Growth Enterprise Market's Innovation Capability And Stock Return

Since its establishment,China's Growth Enterprise Market(GEM)has received extensive attention from investors.The exponential growth in the volume of the GEM market in recent years has also been seen as the backdrop behind investors' listing of high-tech companies in the GEM market.Based on this background,this article first examines the relationship between innovation capabilities and stock returns of listed companies in China's Growth Enterprise Market.In particular,this paper has selected four widely used indicators for measuring the innovative capabilities of listed companies,trying to select from them More innovati-ve indicators of stock returns information.Our observation of innovation-based innovation and innovation efficiency,two indicators of relativity-based listed companies'innovation capabilities,has found a significant correlation with stock excess returns,and innovation efficiency is better than innovation intensity.Through literature reading,we find that there are two mechanisms of listed company's innovation ability affecting its stock yield,that is,risk and wrong pricing mechanism.Based on the different theories of these two mechanisms,this paper then examines China's GEM market innovation-stock returns effect.origin of.Specifically,the two-step regression method of Fama-Macbeth was used to test whether innovation as a risk factor could significantly affect the excess returns of listed company stocks,and concluded that the innovation factor is not a risk factor of innovation-stock returns.Then the CAPM and Fama-French three-factor model was used to test whether the source of innovation-stock returns was erroneous pricing caused by investors' limited attention,and obtained the empirical test results supporting the original hypothesis,compared with the risk mechanism.The innovation factor is more likely to be the excess returns of stocks that are affected by the wrong pricing mechanism.Finally,we further proposed policy recommendations to strengthen China's patent protection environment construction and innovation-related information disclosure system for listed companies on the GEB market.