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dc.contributor.author范青亮
dc.contributor.author王婷
dc.date.accessioned2018-11-26T08:49:31Z
dc.date.available2018-11-26T08:49:31Z
dc.date.issued2016-03-20
dc.identifier.citation中国经济问题,2016,(02):84-100
dc.identifier.issn1000-4181
dc.identifier.otherZJJW201602007
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/165509
dc.description.abstract本文在Fama-French因子模型改进的基础上,用2004-2014年沪深300指数成分股公司的面板数据对企业层面的人力资本溢价进行实证分析,并研究企业并购行为对人力资本积累及其风险溢价的影响。本文还提出了用惩罚性准最大似然估计法进行模型估计,改进了普通GLS方法不能处理资产数目较大问题的局限性。实证研究结果表明:第一,企业层面的人力资本存在显著为正的风险溢价;第二,并购行为的频繁度对企业人力资本的风险溢价有显著影响;第三,同行业间人力资本流动性较强,具体体现在同行业公司超额收益相关性上。
dc.description.abstractIn this paper we study the risk premium of human capital using 2004-2014 Shanghai Shenzhen CSI 300 index composite stocks data based on modified Fama-French factor model. We examine the merger and acquisition activities of companies and its effect on human capital accumulation and its risk premium. We also proposed a penalized quasi maximum likelihood estimator( PQMLE) to address the limitation of GLS method when the number of assets is comparable to the number of observations. The empirical results show that:( 1) There is a significantly positive risk premium for human capital at firm level;( 2) M&A activities have strong effect on the risk premium of human capital; 3.Human capital flows within industries.Specifically,it is revealed in the correlations of excess returns of intra-industry companies.
dc.description.sponsorship国家自然科学基金青年项目(71301134)资助
dc.language.isozh_CN
dc.subject企业并购
dc.subject人力资本
dc.subject风险溢价
dc.subject多因子模型
dc.subject收缩估计
dc.subjectmerger and acquisition
dc.subjecthuman capital
dc.subjectrisk premium
dc.subjectmulti-factor model
dc.subjectshrinkage estimation
dc.title企业并购、人力资本与风险溢价——以沪深300指数成分股公司为例
dc.title.alternativeMerger and Acquisition,Human Capital and Risk Premium:Using CSI300 Index Stocks as an Example
dc.typeArticle


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