中国高新技术企业研发溢出与公司股票收益率:基于吸收能力的实证研究

高新技术企业是中国创新体系中的重要创新主体,其研发活动能够在创新系统中形成溢出效应并影响其它企业的创新活动。运用随机前沿生产函数模型估算高新技术企业对外部研发溢出的吸收能力,利用2009-2015年企业的财务数据和股票行情数据,检验了企业对外部研发溢出的吸收能力对其长期股票收益率的影响。结果表明,在长期层面,企业对外部研发溢出的吸收对其股票收益率有正向滞后性影响。同时,在一定时期内,研发投入对企业吸收能力具有显著正向影响。

R & D Spillover and Stock Return of Chinese High-Tech Enterprises：An Empirical Research Based on the Perspective of Absorptive Capacity

High‐tech industry is the important unit in the innovation system in China ,they could form the research and de‐velopment (R&D) spillover effect and influence other firms .This paper uses a stochastic frontier production method to capture R&D incoming spillover effect ,and then conduct the empirical research using market data and financial data .The results show that firms reaping more benefits from R&D incoming spillover will experience more improvement in stock re‐turn in the long run .Moreover ,firms with the higher R&D investments may get the better absorptive capacity over cer‐tain period .