卖空机制、企业研发决策与创新绩效——基于市场学习效应的研究

Short-sale,R&D and Innovation Performance-Research Based on Market Learning Effect

基于上市公司样本,探讨管理者是否在研发投入中参考市场股价信号调整决策,且卖空机制是否强化了这种市场学习行为。研究发现:卖空机制提高了股价信息含量,使得管理者能从股价信号中获得更多的参考信息,因此更有可能基于股价信号来调整研发投入。控制融资约束假说之后,市场学习假说仍有解释力。控制误定价的影响后,市场学习效应仍然显著;误定价程度较高时,管理者在调整研发投入时参考股价信号的可能性降低。小公司股票的卖空限制和交易成本更多,因此卖空机制带来的市场学习效应在大公司更为显著。进一步研究证实,卖空机制为管理者提供更多的决策参考信息,有助于改善研发投入决策,提高创新绩效和全要素生产率。

Based on the data of listed companies,this paper studies whether managers refer to the market stock price and adjust the R&D investment decisions accordingly,and if the relaxation of short-sale constraint will reinforce this behavior.Research finds that the relaxation of short-sale constraint increases price informativeness,therefore managers can obtain more information from stock price and they are more likely to rely on stock price to adjust the R&D investment.When financial constraint is controlled,the learning effect is still significant.After considering the mispricing,the learning hypothesis still holds;when the mispricing is larger,managers are less likely to rely on stock price information;therefore the market-learning effect caused by short-selling is more significant for large companies.Short-sale trades provide more decision-relevant information for managers,thus helping them improve R&D investment decisions and increase innovation performance and TFP.