Research On Investors' Reaction To Innovation Activities Of Listed Companies Based On Innovation Input And Output Information

Innovation is a hot topic in the field of corporate finance in recent years.in financial field,The research on innovation mainly focuses on the effect of enterprise innovation on corporate performance and value,and the relationship between financial development and corporate innovation.In the capital market,the innovation information helps investors understand the growth and profitability of enterprises in the future.Therefore,this paper takes the innovation information of listed companies as a signal that can cause fluctuations in the stock market,and studies the response of investors to the innovation information of enterprises.If investors in the capital market can recognize the innovative activities of listed companies,and then improve the valuation of listed companies,it can in turn promote the innovative activities of enterprises,thus forming a virtuous circle.There are two types of information released by companies in the capital market: periodic accounting information and non-periodic event information.Periodic information will have an impact on the long-term trend of stock prices,while non-periodic information will often bring short-term fluctuations in stock prices.This paper divides enterprise innovation information into innovation input information and innovation output information.Input and output are the starting point and end point of company innovation,and they are also two different attributes of information.Innovation input is periodic accounting information.Investors can be informed by financial statements issued by listed companies regularly.Innovation output is non-periodic event information.Investors can be informed by announcements issued by enterprises irregularly.This study takes electronics,pharmaceutical and bio-manufacturing companies listed in Shanghai and Shenzhen as samples,because the high-tech industry has a higher knowledge-intensive.According to data released by PricewaterhouseCoopers in 2017,the industry with the largest R&D expenditure in the world is the electronic information industry($162 billion),followed by the medical industry($159 billion).investors also pay more attention to the industry's innovation information.At the same time,compared with other industries,the disclosure of innovation information in high-tech industries is more standardized,which helps to improve the robustness of empirical study.This paper studies investors' response to innovation input through stock price model.Information on enterprise's innovation input are usually disclosed in the financial statements of the enterprise,so the impact of other accounting information can not be eliminated,so the event study is not applicable.At present,most of the investor's research on accounting information response are carried out through the stock price model(0-F model for short).The domestic related research also confirms the applicability of the stock price model in China's stock market.The company's innovation input belongs to the accounting information disclosed by the enterprise.Therefore,The research method of this paper is consistent with previous research.Based on the panel data of 126 A-share listed companies in electronics and pharmaceutical and biological industries from 2011 to 2017,this paper makes an empirical test on the modified stock price model.The empirical results show that the modified stock price model has a high degree of explanation for stocks,But there is no correlation between R&D intensity and stock price.That is,investors do not generate feedback on innovation input.In this paper,we use event study to study investors' response to innovation output.Event study is the most common and effective method to study investors' response to non-periodic events of enterprises.The Chinese stock market has not yet reached semi-strong efficiency,so event research method is applicable to China's A-share market.This paper uses 106 parent companies' innovation output announcements and 70 subsidiaries' innovation output announcements issued by A-share listed companies in electronics and pharmaceutical and biological industries as samples.Taking the closing price of the daily trading data and the Shanghai-Shenzhen index of the corresponding day as the original data,the data were processed and converted into stock price return and index return respectively.The empirical process has gone through the measurement of normal income,abnormal income,average abnormal income and accumulated abnormal income,the zero hypothesis test of the total abnormal income of the sample and the statistical analysis of the accumulated abnormal income of the individual sample,and finally the empirical results are obtained.The empirical results show that investors have positive feedback on the parent company's innovation output announcement and no feedback on the subsidiary company's innovation output announcement.At this point,the core conclusion of this paper is given,investors have different feedback on the information of innovation activities.From the perspective of innovation input of listed companies,investors do not produce feedback,this is mainly based on the influence of information disclosure system,enterprises and investors;from the perspective of innovation output,investors produce positive feedback to the parent company's innovation output announcement,but not to the subsidiary company's innovation output announcement.This is mainly based on the fact that the positive effect of subsidiary innovation output is relatively small.At the same time,investors pay less attention to subsidiary innovation output information.