| Since the 2008 financial crisis, the stock market in China had been in the doldrums by 2014. Chinese government vigorously promotes the comprehensive reform and economic stimulus policies, and as a result, stock market in China ended several years of decline, and the Shanghai composite indicator rose 52.8% by the end of 2014. Stock market in China performed only after Argentina in the global stock market, and became the best performing stock market in Asia by the end of 2014. As the most concerned problem of stock investors, studies about stock returns attract the attention of scholars at home and abroad again.Recent studies provide evidences suggesting that owing to limited investor attention, prices do not fully and immediately impound the arrival of relevant public information. In recent years, governments focus on technological innovation, and as result, scholars begin to study the predictability of technological innovation indicators, which reflect incremental information of the company’s future potential ability and which investors pay less attention to, on stock returns. Since 1996, scholars at home and abroad made empirical analysis of the important role which technological innovative input, and output play on the predictability of stock returns. Foreign scholars furtherly made Fama-Macbeth empirical cross-sectional regression analysis from the perspective of efficiency to study the impact of technological innovative efficiency play on US stock returns in 2013. As a comprehensive and dimensionless indicator which measures the technological innovative capability, and compared with the purely technological innovative input or output indicators, technological innovative efficiency can measure the impact of technological innovation on stock returns better. There is no empirical analysis to study the impact which technological innovative efficiency plays on stock returns in China ever, and no further research on the impact which the technological innovation plays on the relationship between technological innovative efficiency and stock returns as a regulatory factor, neither. Therefore, this paper will make empirical analysis of the two research issues above.Based on the related literature review of literatures at home and abroad, and designing technological innovative efficiency variables according to the two-stage technological innovation model, this paper build a panel regression model in China using the technological innovative efficiency indicator, cross multiply indicator of technological innovative efficiency and market capitalization size, and stock returns indicator. And then this paper make empirical analysis using the panel data of manufacturing sub-industries in China from 2005 to 2012, based on industry division standards of the Government Sector and the Securities Regulatory Commission. The results show that: there is a significant and positive impact of technological innovative efficiency on stock returns, and the incremental information indicator technological innovative efficiency and the public information indicator size have an interaction effect on stock returns. The empirical results will help stock investors make better industry selection decisions when they decide which stock to invest, and will also provide references for the industry financiers to raise industry’s returns on investment and to optimize resource allocation, will as well as help the national government to make policies for industry development and technological innovation. |
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