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

The Relationship between Innovation Investment and Stock Market Performance for GEM Firms: Based on the Company's Internal and External Perspective

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"绩效提升"机制与外部"投资者关注"机制中,后者发挥重要作用;(3)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,然而管理层机会主义行为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。

Summary： The literature shows that increased innovation investment is linked to higher stock price crash risk, because managers are loath to disclose innovation information （Aboody ＆ Lev, 2000; Kim ＆ Zhang, 2015）. The higher the risk of stock price collapse, the greater risk compensation investors require. This paper addresses the relationship between innovation and stock market performance in the growth enterprises market （GEM） in China where the institutional environment does not resemble that in other countries. Chinese companies can capitalize R＆D expenditures that meet capitalization criteria following the accounting standard requirements promulgated in 2006. Under the requirements, capitalization can signal the success of innovation investment. In addition, in Chinese GEM development, listed companies are obliged to disclose the progress of new technology and major R＆D changes in a timely manner, which helps to reduce information asymmetry. In terms of external effects, disclosure of R＆D information provides the necessary conditions for investors to focus on innovative enterprises. Investors＇ attention drives up the stock price based on the impact of investor purchasing preferences and can improve transmission efficiency of enterprise information through accumulated investors＇ information. When investors are concerned about a certain kind of stock, they spend more time and energy to interpret the information released by the enterprise and the market, which is helpful in improving information efficiency. At the same time, the success of innovation can bring excess returns for investors. The potential high yield of innovation is attractive to investors. Investors＇ preference for innovation helps to push up the stock price. Companies listed in the China GEM are famous for high growth compared to the companies listed in the China Main- Board Market. Innovation is one of the most crucial factors to promote enterprise development and expansion. Innovative enterprises in GEM are more able to get investors＇ attention. In the context of accounting standards for R＆D investment and the requirement of R＆D information disclosure in the China GEM, this paper discusses a possible mechanism through which innovation investment reduces the risk of stock price crash and increases excess returns by attracting investors in the GEM based on the new perspective of investors＇ attention. Drawing on the sample of firms listed in GEM during 2009--2014, this paper analyzes the relationship between innovation investment and stock market performance and explores the potential mechanism. The relationship is discussed between capital market performance of innovation and management decision making behavior. Among the findings in our studies, the first was that increased innovation investment in GEM firms is associated with lower stock price crash risk and higher abnormal return. Second, investors＇ attention is superior to performance improvement and plays a bigger role in the influence mechanism. Third, company management takes advantage of investors＇ attention to adjust R＆D investment and then reduce their share. Fourth, the link between R＆D investment and stock market performance is more pronounced for firms with a high level of capital innovation investment or firms in the bull market. Our findings are a departure from the existing foreign literature. Strict supervision of innovation information disclosure in the China GEM should follow from our conclusions. Moreover, innovative enterprises receive increasing attention under the strong support of governmental authorities. This research provides new empirical evidence for the developing countries in their transition phase. From the viewpoint of investors, innovation decisions may be distorted by managerial opportunism, which may constrain sustainability of innovation inputs. When a company suddenly engages in overdisclosure of R＆D information, it may be pursuing a good R＆D project; however, the management may be attracting investors＇ attention for short-term stock price considerations. Only enterprises with dedicated innovative capabilities can improve performance and help investors to receive sustained excess returns. Future research may aim to identify further misleading factors to help investors screen for high-quality enterprises.