The Impact Of GEM Enterprise Innovation Ability On Stock Return

At present,China is changing from high-speed growth to high-quality development,and the importance of scientific and technological innovation is becoming more and more prominent.Innovation-driven has become the key path for enterprises to achieve high-quality development.For enterprises,technological innovation can improve their core competitiveness,help them create new value and achieve good development.However,there may be some risks in scientific and technological innovation,and technology research and development will not only cost a lot,but also fail.Under this background,it is of great significance to scientifically evaluate the innovation ability of enterprises and clarify the influence of enterprise innovation ability on external stock price performance,to choose the innovation strategy of enterprises,to improve the information asymmetry in market transactions and to promote the stable development of capital markets.Based on the previous literature at home and abroad,this paper analyzes the relationship between enterprise innovation ability and stock returns from the theoretical level and puts forward research hypotheses.Secondly,the evaluation index of innovation ability is selected,and the innovation ability of enterprises is quantified by principal component analysis,so as to have a more comprehensive judgment on the innovation ability of enterprises.In this paper,six variables are reduced in dimension to extract principal components,and finally three principal components are extracted to calculate the enterprise innovation factor IMC.Finally,the companies listed on the Growth Enterprise Market from 2011 to 2020 are selected as the research object.Based on Fama-French three-factor model and four-factor model with innovation ability factor IMC,the sample data are regressed,and the two empirical results are compared and analyzed,so as to deeply explore the relationship between enterprise innovation ability and stock price performance.The results show that:(1)The three-factor model has a good explanation for the stock returns of China’s GEM companies,but there are still some unexplained parts that need us to explore new factors.(2)Innovation factors have good performance in forecasting ability and stability,and have a good corresponding relationship with the stock price performance of enterprises,which can affect the stock price performance of enterprises,and small-cap companies are more susceptible to the influence of innovation ability than large-cap companies,which is also in line with previous research conclusions.(3)Compared with the three-factor model,the goodness of fit of the four-factor model with innovative factors has been improved,and it has a stronger explanatory power to the stock returns.Finally,through the robustness test,the influence of innovation ability on stock returns is confirmed again.