上市公司技术创新能力与股票收益——来自中国资本市场的证据  

Technological Innovation Capability and Stock Returns of Listed Companies: Evidences from China's Capital Market

作　　者：杨亭亭[1] 黎智滔 李仲飞[3] YANG Ting-ting LI Zhi-tao LI Zhong-fei(Guangdong University of Finance and Economics, Guangzhou 510320 Sun Yat-sen University, Guangzhou 510275, China)

机构地区：[1]广东财经大学金融学院,广东广州510320 [2]中山大学岭南学院,广东广州510275 [3]中山大学管理学院,广东广州510275

出　　处：《当代财经》2017年第8期56-68,共13页Contemporary Finance and Economics

基　　金：国家自然科学基金青年项目"企业集团;货币政策与现金持有水平"(71402005);广东省哲学社会科学"十三五"规划基金青年项目"企业专利质量评估及其价值相关性研究"(GD16YYJ03)

摘　　要：为创新能力定价是资本市场能否有效服务技术创新的关键所在。通过借鉴Fama-French因子构建方法构造创新因子,以考察创新因子对股票收益的解释能力。研究发现:第一,企业的技术创新能力越强,股票收益越高;第二,相对于传统行业而言,技术创新能力对股票收益的正向作用在高科技行业中更大且更为显著;第三,技术创新能力通过影响企业在产品市场竞争中的市场势力,进一步作用于股票市场;第四,利用三因子模型和四因子模型检验发现,创新因子对股票收益的解释能力较强。中国企业应积极进行技术创新,提高创新能力,以便更好地利用资本市场进行融资。Pricing for innovation ability is the key to whether the capital market can effectively serve the technological innovation. This paper constructs the innovation factor by referring to the Fama-French factor construction method to study the ability of the innovation factor in explaining the stock return. The findings show that： firstly, the stronger the enterprise＇s technological innovation ca- pability, the higher the stock returns will be; secondly, compared with the traditional industries, the positive effect of technological innovation capability on stock returns is larger and more significant in high-tech industry; thirdly, technological innovation capability can further act on the stock markets through affecting the market power of the enterprise in the product market competition; and fourthly, the three-factor model and the four-factor model tests show that the innovation factor has a strong a- bility to explain the stock returns. Chinese enterprises should actively Carry out technological innova- tion and improve their innovative ability, so as to make better use of capital markets for financing.

关 键 词：技术创新能力 市场势力 股票收益 创新因子 

分 类 号：F830.91[经济管理—金融学]