Patented innovation and left‐tail risk: Evidence from China
研究中国A股上市公司2007-2020年数据，发现专利数量和质量显著降低股价左尾风险（1%在险价值和预期亏损），且该效应受地区知识产权保护、卖空限制和散户参与度影响。
Abstract This study investigates the impact of patented innovation on the left‐tail risk of stock price, measured as the 1% value at risk (VaR) and expected shortfall (ES). Using the sample of all listed firms in the Chinese A‐share market from 2007 to 2020, we find that the quantity and quality of patents significantly decrease left‐tail risk. Second, the effect is more pronounced for firms in regions with patent pledge systems or stronger intellectual property rights protection. Short‐selling constraints and the engagement of retail investors hinder patented innovation from reducing left‐tail risk. Third, we further explore the mechanisms and find that patented innovation enhances financial performance, mitigates financial constraints, and attracts long‐term institutional investors, thereby decreasing left‐tail risk.