【摘要】：雖然研發(fā)活動是公司創(chuàng)新、提高生產(chǎn)效率的有效途徑之一,但是,研發(fā)活動的不確定性也會導致公司面臨各種風險,進而影響資本市場投資者對公司未來業(yè)績和風險的判斷,從而對股票預期收益率產(chǎn)生影響。研發(fā)活動的不同環(huán)節(jié)、不同層面對公司風險和未來收益的影響方式不同,同時經(jīng)濟周期也會影響研發(fā)投入決策、研發(fā)成本、產(chǎn)出投產(chǎn)等方面,因此導致在不同的經(jīng)濟周期,研發(fā)投資的不同指標對股票預期收益是具有不同的影響作用,因此本文不僅研究不同種類研發(fā)投資對股票預期收益影響,同時引入經(jīng)濟周期約束來分析不同經(jīng)濟周期對各類研發(fā)投資和股票預期收益關(guān)系的影響。本文在梳理研發(fā)投資、經(jīng)濟周期與股票預期收益相關(guān)文獻基礎(chǔ)上,以我國滬深兩市全部A股(剔除部分異常值)1995年-2014年上市公司為研究樣本,在統(tǒng)一框架內(nèi)利用固定效應(yīng)模型實證考察了在我國不同研發(fā)投資對股票預期收益的影響,同時考慮到經(jīng)濟周期會影響研發(fā)投入決策、研發(fā)成本、產(chǎn)出投產(chǎn)等方面,經(jīng)濟周期可能是影響研發(fā)投資與股票預期收益之間關(guān)系關(guān)鍵的影響因素之一,所以進一步分析了在經(jīng)濟周期約束下,不同研發(fā)投資對股票預期收益影響的變化情況。實證結(jié)果表明:不同的研發(fā)投資對股票預期收益有不一樣的影響,研發(fā)投入對股票預期收益有顯著的正向影響,研發(fā)產(chǎn)出專利和研發(fā)效率對股票預期收益率有負向的影響,且不一樣專利類型對股票預期收益率的影響程度不同;然后考慮經(jīng)濟周期影響因素,在不同經(jīng)濟周期下,研發(fā)投資對股票收益的影響也發(fā)生了較大變化,研發(fā)投入在經(jīng)濟上行和下行時期都對股票預期收益有正向的影響,而在經(jīng)濟下行時期顯著小于經(jīng)濟上行時期的影響;研發(fā)產(chǎn)出專利在經(jīng)濟上行時期依然保持負向影響,在經(jīng)濟下行時期為正向顯著影響。這兩種變化原因之一是在不同經(jīng)濟周期下,研發(fā)的調(diào)整成本的不對稱性,對公司運營風險產(chǎn)生變化,所以對公司股票預期收益有不一樣的影響。而研發(fā)效率對股票預期收益保持負向影響,特別是在經(jīng)濟上行時期,說明研發(fā)效率展示公司資源利用能力,能減小公司風險,降低股票預期收益。通過本文實證研究,不僅能豐富研發(fā)方面的學術(shù)研究,也能為投資者分析公司研發(fā)活動提供幫助。
[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.
【學位授予單位】：電子科技大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51;F275;F273.1

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