股价暴跌风险与企业创新  

Stock Price Crash Risk and Corporate Innovation

作　　者：江轩宇[1] 陈玥[1] 于上尧[2] Jiang Xuanyu;Chen Yue;Yu Shangyao(School of Accountancy,Central University of Finance&Economics;School of Business,Beijing Technology and Business University)

机构地区：[1]中央财经大学会计学院 [2]北京工商大学商学院

出　　处：《南开管理评论》2020年第3期200-211,共12页Nankai Business Review

基　　金：国家自然科学基金项目(71972193、71502185);北京工商大学国有资产管理协同创新中心开放课题资助。

摘　　要：在我国股价暴跌风险严重及实施创新驱动发展战略的背景下,本文尝试探讨股票收益的极端分布——暴跌风险是否影响企业创新及其作用机理。基于中国A股市场的经验证据显示:(1)股价暴跌风险越高,则企业创新水平越低;(2)当企业面临的融资约束程度较高,或控股股东存在股权质押行为时,二者的负向关系更强,说明融资成本提高及风险承担降低是抑制企业创新的重要原因。进一步研究表明,信息环境的改善可以缓解股价暴跌风险对企业创新的不利影响;股价暴跌风险的增加显著提高了企业的权益资本成本,并降低了其进行研发投入的风险承担行为,再次印证了本文提出的股价暴跌风险抑制企业创新的作用机理;且国有企业创新水平受股价暴跌风险的影响更为明显。本研究不仅有助于在理论上加深对企业创新影响因素和股价暴跌风险经济后果的认识,对实践中如何保障资本市场稳定,提高企业创新水平,推行国家的创新驱动发展战略也有着重要指导价值。The Chinese stock market has been suffering from stock price crash ever since 2015.Stock price crash would not only bring great damage to capital market investors,but also lead to recourse misallocation and further restrict the development of real economy.However,most existing literature focuses on the determinants of stock price crash risk,such as investors`heterogeneous beliefs,corporate governance,the information role played by market intermediaries,and political factors.Studies on the economic consequences of stock price crash risk are rather in absence.Corporate innovation is not only a most important guarantee of firms’competitive advantages,but also an essential source of a country’s economic growth.Therefore,this paper uses the number of innovative patents as a proxy for corporate innovation,and empirically examines how stock price crash risk affects firms’innovative activities.Our results show that,first,the higher the crash risk,the lower the innovation output,which proves that stock price crash risk is one of the important facts hindering corporate innovation.Second,the negative relationship between crash risk and innovation is more significant when firms are facing stronger financing constraints and when large shareholders have conducted stock pledge,which means that crash risk hinders corporate innovation by increasing firms’financing constraints and enhancing the companies’willingness to avoid risks.Third,better information environment would weaken the negative relationship between crash risk and corporate innovation.Forth,stock price crash risk has a significantly positive correlation with cost of equity capital and a significantly negative correlation with research and development(R&D)expenditures.This finding further verifies the mechanism that crash risk increases firms’financing constraints and decreases firms’risk taking,and thus hinders corporate innovation.Last but not least,the stock price crash risk has a stronger suppressing effect on state owned companies’innovation.Our s

关 键 词：股价暴跌风险 企业创新 融资约束 风险承担 信息环境 

分 类 号：F832.51[经济管理—金融学] F273.1