创新赋能与资本市场定价效率

Innovation Empowerment and High-Quality Development of the Capital Market

新质生产力是经济高质量发展的推动力和支撑力,而创新作为新质生产力的首要特征,是否以及如何赋能资本市场的高质量发展,是一个值得思考的问题。以2011—2020年中国A股上市公司为研究样本,从盈余公告后的漂移视角,可探究创新产出与资本市场定价效率之间的关系,并尝试厘清创新产出对资本市场定价效率影响的作用机制。研究发现,创新产出能够显著缓解盈余公告后漂移,提高资本市场定价效率;而且创新产出的突破性程度越高,其影响作用越强。机制检验发现,企业创新对资本市场定价效率的提升主要缘于:创新水平高的企业具有高的盈余持续性以及较低的信息不确定性。异质性检验发现:创新产出对盈余公告后漂移的抑制作用主要发生在分析师跟踪人数较多、媒体报道较多以及机构投资者持股较高的企业;而且,相对于非“四大”审计的公司,“四大”审计的公司的创新产出对盈余公告后漂移的作用更为突出。

Utilizing a sample of Chinese A-share listed firms from 2011 to 2020,this study investigates the relationship between innovation outputs and capital market pricing efficiency through the lens of post-earnings announcement drift(PEAD).The study reveals that innovation outputs significantly mitigate PEAD,with the attenuation effect growing stronger as the breakthrough level of the innovation intensifies.Mechanism analysis suggests that the enhancement in capital market pricing efficiency due to corporate innovation primarily arises from high innovation-level firms exhibiting sustained earnings and reduced information uncertainty.Heterogeneity tests indicate that the dampening impact of innovation outputs on PEAD predominantly manifests in firms with a substantial number of analyst followings,extensive media coverage,and elevated institutional ownership.Notably,when compared to non-Big Four audited companies,those audited by the “Big Four” manifest a more pronounced effect of innovation output on PEAD.These insights provide theoretical evidence for the enhancement of liquidity and pricing efficiency in China's capital market and establish a scholarly foundation for the high-quality development of the capital market underpinned by innovation.