经济周期约束下研发投资对股票预期收益的影响
发布时间：2019-07-07 19:34
【摘要】：虽然研发活动是公司创新、提高生产效率的有效途径之一,但是,研发活动的不确定性也会导致公司面临各种风险,进而影响资本市场投资者对公司未来业绩和风险的判断,从而对股票预期收益率产生影响。研发活动的不同环节、不同层面对公司风险和未来收益的影响方式不同,同时经济周期也会影响研发投入决策、研发成本、产出投产等方面,因此导致在不同的经济周期,研发投资的不同指标对股票预期收益是具有不同的影响作用,因此本文不仅研究不同种类研发投资对股票预期收益影响,同时引入经济周期约束来分析不同经济周期对各类研发投资和股票预期收益关系的影响。本文在梳理研发投资、经济周期与股票预期收益相关文献基础上,以我国沪深两市全部A股(剔除部分异常值)1995年-2014年上市公司为研究样本,在统一框架内利用固定效应模型实证考察了在我国不同研发投资对股票预期收益的影响,同时考虑到经济周期会影响研发投入决策、研发成本、产出投产等方面,经济周期可能是影响研发投资与股票预期收益之间关系关键的影响因素之一,所以进一步分析了在经济周期约束下,不同研发投资对股票预期收益影响的变化情况。实证结果表明:不同的研发投资对股票预期收益有不一样的影响,研发投入对股票预期收益有显著的正向影响,研发产出专利和研发效率对股票预期收益率有负向的影响,且不一样专利类型对股票预期收益率的影响程度不同;然后考虑经济周期影响因素,在不同经济周期下,研发投资对股票收益的影响也发生了较大变化,研发投入在经济上行和下行时期都对股票预期收益有正向的影响,而在经济下行时期显著小于经济上行时期的影响;研发产出专利在经济上行时期依然保持负向影响,在经济下行时期为正向显著影响。这两种变化原因之一是在不同经济周期下,研发的调整成本的不对称性,对公司运营风险产生变化,所以对公司股票预期收益有不一样的影响。而研发效率对股票预期收益保持负向影响,特别是在经济上行时期,说明研发效率展示公司资源利用能力,能减小公司风险,降低股票预期收益。通过本文实证研究,不仅能丰富研发方面的学术研究,也能为投资者分析公司研发活动提供帮助。
[Abstract]:Although R & D activities are one of the effective ways to innovate and improve production efficiency, the uncertainty of R & D activities will also lead to various risks, which will affect the judgment of capital market investors on the future performance and risk of the company, thus affecting the expected return on stocks. Different aspects of R & D activities have different effects on the risk and future income of the company. At the same time, the economic cycle will also affect the R & D input decision, R & D cost, output production and so on. Therefore, in different economic cycles, different indicators of R & D investment have different effects on the expected return of stocks. Therefore, this paper not only studies the impact of different types of R & D investment on the expected return of stocks. At the same time, the economic cycle constraints are introduced to analyze the influence of different economic cycles on the relationship between R & D investment and expected return of stocks. On the basis of combing the literature on R & D investment, economic cycle and stock expected return, this paper takes all A shares in Shanghai and Shenzhen stock markets (excluding some outliers) as research samples from 1995 to 2014, and empirically examines the influence of different R & D investment on stock expected return in China by using fixed effect model within a unified framework, taking into account that economic cycle will affect R & D investment decision and R & D cost. In terms of output and production, economic cycle may be one of the key factors affecting the relationship between R & D investment and stock expected return, so the changes of the influence of different R & D investment on stock expected return under the constraint of economic cycle are further analyzed. The empirical results show that different R & D investments have different effects on stock expected returns, R & D investment has significant positive effects on stock expected returns, R & D output patents and R & D efficiency have negative effects on stock expected returns, and different patent types have different degrees of influence on stock expected returns. Then considering the influencing factors of economic cycle, the influence of R & D investment on stock return has also changed greatly under different economic cycles. R & D investment has a positive impact on the expected return of stock in both economic upward and downward periods, but significantly less in the economic downlink period than in the economic uplink period. The R & D output patent is still negative in the economic uplink period and has a positive and significant impact in the economic downward period. One of the reasons for these two changes is that under different economic cycles, the asymmetry of the adjustment cost of R & D has a different impact on the operating risk of the company, so it has different effects on the expected return of the company's stocks. The R & D efficiency has a negative impact on the expected return of stocks, especially in the period of economic uplink, which shows that R & D efficiency can reduce the risk of the company and reduce the expected return of the stock. Through the empirical research in this paper, it can not only enrich the academic research in R & D, but also provide help for investors to analyze the R & D activities of the company.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F275;F273.1
本文编号：2511388
[Abstract]:Although R & D activities are one of the effective ways to innovate and improve production efficiency, the uncertainty of R & D activities will also lead to various risks, which will affect the judgment of capital market investors on the future performance and risk of the company, thus affecting the expected return on stocks. Different aspects of R & D activities have different effects on the risk and future income of the company. At the same time, the economic cycle will also affect the R & D input decision, R & D cost, output production and so on. Therefore, in different economic cycles, different indicators of R & D investment have different effects on the expected return of stocks. Therefore, this paper not only studies the impact of different types of R & D investment on the expected return of stocks. At the same time, the economic cycle constraints are introduced to analyze the influence of different economic cycles on the relationship between R & D investment and expected return of stocks. On the basis of combing the literature on R & D investment, economic cycle and stock expected return, this paper takes all A shares in Shanghai and Shenzhen stock markets (excluding some outliers) as research samples from 1995 to 2014, and empirically examines the influence of different R & D investment on stock expected return in China by using fixed effect model within a unified framework, taking into account that economic cycle will affect R & D investment decision and R & D cost. In terms of output and production, economic cycle may be one of the key factors affecting the relationship between R & D investment and stock expected return, so the changes of the influence of different R & D investment on stock expected return under the constraint of economic cycle are further analyzed. The empirical results show that different R & D investments have different effects on stock expected returns, R & D investment has significant positive effects on stock expected returns, R & D output patents and R & D efficiency have negative effects on stock expected returns, and different patent types have different degrees of influence on stock expected returns. Then considering the influencing factors of economic cycle, the influence of R & D investment on stock return has also changed greatly under different economic cycles. R & D investment has a positive impact on the expected return of stock in both economic upward and downward periods, but significantly less in the economic downlink period than in the economic uplink period. The R & D output patent is still negative in the economic uplink period and has a positive and significant impact in the economic downward period. One of the reasons for these two changes is that under different economic cycles, the asymmetry of the adjustment cost of R & D has a different impact on the operating risk of the company, so it has different effects on the expected return of the company's stocks. The R & D efficiency has a negative impact on the expected return of stocks, especially in the period of economic uplink, which shows that R & D efficiency can reduce the risk of the company and reduce the expected return of the stock. Through the empirical research in this paper, it can not only enrich the academic research in R & D, but also provide help for investors to analyze the R & D activities of the company.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F275;F273.1
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