“市值蒸发”降低了公司的现金持有吗？——基于公司权益尾部风险视角
摘要
在世界经济全球化和一体化融合大发展的背景之下，我国资本市场稳步发展，市
场规模快速扩张，法律法规和制度建设逐步完善。但是，近些年来，由于外部宏观环
境复杂多变，各类金融危机、“黑天鹅事件”和“灰犀牛事件”频发，加之公司内部可
能存在经营和管理不当行为，我国上市公司的资本市场表现时常受到巨大的负面冲击。
此时，公司的资本市场表现极其糟糕，这些极糟糕的市场表现也被称之为权益尾部风
险。权益尾部风险通常使用在险价值（VaR）来度量。
公司权益尾部风险一旦发生，公司在股票市场上一般表现为股票价格大跌，资产
遭遇快速大幅贬值，公司“市值蒸发”严重。公司权益尾部风险通常伴随着外部宏观
环境突变、公司经营情况恶化和公司财务危机等问题。权益尾部风险还具有强烈的风
险传染性，容易造成恐慌蔓延，公司融资成本和代理成本增加等问题。现金是公司经
营的“血液”，是抵御风险和危机最有效的工具，是将公司从危机和风险中挽救出来最
重要的资源。因此，保持一定的流动性对于公司应对权益尾部风险来说至关重要。
国内外学者关于公司权益尾部风险的相关探讨和研究已层出不穷，但已有文献的
研究重心主要在公司权益尾部风险的度量和其与资产收益之间相关性关系这两个方面。
关于权益尾部风险对公司经营和财务策略的影响以及可能造成的社会经济后果的研究
可谓是凤毛麟角。现有文献缺乏对两者直接影响的研究，更加缺乏对两者内在影响机
制的研究。基于此，本文将公司的资本市场表现与管理层现金持有决策行为联系在一
起，对公司权益尾部风险与现金持有之间的关系和内在影响机制展开研究。
本文选取 2003年至 2020年我国沪深两市 A股的非金融类上市公司数据，实证研
究了公司如何基于权益尾部风险水平调整其现金持有量。更具体地说，公司权益尾部
风险如何影响其现金持有决策行为？本文发现公司现金持有与权益尾部风险水平之间
存在着特殊的倒“U”型关系。公司管理层的确会根据公司权益尾部风险水平的变化而
积极地调整其现金持有策略。通过机制分析发现，公司应对权益尾部风险的倒“U”型
现金持有策略是管理层出于预防性动机和市值管理动机而制定的。随着权益尾部风险
水平的增加，公司基于预防性动机将囤积现金，因而其现金持有水平提高。但是，当
权益尾部风险水平超过一定阈值时，权益尾部风险水平的进一步增加，公司的现金持
有水平却不断减少。本文创新性地发现公司是基于市值管理动机而减少其现金持有量。
在权益尾部风险超过倒“U”型转折点后，公司面临市值大幅蒸发的可能，将主动利用
囤积的现金，通过增加投资、现金分红和股票回购等方式来吸引投资者关注，从而达
到提升公司股价的目的。此时，公司现金持有量将减少。
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摘要
此外，本文研究还发现：（1）为应对权益尾部风险造成的流动性担忧问题，非国
有企业比国有企业在应对权益尾部风险时表现得更加敏感。同时，权益尾部风险与现
金持有的倒“ U”型关系在 2008年金融危机之前并不显著，在金融危机之后这种倒
“U”型关系才开始凸显。（2）公司应对权益尾部风险时的现金持有策略因公司融资约
束程度的不同而呈现显著性差异。融资约束程度低的公司更容易通过外部融资筹集所
需资金，因此其应对权益尾部风险时表现得更不敏感。（3）权益尾部风险视角下不同
代理问题公司的现金持有策略也存在着显著差别。代理问题较轻的公司预防性动机和
市值管理动机更加强烈。
关键词：现金持有；权益尾部风险；预防性动机；市值管理动机
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“市值蒸发”降低了公司的现金持有吗？——基于公司权益尾部风险视角
Abstract
Under the background of the globalization and integration of the world economy, my
country's capital market has developed steadily, the market scale has expanded rapidly, and
the construction of laws, regulations and systems has been gradually improved. However, in
recent years, due to the complex and changeable external macro environment, various
financial crises, "black swan incidents" and "grey rhinoceros incidents" have occurred
frequently, and there may be operational and management misconduct within the company.
Performance often suffers a huge negative shock. At this time, the company's capital market
performance is extremely poor, and these extremely poor market performance is also called
equity tail risk. Equity tail risk is often measured using value at risk (VaR).
Once the tail risk of the company's equity occurs, it is generally manifested in the stock
market as the stock price plummets, the company's assets experience rapid and substantial
depreciation, and the company's "market value evaporates" seriously. The tail risk of
corporate equity is usually accompanied by sudden changes in the external macro
environment, the deterioration of the company's operating conditions and the company's
financial crisis. Equity tail risk is also highly contagious, which can easily lead to the spread
of panic and increase the company's financing costs and agency costs. Cash is the "blood" of a
company's operations, the most effective tool to resist risks and crises, and the most important
resource to save a company from crises and risks. Therefore, maintaining a certain level of
liquidity is crucial for companies to deal with equity tail risk.
Scholars at home and abroad have made endless discussions and studies on the tail risk
of corporate equity, but the focus of the existing literature is on the measurement of corporate
equity tail risk and its correlation with asset returns. The research on the impact of equity tail
risk on the company's operating and financial strategies and the possible socio-economic
consequences can be said to be rare. There is a lack of research on the direct impact of the two,
and even less research on the internal impact mechanism of the two. Based on this, this paper
links the company's capital market performance with management's cash holding decision-
making behavior, and studies the relationship and internal impact mechanism between the
company's equity tail risk and cash holdings.
This paper selects the data of non-financial listed companies with A shares in my
country's Shanghai and Shenzhen stock exchanges from 2003 to 2020, and empirically studies
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