CAJ | 학술논문

本文借鉴Chun等的研究思路，实证检验技术创新投入是否能够在中国上市公司的股价特质波动中反馈为公司特质信息。考虑到中国市场微观结构中流动性因素对于资产定价的独特作用，我们建立引入流动性变量（以换手率度量）的资产定价模型来计算股价特质波动，然后在控制内生性的基础上检验技术创新投入与公司特质信息的关系。我们的研究表明：流动性因素对公司特质信息存在显著影响，但流动性成本不会影响公司创新投入。在控制了流动性因素后，技术创新的股价反馈效应表现虽然有所减弱，但仍然显著存在，说明创新投入能够在中国上市公司的股价特质波动中反映为公司特质信息。
본문차감Chun등적연구사로，실증검험기술창신투입시부능구재중국상시공사적고개특질파동중반궤위공사특질신식。고필도중국시장미관결구중류동성인소대우자산정개적독특작용，아문건립인입류동성변량（이환수솔도량）적자산정개모형래계산고개특질파동，연후재공제내생성적기출상검험기술창신투입여공사특질신식적관계。아문적연구표명：류동성인소대공사특질신식존재현저영향，단류동성성본불회영향공사창신투입。재공제료류동성인소후，기술창신적고개반궤효응표현수연유소감약，단잉연현저존재，설명창신투입능구재중국상시공사적고개특질파동중반영위공사특질신식。
Based on Chun et al. （2008）, We test if the technical innovation input can be reflected in the firm-specific information in idiosyncratic volatility. Considering the special and important influence of liquidity factor on asset pricing, we set up an liquidity （measured by turnover） adjusted asset pricing model, and then test the relation between technical innovation input and firm-specific information. We find, liquidity significantly influences firm-specific information, but it has little influence on firm＇s technical innovation. The feedback effect is a little weaken by using liquidity factor in the model, but it is still significant. Our evidence shows that the technical innovation can be reflect in idiosyncratic volatility and firm-specific information in China＇s stock market.