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本文在厂商资本资产定价模型(PCAPM)的框架下构建包含企业实物资本投资和R&D投资的理论模型,证明了企业的R&D投资与股票收益正相关,且R&D投资对股票收益的影响程度与R&D产出弹性正相关。利用我国2007-2016年A股上市公司的月度数据,实证发现我国上市公司的R&D投资会提高公司的股票收益。当控制一个或多个影响股票收益的代表性公司特征后,公司的R&D投资与股票收益之间的正相关关系依然成立。以高科技行业为研究对象的进一步研究发现,对于拥有相对较高的R&D产出弹性的高科技公司,R&D投资与股票收益不仅显著正相关且股票收益也更高。
This paper builds a theoretical model that includes real capital investment and R & D investment under the framework of the firm capital asset pricing model (PCAPM), and proves that the R & D investment is positively correlated with the stock returns and the impact of R & D investment on stock returns and R & D investment Elasticity is positively correlated. Using the monthly data of A-share listed companies from 2007 to 2016 in our country, it is found that the R & D investment of listed companies in our country will increase the company’s stock returns. The positive correlation between a firm’s R & D investment and equity returns is still valid when one or more of the representative company characteristics that affect stock returns are controlled. A further study of high-tech industries found that for high-tech companies with relatively high R & D output elasticity, R & D investment is not only significantly positively correlated with stock returns but also returns higher.