Journal of Banking and Finance ·Volume 85· DEC 2017

吸收能力，技术溢出效应与横截面股票收益

作者：Jong-Min Oh (College of Business Administration, University of Central Florida)

摘要：在潜在技术溢出存在的情况下，本文证明了一个公司的以R＆D投资为代理变量的吸收能力（AC），对于从溢出效应中获益是至关重要的。本文发现具有较高的吸收能力的公司在面临巨大的潜在溢出效应时，将会表现出更强的未来实际产出（引用加权专利和经营业绩）和市场价值。然而更重要的是，这个价值相关的信息并没有立即在股票价格上被表现出来，导致高吸收能力和溢出效应暴露的公司在未来具有高的股票异常收益。此外，在低投资者关注股票中，这种低估现象最为明显，这表明投资者的有限关注导致了这种低估效应。

关键词：溢出效应，创新，R&D，有限关注，市场有效性

Absorptive capacity, technology spillovers, and the cross-section of stock returns

Jong-Min Oh (College of Business Administration, University of Central Florida)

ABSTRACT

In the presence of potential technology spillovers, I demonstrate that a firm's absorptive capacity (AC), as proxied by R&D investments, is crucial to benefit from spillovers. I find that higher AC firms, when exposed to large potential spillovers, exhibit stronger future real outcomes (cite-weighted patents and operating performance) and market value. Importantly, however, this value-relevant information does not appear to be immediately incorporated into stock prices, leading to high future abnormal stock returns for firms with high AC and spillover exposure. Furthermore, the undervaluation is most pronounced among low investor attention stocks, suggesting that limited attention contributes to the undervaluation.

Keywords: Spill over, Innovation, R&D, Limited attention, Market efficiency

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426617302029

翻译：张展