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

資本投資、創新能力與股票收益

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；本文研究投入創新能力的資本對于股票未來收益、投資以及盈利的動态影響，該研究是通過對創新能力投資的獨特影響建模進行的，而該影響可以由投資前後所帶來的不确定性收入的變化衡量。該模型強調對投資後不同的制度與收入變化，創新投資對股票期望收益也會産生不同的影響。在非增收益的新古典假設下，創新投資與滞後一期的股票收益具有正的序列相關關系。同時模型也預測創新投資與企業未來的投資與收益具有正向關系。以上預測均有較強的經驗證據支持。

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.

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12419/full

翻譯：秦秀婷