【摘要】：雖然研發(fā)活動(dòng)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(dòng)的不確定性也會(huì)導(dǎo)致公司面臨各種風(fēng)險(xiǎn),進(jìn)而影響資本市場(chǎng)投資者對(duì)公司未來(lái)業(yè)績(jī)和風(fēng)險(xiǎn)的判斷,從而對(duì)股票預(yù)期收益率產(chǎn)生影響。研發(fā)活動(dòng)的不同環(huán)節(jié)、不同層面對(duì)公司風(fēng)險(xiǎn)和未來(lái)收益的影響方式不同,同時(shí)經(jīng)濟(jì)周期也會(huì)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(dǎo)致在不同的經(jīng)濟(jì)周期,研發(fā)投資的不同指標(biāo)對(duì)股票預(yù)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(lèi)研發(fā)投資對(duì)股票預(yù)期收益影響,同時(shí)引入經(jīng)濟(jì)周期約束來(lái)分析不同經(jīng)濟(jì)周期對(duì)各類(lèi)研發(fā)投資和股票預(yù)期收益關(guān)系的影響。本文在梳理研發(fā)投資、經(jīng)濟(jì)周期與股票預(yù)期收益相關(guān)文獻(xiàn)基礎(chǔ)上,以我國(guó)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(shí)證考察了在我國(guó)不同研發(fā)投資對(duì)股票預(yù)期收益的影響,同時(shí)考慮到經(jīng)濟(jì)周期會(huì)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(jì)周期可能是影響研發(fā)投資與股票預(yù)期收益之間關(guān)系關(guān)鍵的影響因素之一,所以進(jìn)一步分析了在經(jīng)濟(jì)周期約束下,不同研發(fā)投資對(duì)股票預(yù)期收益影響的變化情況。實(shí)證結(jié)果表明:不同的研發(fā)投資對(duì)股票預(yù)期收益有不一樣的影響,研發(fā)投入對(duì)股票預(yù)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(duì)股票預(yù)期收益率有負(fù)向的影響,且不一樣專利類(lèi)型對(duì)股票預(yù)期收益率的影響程度不同;然后考慮經(jīng)濟(jì)周期影響因素,在不同經(jīng)濟(jì)周期下,研發(fā)投資對(duì)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(jì)上行和下行時(shí)期都對(duì)股票預(yù)期收益有正向的影響,而在經(jīng)濟(jì)下行時(shí)期顯著小于經(jīng)濟(jì)上行時(shí)期的影響;研發(fā)產(chǎn)出專利在經(jīng)濟(jì)上行時(shí)期依然保持負(fù)向影響,在經(jīng)濟(jì)下行時(shí)期為正向顯著影響。這兩種變化原因之一是在不同經(jīng)濟(jì)周期下,研發(fā)的調(diào)整成本的不對(duì)稱性,對(duì)公司運(yùn)營(yíng)風(fēng)險(xiǎn)產(chǎn)生變化,所以對(duì)公司股票預(yù)期收益有不一樣的影響。而研發(fā)效率對(duì)股票預(yù)期收益保持負(fù)向影響,特別是在經(jīng)濟(jì)上行時(shí)期,說(shuō)明研發(fā)效率展示公司資源利用能力,能減小公司風(fēng)險(xiǎn),降低股票預(yù)期收益。通過(guò)本文實(shí)證研究,不僅能豐富研發(fā)方面的學(xué)術(shù)研究,也能為投資者分析公司研發(fā)活動(dòng)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(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51;F275;F273.1

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