企业数字化能带来超额股票收益吗?——一个投资者数字偏好的视角

Can Enterprise Digitization Deliver Excess Stock Returns?—From an Investor's Perspective on Digital Preferences

本文建立一个包含投资者数字偏好的资产定价模型,解释企业数字化带来的股票超额收益的问题。理论分析和基于2010—2021年A股上市企业数据的实证分析表明:第一,企业数字化能带来股票超额收益。与没有数字化的企业相比,数字化能带来2%左右的股票超额收益。第二,投资者数字偏好与超额收益之间存在显著的倒U型的非线性关系。当数字偏好超过一定阈值后,股票超额收益会随数字偏好上升而下降。第三,本文构建了数字因子,并建立包含市场因子与数字因子的双因子模型,发现数字因子对股票收益具有显著的解释能力。以Fama-French三因子模型为例,包含市场因子与数字因子的双因子模型比三因子模型的解释能力强28.2%。本文的研究有助于理解数字经济这一新兴业态对股票市场的影响,为企业和投资者制定投资策略提供参考。

In the context of the digital economy,enterprise digitization has drawn extensive attention from both academia and the investment community.Digitization may impact the fundamental information of enterprises and attract the interest of in⁃vestors in the securities market,ultimately influencing stock market performance.This paper discusses the possible investors'preferences for digital stocks and attempts to explain the stock excess returns resulting from enterprise digitization.This paper analyzes whether enterprise digitization can achieve excess returns by establishing an asset pricing model that includes investors'digital preferences.The model shows that digital preferences affect the equilibrium of the securities market and investors'choices,significantly adjusting the stock excess returns of enterprise digitization.The empirical study selects Chinese A-share listed companies from 2010 to 2021 as research samples and examines the impact of investors'digital prefer⁃ences on the excess returns of enterprise digitization.The research findings are as follows:Firstly,enterprise digitization can bring cross-sectional excess returns to stocks.Compared with enterprises without digitization,those with digitization can gener⁃ate approximately 2%of stock excess returns.Secondly,there is a significant inverted U-shaped nonlinear relationship be⁃tween investors'digital preferences and excess returns.When digital preferences exceed a certain threshold,stock excess re⁃turns will decline as digital preferences increase.Thirdly,this paper constructs digital factor and establishes a two-factor model containing market factor and digital factor,and finds that digital factor has significant explanatory power for stock re⁃turns.Taking the Fama-French three-factor model as an example,this two-factor model has 28.2%stronger explanatory power than the three-factor model.This paper provides a new research perspective for comprehensively evaluating the impact of the emerging business form of the digital economy on the stock market.From the perspective of investors'digital preferences,it also provides new empirical evidence for research on investor behavior and stock market performance.The research conclusions are helpful for enterprises to achieve high-quality growth in digitization,reduce the irrational behavior of investors in the securities market,and also pro⁃vide a decision-making basis for the government and relevant departments to guide the digital trend and improve the capital market.