摘要
从公司研发角度深入理解股价信息含量的功能,进而审视A股市场在中国经济转型发展进程中的作用,具有较高的理论价值与现实意义。本文基于2009—2017年中国上市公司面板数据,利用固定效应模型作为基准模型,同时通过GMM模型、工具变量法以及以"融资融券"作为自然实验等方法排除内生性问题,分析了股价信息含量对企业创新研发的因果影响,并对其作用机理进行了考察。实证结果表明:股价信息含量的提升促进了企业创新研发,在有效排除内生性问题后该结论依然成立;进一步对作用机制的考察中发现,股价信息含量主要通过"学习效应"和"监督效应"促进企业创新研发。本文的发现不仅揭示了股价信息含量对企业行为的实质影响,也为如何通过资本市场激励企业创新提供了新的思路。
It is of great practical significance to examine the function of stock price information from the perspective of corporate R&D and to examine the role of capital market in the process of China’s economic transformation and development.Based on the panel data of China’s listed companies from 2009 to 2014,this paper uses the fixed-effects model as the benchmark model,and uses the GMM model,instrumental variable method,and"Margin Trading"as natural experiments to eliminate endogenous problems,and then examine the causal effects of stock price information on firm R&D.The empirical results show that the increase of stock price information has a significant incentive effect on firm R&D.After adopting a series of methods to effectively eliminate endogenous problems,the conclusion is still valid.Further investigation of the mechanism reveals that the stock price information promotes firm R&D through"Learning effect"and"supervising effect".The findings of this paper not only reveal the substantial impact of stock price information on corporate behavior,but also provide new ideas for how to stimulate corporate innovation through capital markets.
作者
潘凌云
董竹
Pan Lingyun;Dong Zhu
出处
《金融学季刊》
2021年第1期142-172,共31页
Quarterly Journal of Finance
基金
国家社会科学基金项目(15BJY174)
教育部哲学社会科学研究重大课题攻关项目(17JZD016)的资助
关键词
股价信息含量
企业研发
学习效应
监督效应
stock price information
enterprise R&D
learning effect
supervision effect
