THE JOURNAL OF FINANCIAL ECONOMICS· VOL.125, ISSUE.1·JUJY 2017

金融衍生品的光明一面：期权交易与公司创新

作者：Iván Blanco (CUNEF, Universidad Carlos III de Madrid), David Wehrheim (Universidad Carlos III de Madrid, IESE Business School)

摘要：金融衍生品可以提高或阻碍创新吗？我们通过检验股票期权和标准的公司创新测量值之间的关系回答了该问题。我们发现更活跃地进行期权交易的公司平均每美元研发投入将产生更多的专利和专利引用数。在采用了倾向评分匹配方法和工具变量控制期权交易潜在的内生性之后，我们的结果得到了证实。该证据与期权强化信息效率，从而提升公司资源配置的观点一致。我们进一步讨论了更活跃的期权市场强化创新所蕴含的经济机制，并发现即使控制了这些机制之后，该效用仍然巨大。考虑到样本公司中期权交易价值的平均增长情况，我们得到如下结论：期权交易量每增长200%，公司创新将增长约31%。

关键字：创新，研发生产力，期权市场，价格信息度，职业忧虑

The bright side of financial derivatives: Options trading and firm innovation

Iván Blanco (CUNEF, Universidad Carlos III de Madrid), David Wehrheim (Universidad Carlos III de Madrid, IESE Business School)

ABSTRACT

Do financial derivatives enhance or impede innovation? We answer this question by examining the relationship between equity options markets and standard measures of firm innovation. We find that firms with more options trading activity generate more patents and patent citations per dollar invested in research and development (R&D), after accounting for other confounding factors. These results are confirmed when we use a propensity score matching procedure and an instrumental variable approach to control for the potential endogeneity of options trading. The evidence is consistent with the notion that the enhanced informational efficiency induced by options leads to an improved allocation of corporate resources. We further discuss possible underlying economic mechanisms through which more active options markets boost innovation and show that the effect remains substantial even after controlling for these mechanisms. Considering the average increase in the dollar volume of options traded for our sample firms, we conclude that a 200% move in options volume increases firm innovation by about 31%.

Keywords: Innovation, R&D productivity, Options market, Price informativeness, Career concerns

原文链接：

http://www.sciencedirect.com/science/article/pii/S0304405X17300739

翻译：吴雨玲