn influences the long-term risk of stock price volatility. Finally, it finds that the impact of corporate financial asset allocation on the long-term risk of stock price volatility has a nature of “pro-cyclicality”, which helps provide valuable insights for regulatory authorities in implementing “pre-emptive regulation” of corporate financial asset allocation behaviors.
郭桂霞, 孙嘉梁. 企业金融资产配置与股价长期波动风险——基于投资者对企业金融资产配置预期视角的分析[J]. 金融研究, 2025, 535(1): 114-133.
GUO Guixia, SUN Jialiang. Corporate Financial Asset Allocation and Long-term Risk of Stock Price Volatility: An Analysis from the Perspective of Investors' Expectation on Corporate Financial Asset Allocation. Journal of Financial Research, 2025, 535(1): 114-133.
[1]邓超、夏文珂和陈升萌,2019,《非金融企业金融化:“股价稳定器”还是“崩盘助推器”》,《金融经济学研究》第3期,第120～136页。 [2]董志勇和韩旭,2008,《模糊厌恶和羊群行为》,《经济科学》第2期,第51～64页。 [3]杜勇、张欢和陈建英,2017,《金融化对实体企业未来主业发展的影响:促进还是抑制》,《中国工业经济》第12期,第113～131页。 [4]段江娇、刘红忠和曾剑平,2017,《中国股票网络论坛的信息含量分析》,《金融研究》第10期,第178～192页。 [5]高昊宇、杨晓光和叶彦艺,2017,《机构投资者对暴涨暴跌的抑制作用:基于中国市场的实证》,《金融研究》第2期,第163～178页。 [6]何诚颖、陈锐、薛冰和何牧原,2021,《投资者情绪、有限套利与股价异象》,《经济研究》第1期,第58～73页。 [7]黄贤环、吴秋生和王瑶,2018,《金融资产配置与企业财务风险:“未雨绸缪”还是“舍本逐末”》,《财经研究》第12期,第100～112页。 [8]金大卫和冯璐茜,2016,《过度自信、分析师跟进与资本市场定价效率——基于R2视角的实证研究》,《管理评论》第12期,第41～53页。 [9]李小荣、毕英睿和吴楠,2024,《企业“脱实向虚”与劳动力技能升级》,《经济科学》第2期,第91~114页。 [10]刘珺、盛宏清和马岩,2014,《企业部门参与影子银行业务机制及社会福利损失模型分析》,《金融研究》第5期,第96～109页。 [11]彭俞超、倪骁然和沈吉,2018,《企业“脱实向虚”与金融市场稳定——基于股价崩盘风险的视角》,《经济研究》第10期,第50～66页。 [12]司登奎、李小林和赵仲匡,2021,《非金融企业影子银行化与股价崩盘风险》,《中国工业经济》第6期,第174～192页。 [13]许年行、于上尧和伊志宏,2013,《机构投资者羊群行为与股价崩盘风险》,《管理世界》第7期,第31～43页。 [14]叶康涛、曹丰和王化成,2015,《内部控制信息披露能够降低股价崩盘风险吗？》,《金融研究》第2期,第192～206页。 [15]曾雪云和曲扬,2023,《“利润蓄水池”效应、新〈金融工具准则〉与实体金融化抑制》,《会计研究》第12期,第77~91页。 [16]张成思和张步昙,2016,《中国实业投资率下降之谜:经济金融化视角》,《经济研究》第12期,第32～46页。 [17]张宗新和王海亮,2013,《投资者情绪、主观信念调整与市场波动》,《金融研究》第4期,第142～155页。 [18]赵林丹和梁琪,2021,《企业金融化与股价“同涨同跌”现象》,《南开经济研究》第2期,第181～200页。 [19]Abreu, M. and V. Mendes, 2012, “Information, Overconfidence and Trading: Do the Sources of Information Matter？,” Journal of Economic Psychology, 33(4), pp. 868～881. [20]Banerjee, A. V., 1992, “A Simple Model of Herd Behavior,” Quarterly Journal of Economics, 107(3), pp. 797～817. [21]Davis, L. E., 2018, “Financialization and the Non-financial Corporation: An Investigation of Firm-level Investment Behavior in the United States,” Metroeconomica, 69(1), pp. 270～307. [22]Ding, S., A. Guariglia and J. Knight, 2013, “Investment and Financing Constraints in China: Does Working Capital Management Make A Difference？”, Journal of Banking and Finance, 37(5), pp. 1490～1507. [23]Duchin, R., 2010, “Cash Holdings and Corporate Diversification,” Journal of Finance, 65(3), pp. 955～992. [24]Grossman, S. J. and J. E. Stiglitz, 1980, “On the Impossibility of Informationally Efficient Markets,” American Economic Review, 70(3), pp. 393～408. [25]Sandroni, A. and F. Squintani, 2013, “Overconfidence and Asymmetric Information: The Case of Insurance,” Journal of Economic Behavior and Organization, 93(2), pp. 149～165.
