Journal of Banking & Finance · Available online 24·AUGUST 2017

吸收能力，技术溢出效应和股票收益横截面

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

摘要：研究表明，在存在潜在的技术溢出效应的情况下，由研发投资衡量的一个企业的吸收能力（AC）对来自溢出效应的收益至关重要。我发现，较高吸收能力的公司在面临较大潜在的溢出效应时，表现出更强的未来实际成果（专利权益和经营业绩）和市场价值。然而，重要的是，与这一价值相关的信息似乎并没有立即纳入股票价格中，进而导致有着高吸收能力和溢出效应的公司的未来异常股票收益较高。此外，低投资者关注的股票中的低估现象最为明显，这表明有限关注导致了低估。

关键词：溢出，创新，研发，有限关注，市场效率

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: Spillover, Innovation, R&D, Limited attention, Market efficiency

原文链接：

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

翻译：贾梦悦