Capital Investment, Innovative Capacity, and Stock Returns
研究了创新能力资本投资对未来股票回报、投资和盈利能力的动态影响，模型预测在非递增收益假设下，该类投资会滞后地正向影响累计股票回报，实证支持了该预测。
ABSTRACT We study the dynamic implications of capital investment in innovative capacity (IC) on future stock returns, investment, and profitability by modeling the unique effects of IC investment on uncertain option generation/exercise and postexercise revenue. The model highlights the diverse effects of IC investment on expected returns in different postinvestment regimes and yields the novel prediction that, under the neoclassical assumption of nonincreasing revenue returns, IC investment is positively related to subsequent cumulative stock returns with a lag. The model also predicts a positive effect of IC investment on future investment and profitability. We find strong empirical support for these predictions.