企业创新投资、风险承担与股价崩盘风险研究

本文研究实体经济的风险承担行为对股价崩盘风险的影响及其作用机理。研究结果表明：首先，企业的风险承担行为显著加剧了股价未来的个股崩盘风险，但会降低崩盘系统性风险；其次，企业创新性投资活动具有独特性，能够降低代理冲突和缓解信息不对称，有助于降低企业风险承担与个股崩盘风险的相关性，而一般性资本支出则影响有限；再次，代理成本过高的公司中，创新性投资活动缓解企业风险承担与崩盘风险的正向关系的作用更为明显，一般性资本支出行为则容易作为代理冲突的表现，会降低企业风险承担与崩盘系统性风险的负向关系；最后，低流动性公司中，创新性投资活动对企业风险承担与个股崩盘风险的关系有积极作用，而高流动性的公司中一般性资本支出对于降低企业风险承担和崩盘系统性风险的负向关系更突出。上述结果表明，实体经济的风险承担行为对金融市场存在影响且因投资类型的不同存在差异。本文的研究结论不仅丰富了崩盘风险和企业风险承担行为等领域的研究，对促进企业创新性活动和维护市场稳定也有积极的参考价值。

Enterprise innovative investment,risk-taking and stock price crash risk

Enterprise innovative investment activities are an important engine for enterprises to cultivate new competitive advantages, occupy market leadership and obtain excess returns. Compared with general capital expenditure, the risk of innovation investment is relatively higher, and the allocation decision of the enterprise’s resources between innovative investment and general capital expenditure further determines the future risk-taking level of the firm. Enterprises’ willingness to venture high-risk investment contributes to the rapid accumulation of social capital and long-term economic growth. So does the risk-taking behavior of the real economy affect the stability of the capital market and financial markets? How about the role of different types of investment behavior during this process? This issue deserves further discussion.The existing research believes that the risk-taking behavior of enterprises reflects their degree of risk preference: managers will consider the existing level of risk-taking of enterprises when making innovative investment decisions, and adopt different methods to achieve their growth goals.As the value of innovative investment is difficult to accurately assess, the enterprises need to rely on endogenous financing to support innovation. Disclosure of corporate R&D information and increase in R&D spending will help investors better understand firms’ operation and improve the efficiency of market interpretation of corporate information, thereby reducing the level of information asymmetry and the agency problems caused by free cash flow. Also the long-term nature of innovative investment is the company’s management’s credible commitment to the outside world, indicating that the company will be committed to long-term development and value enhancement. The research also shows that enterprise will adjust risk-taking behavior according to the prosperity or recession of the external economic environment. And such adjustment will affect the value of the enterprise. Optimal risk-taking can create value for companies and promote economic development, and the risk of crash in the stock market will be reduced accordingly. Excessive risk-taking behavior will increase capital expenditure and unnecessary operational risk, and once the investment fails, it will have a serious impact on corporate performance resulting in negative information accumulation and stock price crash. The formation of stock price crash includes three steps: the emergence of bad news, insiders hiding bad news and disclosure to the investors in the market. The first two steps are linked within the company, which are more strongly influenced by agency conflicts and information asymmetry, while the last one depends on the efficiency of information transferring to market investors. When agency costs are high, managers may be more inclined to general capital expenditures rather than innovative capital investments in order to maintain control and avoid the cost of learning new technologies. Meanwhile high stock liquidity helps to reduce the transaction costs of informed traders, accelerates the speed at which private information is reflected in stock prices, and increases the information content of stock prices. Since innovative investment activities are more manifested in the trait risks of enterprises, the more complete the relevant information disclosure, the more likely the risk of crash risks will occur. So we analyze the effect of innovative investment in different groups according to the degree of agency conflict and liquidity. All the above studies have shown that the investment decision of the enterprise will affect the risk of stock price crash, but the effects of risk-taking and its sources need to be tested. Therefore, based on the innovation investment data of Chinese listed companies from 2007 to 2014, this paper mainly researches the impact of corporate risk-taking behavior on financial market and its mechanism on the basis of distinguishing between innovative investment and general capital expenditure. Then four groups of hypotheses are proposed as follows: H1: Corporate risk-taking behavior will exacerbate the stock price crash risk. H2: The company’s innovative investment activities will reduce the positive relationship between risk exposure and individual stock market crash risk; H3: For companies with high agency costs, innovative investment mitigates the relationship between corporate risk exposure and risk of stock price crash; H4: For firms with low liquidity, the role of innovative investment in reducing the relationship between corporate risk taking and stock price crash risk is more obvious.Some conclusions are drawn as follows: (1) Risk-taking behavior of the real economy has an impact on the financial market which varies according to different types of investment. (2) The innovative investment can reduce agency conflicts and alleviate information asymmetry. It also helps to reduce the correlation between corporate risk-taking and individual stock price crash risk, while general capital expenditure has limited impact. (3) For companies with high agency cost and low liquidity, the impact of innovative investment activities is more obvious, and general capital expenditure has a limited role to play. The conclusions of this paper not only enrich the research on related fields such as crash risk and corporate risk-taking behavior, but also have positive reference value for promoting innovative activities and maintaining market stability. Based on the above conclusions, this paper puts forward the following suggestions: First, the stock market has a unique risk allocation capability, which is beneficial to the company’s long-term and high-risk innovative investments. The function of stock market is more consistent with the core of the “creative destruction” theory. The government should further enhance the position of the stock market in China’s financial system, accelerate the construction of multi-level capital markets, and provide a good external environment for enterprise innovation. Second, companies should increase the intensity and efficiency of R&D, build a competitive innovation system, and reduce the impact of corporate risk exposure on financial market risks. At the same time, it can also decrease the influence of agency costs on the firms and information asymmetry between insiders and outside investors; Third, relevant departments should further strengthen the guidance and education of institutional investors, regulate the behavior of institutional investors, and avoid the speculative behavior brought about by blindly following the trend and the destructive effect on market stability. Finally, relevant departments should improve the information environment and pricing efficiency in the capital market, then avoid stock price crash and protect the interests of small and medium investors.