The Journal of Finance Volume 71, Issue5, October 2016, Pages2059—2094

资本投资、创新能力与股票收益

作者：Praveen Kumar (C.T. Bauer College of Business, University of Houston), Dongmei Li (Moore School of Business, University of South Carolina)

摘要；本文研究投入创新能力的资本对于股票未来收益、投资以及盈利的动态影响，该研究是通过对创新能力投资的独特影响建模进行的，而该影响可以由投资前后所带来的不确定性收入的变化衡量。该模型强调对投资后不同的制度与收入变化，创新投资对股票期望收益也会产生不同的影响。在非增收益的新古典假设下，创新投资与滞后一期的股票收益具有正的序列相关关系。同时模型也预测创新投资与企业未来的投资与收益具有正向关系。以上预测均有较强的经验证据支持。

Capital Investment, Innovative Capacity, and Stock Returns

Praveen Kumar (C.T. Bauer College of Business, University of Houston), Dongmei Li (Moore School of Business, University of South Carolina)

ABSTRACT

We study the dynamic implications of capital investment in innovative capacity (IC) on future stock returns, investment, and profitability by modeling the unique effects of IC investment on uncertain option generation/exercise and postexercise revenue. The model highlights the diverse effects of IC investment on expected returns in different postinvestment regimes and yields the novel prediction that, under the neoclassical assumption of nonincreasing revenue returns, IC investment is positively related to subsequent cumulative stock returns with a lag. The model also predicts a positive effect of IC investment on future investment and profitability. We find strong empirical support for these predictions.

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12419/full

翻译：秦秀婷