创业板上市公司创新投入与市场表现：基于公司内外部的视角
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| Title | The Relationship Between the Innovation Investment and Stock Market Performance in GEM Firms
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| 作者 | 周铭山 张倩倩 杨丹 |
| Author | Zhou Mingshan,Zhang Qianqian and Yang Dan |
| 作者单位 | 西南财经大学金融学院 |
| Organization | School of Finance, Southwestern University of Finance and Economics; School of Business Administration, Southwestern University of Finance and Economics |
| 作者Email | zhoumingshan@swufe.edu.cn：lemonqq90@sina.com；Yangd@swufe.edu.cn |
| 中文关键词 | 创新投入 崩盘风险 超额收益 投资者关注 管理层减持 |
| Key Words | Innovation Investment; Crash Risk; Abnormal Return; Investors Attention；Management Sales |
| 内容提要 | 本文运用2009-2014年创业板上市公司面板数据，研究了企业创新投入与股票市场表现之间的关系，并考察了这一关系下管理层的行为决策。研究发现：（1）创业板公司创新投入越多，股价崩盘风险越低，投资者获得的超额收益越高；（2）在可能存在的企业内部“信息披露质量改善”和“绩效提升”机制与外部“投资者关注”机制中，后者发挥主要作用；（3）在“投资者关注”假说下，企业创新投入越多，管理层减持可能性越高，投资者关注成为管理层主动调整R&D投入并借机减持的工具；（4）当股市是“牛市”或者企业资本化研发投入占比较高时，创新投入降低股价崩盘风险、提高超额收益的作用更为显著。本文的研究结论表明，在我国创业板市场上，投资者对创新的关注使得高创新投入伴随着低股价崩盘风险和高投资收益，理论上讲这有利于鼓励企业创新，然而管理层短视导致创新投入成为创业板上市公司管理层吸引投资者关注并借机减持的手段。 |
| Abstract | Using a sample of listed firms in GEM for the period 2009-2014，this paper studies the relationship between the innovation investment and stock market performance,and the management behavior. We find that:（1）Increased innovation investment in GEM firms is associated with lower stock price crash risk and higher abnormal return.（2）“Investors attention” is the main mechanism,by comparing the two possible mechanisms:“information disclosure improvement” and “performance improvement” VS “investors attention”.（3）Enterprise management can recognize this phenomenon and opportunistically adjust R&D investment to help they reduce their share.（4）The link between R&D investment and stock market performance is more pronounced for firms with high level of capital innovation investment or when the stock market is a “bull market”. Results show that the favor of investors to innovation in GEM lead to that increased innovation investment is followed by lower stock price crash risk and higher abnormal return, which is beneficial to encourage enterprises to innovate. However myopia managers make use of firm innovation investment，in part，to attract investors attention，influence stock price and take the opportunity to sell shares. |
| 文章编号 | WP997 |
| 登载时间 | 2015-12-22 |
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