Research on the influence of enterprise innovation input on stock returns in short- and long-term markets-- Based on the data of listed companies in China’s science and technology sector

Abstract

Based on the data of listed companies in China's science and technology sector from 2014 to 2021, this paper studies the short-term market and long-term market performance of innovation input of these companies. The findings are as follows: (1) In the short-term market, innovation input and stock return are negatively correlated, which may be related to the lagging effect of innovation input on the company. After the lagging of innovation input, the correlation becomes positive and significant. This conclusion is still valid after the change of explanatory variables;(2) In the long-term market, enterprise innovation input and stock return generally show positive correlation, but it may also be affected by the bottleneck period of R&D, resulting in the first decrease and then increase, and this phenomenon is still valid after the change of explanatory variables.