RD投资、一般性资本支出与股票收益:增长期权的视角

摘要

通过改变增长期权和在位资产两类资产的相对构成,理性投资对总资产的风险-收益特征具有重要影响.然而,分别对应着增长期权的“创造”和“消耗”,R&D和一般性资本支出对资产系统风险进而股票预期收益具有不同的影响,且影响程度还将取决于企业所处生命周期阶段及其特征.本文以2006-2014年沪深两市非金融类A股上市公司为样本,实现发现:R&D投资和一般性资本支出对股票预期收益分别具有显著的正向和负向影响;而且,R&D投资对留存比率低的年轻企业的股票收益的正向影响更强,而一般性资本支出的负向影响在留存比率高的成熟企业表现得更为明显.进一步利用高新技术企业子样本的结果表明,反映企业生命周期特征的融资约束会加强R&D投资的正向影响,但会减弱一般性资本支出的负向影响.%Growth options,assets-in-place,and risk-retum characteristic of total assets change in a predictable way because of rational investment.Intuitively,general capital expenditures usually consume a firm's growth options,but R&D investment helps firms create new growth options.From the perspective of risk-based asset pricing,these two types of investment behaviors may have totally opposite effect on asset risk and stock expected returns.Using a sample including 2320 A-share listed firms in non-financial industries between 2006 and 2014 in Shanghai and Shenzhen Exchanges,this paper examines simultaneously the effect of general capital expenditures and R&D investment on stock returns,and thus contributing to the role of growth options in asset pricing by providing evidence and a unified explanation for the existing evidence.Further evidence about the interactive effect between general capital expenditures/R&D investments and the life cycle of firms reveals how the relatively effect of creation and consumption of growth options changes as a young firm grows into a mature one.Firstly,descriptive statistics and Fama-Macbeth two-step regression results show that R&D investments and general capital expenditures lead to significantly positive and negative stock returns,respectively.This opposite but consistent evidence supports theoretical implications about the role of growth options in asset pricing proposed by Berk et al.(1999).Secondly,the relative importance of growth options and assets-in-place changes as a young firm grows into maturity stage.Hence,the marginal roles for creation and consumption of growth options would be different for firms in different stages of life cycle.We further divide samples into young and mature groups based on the level of yearly retention ratio.The comparative results of two groups show that the positive effect of R&D investment is stronger when firms are young,while the negative effect of general capital expenditures is stronger for those mature firms.Thirdly,this study uses KZ index as a proxy of financial constraints.The descriptive evidence that the degree of financial constraints gradually decreases as a firm grows into maturity indicates that financial constraints can also be used to depict the life cycle features of a firm.The regression results about interactive effect of KZ index and two types of investments show that financial constraints would strengthen the positive relation between R&D and stock returns,while the negative effect of general capital expenditure is weakened when a firm faces severe financial constraints.