科技溢出与有限关注度对股票收益的影响研究

The Impact of Technological Spillover and Limited Attention on Stock Returns

企业科技研发不仅能提升自身的竞争力,还能通过科技溢出效应惠及科技关联企业。本文采用上市公司的专利数据和分析师一致盈余预测数据构建了科技溢出指标,检验了科技溢出效应对我国股票收益率的影响,并深入探讨了投资者有限关注度在其中起到的作用。实证结果表明:我国资本市场具有显著的科技溢出效应,使用科技溢出指标构建的多空投资组合能够获得显著的投资收益,并且该收益不能被常见的风险因子模型解释。本文进一步发现,在市场关注度较高或科技关联复杂程度较低的股票中,科技溢出指标的投资价值更低,说明科技溢出效应对我国股票收益率的影响可以用投资者有限关注理论解释。

The technology research and development of focal firms can not only enhance their own competitiveness,but also benefit the technology-related companies through technological spillover effects.This paper uses the patent data of A-share listed companies and analysts'consensus earnings forecast data to construct a technological spillover indicator,examines the impact of technological spillover effects on stock returns,and deeply explores the role of investors'limited attention.The empirical results show that there is a significant technological spillover effect in A-share market of China.The long-short portfolio based on technological spillover indicators can obtain significant excess returns,which cannot be subsumed by the well-established risk factor models.This paper further finds that in the stocks with high market attention or low technology-related complexity,the investment value of technological spillover indicators is lower,indicating that the impact of technological spillover effects on stock returns can be explained by investors'limited attention theory.