公司创新投入对股票特质风险的影响--基于有中介调节效应的检验  

The Effect of Corporate Innovation Investment on Stock Idiosyncratic Risk: Test Based on a Mediated Moderator Model

作　　者：陆静[1] 邱于航 秦大超 Lu Jing;Qiu Yuhang;Qin Dachao

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《证券市场导报》2021年第12期42-53,共12页Securities Market Herald

基　　金：国家自然科学基金面上项目“基于市场关注的股票特质波动风险研究”(项目编号:71973018)。

摘　　要：本文基于2007―2020年沪深A股上市公司样本数据,探究了中国资本市场环境下公司创新投入对股票特质风险的影响及其机制,尤其是投资者异质信念在两者间的中介作用以及公司创新信息环境的调节作用。研究发现,公司创新投入显著增加了股票的特质风险,投资者异质信念在两者间起到中介作用,创新信息环境通过投资者异质信念这一中介机制负向调节了创新投入对股票特质风险的影响。研究表明,激励和引导分析师充分发挥信息中介作用,将有助于投资者正确评估公司创新投入价值而形成一致意见,进而降低创新投入对股票特质风险的影响。Using the sample of China’s A-share listed companies from 2007 to 2020,this paper analyzes the impact and mechanism of innovation investment on stock idiosyncratic risk in China’s capital market,especially the intermediary role of investors’heterogeneous beliefs between innovation investment and stock idiosyncratic risk and adjustment role of the innovation information environment.This paper finds out that the innovation investment significantly increases the idiosyncratic risk of stocks,and investors’heterogeneous beliefs play an intermediary role in this process.Innovation information environment offsets the impact of innovation investment on stock idiosyncratic risk through the intermediary mechanism of investors’heterogeneous beliefs.The results show that encouraging and guiding security analysts to take full advantage of intermediary information can help investors correctly evaluate the corporate innovation investment and form a consensus on the stock price,thereby reducing the positive impact of innovation investment on stock idiosyncratic risk.

关 键 词：创新投入 股票特质风险 投资者异质信念 分析师关注度 

分 类 号：F830[经济管理—金融学]