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论文编号：	11689
作者编号：	2120183057
上传时间：	2020/6/19 17:37:27
中文题目：	R&D支出与股价崩盘风险
英文题目：	R&D Expenditures and Stock Price Crash Risk
指导老师：	古志辉
中文关键字：	R&D 支出；崩盘风险；前景理论；大股东监督；资源约束
英文关键字：	R&D Expenditures; Crash Risk; Prospect Theory; Major Shareholder Supervision; Resource Constraint
中文摘要：	中国的资本市场历经三十年的发展，经历过多次“暴涨暴跌”。股票收益率的负偏态分布揭示了股票价格在短时间内出现大幅度下跌的现象。创新是保持企业竞争力的重要手段，增加R&D投入有助于提升企业的价值，但是R&D活动的高不确定性也会传递到资本市场，引起一系列风险。本文深入研究了企业增加R&D支出的行为对股价崩盘风险的影响。 本文首先对R&D支出带来的结果和崩盘风险的文献进行了梳理。R&D支出结果的文献普遍认为R&D在提升公司价值的同时也增加了风险，并且R&D支出会导致信息不透明度的增加。崩盘风险的形成原因普遍认为是管理层隐藏“坏消息”积累到一定程度爆发所致，大量研究从公司治理的角度切入，探讨了高管特征、股东监督、外部约束机制等诸多因素对崩盘风险的影响，也有文献探讨了资本市场的交易制度和投资者行为对崩盘风险的影响。基于现有的研究，本文使用前景理论、公司治理和企业资源相关理论，分析了新增R&D支出与崩盘风险的影响，以及股东持股比例、资产负债率和固定资产比例对于新增R&D支出与崩盘风险之间关系的调节作用，并提出了本文的研究假设。 针对理论分析提出的假设，本文使用2007-2018年沪深A股非金融类上市公司作为研究样本进行了实证分析，并得出如下结论：新增R&D支出与崩盘风险呈正相关关系，第一大股东持股比例、资产负债率和固定资产比例均会对新增R&D支出与崩盘风险的关系产生负向调节作用。同时，本文选择滞后一期公司有效专利数量作为工具变量，使用两阶段最小二乘法处理了内生性问题，得到了一致的回归结果，表明了本文结论的稳健性。 本文的研究揭示了R&D的高风险性会增加股价崩盘的风险，资源的约束和大股东有效的监督会降低这种风险，同时也扩展了前景理论的应用，并为投资者的投资实践提供了一些决策依据
英文摘要：	After near 30 years of development, Chinese capital market experience several booms and crashes. Negative skewness of stock return indicates that stock price falls sharply in a short time. Innovation is important means for corporations to keep competitiveness. Adding R&D expenditures contributes to enhance firm value. But high uncertainty of R&D will transmit to capital markets and cause a series of risks. This paper deeply studies how the behavior of adding R&D expenditures influences crash risk. Firstly, this paper sorts literatures about outcome of R&D expenditures and crash risk. Literatures of R&D expenditures generally argue that R&D expenditures improve firm value with increasing risk and opacity of information. Cause of crash risk is widely argued that “bad news” is revealed suddenly, which is accumulated by managers hiding. A lot of researches about factors of crash risk concentrate on traits of managers, shareholder supervision and external constraint mechanism. And some literatures focus on the impact of the trading system of capital markets and investors behavior on crash risk. According to existing researches, this paper analyst the impact of added R&D expenditures on crash risk and moderating effect of major shareholding ratio, capital structure and fixed assets ratio, by using the theories of prospect theory, corporate governance and enterprise resources. And this paper raises research hypothesis by theoretical analysis. Base on the hypothesis of theoretical analysis, this paper carries out empirical research by using the data of listed companies of Shanghai and Shenzhen A-share markets between 2007 and 2018 except financial companies. The conclusion of this paper is that added R&D expenditures has a positive correlation with crash risk and major shareholding ratio, capital structure and fixed assets ratio weaken the relationship between added R&D expenditures and crash risk. Furthermore, this paper obtains consistent conclusion by using log number of existing patents as instrumental variable and two stage least square to dealing with endogeneity. It shows the robustness of the conclusion in this paper. The research of this paper indicates that high risk of R&D expenditures will increase crash risk, but resource constraints and major shareholders supervision will reduce this risk. Moreover, this paper also extends the application of prospect theory and provides a basis of decision for investment practices.
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