Investor Attention and Corporate Innovation Performance: Evidence from Web Search Volume Index of Chinese Listed Companies
Abstract
:1. Introduction
2. Literature Review and Research Hypothesis
2.1. Literature Review
2.2. Research Hypothesis
3. Research Design
3.1. Sample Data
3.2. Selection and Design of Major Variables
3.2.1. Explained Variable
3.2.2. Explanatory Variables
3.2.3. Control Variables
3.3. Multiple Regression Model
4. Results and Discussion
4.1. Summary Statistics and Correlation Analysis
4.2. Baseline Results
4.3. Potential Mechanisms
4.3.1. Information Asymmetry
4.3.2. Financing Constraints
4.3.3. Agency Cost
4.4. Robustness Test
4.4.1. Alternative Measures of Key Variables and Empirical Specifications
4.4.2. Propensity Score Matching (PSM)
4.4.3. Heckman Two-Stage Model
4.4.4. Multiple-Period Lagged Independent Variable
4.4.5. Instrumental Variable Method (IV)
4.4.6. Placebo Test
4.5. Additional Analysis: Capital Allocation Efficiency
+ β5 Levi,t + β6Sizei,t + ηt + ηind + εi,t,
5. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Acknowledgments
Conflicts of Interest
Appendix A
Variable | Definition | Reference | Source |
---|---|---|---|
Explained variable: | |||
Patent | Natural logarithm of 1 plus total annual patent applications of listed companies | Custódio et al. (2019) [57] Ovtchinnikov et al. (2020) [58] | CSMAR |
Explanatory Variables: | |||
Attention | Natural logarithm of 1 plus annual Internet search index of listed companies | Da et al. (2011) [13] Drake et al. (2012) [34] | CNRDS |
Control Variables: | |||
Size | Natural logarithm of total assets at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
Age | Natural logarithm of 1 plus years of listing at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
Capital | Natural logarithm of 1 plus the ratio of fixed assets to the number of employees at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
Q | Tobin’s Q value measured as the ratio of (stock price × shares of outstanding shares + net assets value per share × number of non-outstanding shares + book value of liabilities) to total assets at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
ROA | The ratio of net income to total assets at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
Lev | Leverage computed as total liabilities divided by assets at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
CF | The ratio of net cash flow from operating activities to total assets at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
Growth | The growth rate of total assets at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
Loss | A dummy variable with a value of 1 if the company loses consecutively in the last two fiscal years, and 0 otherwise. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
Dual | A dummy variable with a value of 1 if the firm’s chairman and CEO are held by the same person, and 0 otherwise. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
Board | Natural logarithm of the number of board of directors at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
Indd | The ratio of the number of independent directors to the number of board of directors at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
TOPHOLD | The ratio of the number of shares held by the largest shareholder to total shares of the firm at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
HHI | Industry Herfindahl Index at the beginning of the year. | Fang et al. (2014) [62] He and Tian (2013) [52] Shen and Yuan (2020) [63] | CSMAR |
Other variables: | |||
Evaluation | An ordered discrete variable, ranging from 1–4, meaning unqualified, qualified, good, and excellent, respectively. | Jiang et al. (2020) [111] Cheng et al. (2019) [112] | CNRDS |
SA | SA = −0.737 × Total Asset + 0.043 × (Total Asset)2 − 0.040 × Age Total Assets = log (total assets (unit: 1 million yuan)), Age = the number of years the firm has been on the list. | Hadlock and Pierce (2010) [85] Ju et al. (2013) [46] | CSMAR |
KZ | KZ = −1.001909 × CF − 39.36780 × DIV_N − 1.314759 × Cash + 3.139193 × Lev + 0.2826389 × Q. DIV_N = dividend per share, Cash = closing balance of cash and cash equivalents/total assets at the beginning of the period | Fang et al. (2014) [62] Wei et al. (2014) [77] | CSMAR |
Turnover | Total asset turnover = Net operating income/total average assets | Luo (2012) [91] Gu (2015) [90] | CSMAR |
INV | Investment expenditure measured as the ratio of (cash paid to acquire fixed assets, intangible assets and other long-term assets + cash paid to acquire the subsidiary and other business units+ Cash investments − Net income on disposal of fixed assets, intangible assets and other long-term assets-Net income on disposal of subsidiary and other business units − Cash received from investment recovery) to total assets at the beginning of the year | McLean et al. (2012) [109] | CSMAR |
Appendix B
Variable | VIF | 1/VIF |
---|---|---|
Attention | 1.51 | 0.661901 |
Size | 2.22 | 0.450818 |
Age | 1.82 | 0.548414 |
Capital | 1.21 | 0.825018 |
Q | 2.64 | 0.379124 |
ROA | 1.63 | 0.614894 |
Lev | 3.46 | 0.289226 |
CF | 1.22 | 0.8199 |
Growth | 1.13 | 0.888764 |
Loss | 1.19 | 0.841405 |
Dual | 1.09 | 0.921324 |
Board | 1.53 | 0.655004 |
Independ | 1.4 | 0.713676 |
TOPHOLD | 1.14 | 0.87396 |
HHI | 1.05 | 0.955802 |
Mean VIF | 1.61 | —— |
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Variable | N | Mean | Std | P5 | Q1 | Median | Q3 | P95 |
---|---|---|---|---|---|---|---|---|
Patent | 16,608 | 1.435 | 1.613 | 0.000 | 0.000 | 1.099 | 2.639 | 4.454 |
Attention | 16,608 | 12.860 | 0.649 | 11.930 | 12.390 | 12.780 | 13.250 | 14.020 |
Size | 16,608 | 22.100 | 1.291 | 20.290 | 21.190 | 21.940 | 22.840 | 24.540 |
Age | 16,608 | 2.261 | 0.694 | 0.962 | 1.751 | 2.401 | 2.871 | 3.114 |
Capital | 16,608 | 12.520 | 1.134 | 10.630 | 11.860 | 12.510 | 13.200 | 14.420 |
Q | 16,608 | 0.585 | 0.199 | 0.224 | 0.448 | 0.603 | 0.737 | 0.880 |
ROA | 16,608 | 0.036 | 0.054 | −0.050 | 0.012 | 0.034 | 0.062 | 0.120 |
Lev | 16,608 | 0.440 | 0.219 | 0.103 | 0.264 | 0.432 | 0.602 | 0.806 |
CF | 16,608 | 0.038 | 0.073 | −0.085 | 0.000 | 0.038 | 0.081 | 0.157 |
Growth | 16,608 | 0.226 | 0.584 | −0.116 | 0.017 | 0.101 | 0.237 | 0.861 |
Loss | 16,608 | 0.025 | 0.155 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
Dual | 16,608 | 0.736 | 0.441 | 0.000 | 0.000 | 1.000 | 1.000 | 1.000 |
Board | 16,608 | 2.141 | 0.198 | 1.792 | 1.946 | 2.197 | 2.197 | 2.398 |
Independ | 16,608 | 0.374 | 0.054 | 0.333 | 0.333 | 0.333 | 0.429 | 0.500 |
TOPHOLD | 16,608 | 0.348 | 0.151 | 0.136 | 0.228 | 0.327 | 0.450 | 0.624 |
HHI | 16,608 | 0.064 | 0.097 | 0.009 | 0.017 | 0.018 | 0.071 | 0.333 |
Variable | Patent | Attention | Size | Age | Capital | Q | ROA | LEV |
---|---|---|---|---|---|---|---|---|
Patent | 1 | |||||||
Attention | 0.139 *** | 1 | ||||||
Size | 0.117 *** | 0.521 *** | 1 | |||||
Age | −0.244 *** | 0.277 *** | 0.308 *** | 1 | ||||
Capital | −0.042 *** | 0.095 *** | 0.298 *** | 0.149 *** | 1 | |||
Q | −0.021 *** | −0.043 *** | 0.227 *** | −0.134 *** | −0.010 | 1 | ||
ROA | 0.130 *** | −0.006 | 0.029 *** | −0.184 *** | −0.120 *** | −0.193 *** | 1 | |
Lev | −0.092 *** | 0.196 *** | 0.446 *** | 0.407 *** | 0.127 *** | 0.630 *** | −0.382 *** | 1 |
CF | 0.083 *** | 0.090 *** | 0.075 *** | −0.006 | 0.120 *** | −0.157 *** | 0.354 *** | −0.163 *** |
Growth | −0.036 *** | 0.005 | 0.095 *** | −0.033 *** | −0.068 *** | 0.190 *** | 0.133 *** | 0.006 |
Loss | −0.064 *** | 0.010 | −0.062 *** | 0.089 *** | 0.031 *** | 0.099 *** | −0.381 *** | 0.161 *** |
Dual | −0.038 *** | 0.081 *** | 0.155 *** | 0.206 *** | 0.093 *** | −0.025 *** | −0.037 *** | 0.127 *** |
Board | 0.044 *** | 0.124 *** | 0.266 *** | 0.112 *** | 0.141 *** | 0.052 *** | 0.012 | 0.148 *** |
Independ | −0.002 | 0.038 *** | 0.007 | −0.026 *** | −0.028 *** | 0.014 * | −0.024 *** | −0.009 |
TOPHOLD | 0.061 *** | 0.004 | 0.255 *** | −0.077 *** | 0.090 *** | 0.117 *** | 0.105 *** | 0.058 *** |
HHI | −0.095 *** | 0.067 *** | −0.002 | −0.057 *** | −0.159 *** | 0.004 | 0.052 *** | −0.054 *** |
Variable | CF | Growth | Loss | Dual | Board | Independ | TOPHOLD | HHI |
CF | 1 | |||||||
Growth | −0.052 *** | 1 | ||||||
Loss | −0.081 *** | −0.073 *** | 1 | |||||
Dual | 0.023 *** | −0.032 *** | 0.012 | 1 | ||||
Board | 0.056 *** | −0.032 *** | −0.011 | 0.176 *** | 1 | |||
Independ | −0.018 ** | 0.000 | 0.009 | −0.110 *** | −0.508 *** | 1 | ||
TOPHOLD | 0.102 *** | 0.002 | −0.049 *** | 0.056 *** | 0.037 *** | 0.035 *** | 1 | |
HHI | 0.024 *** | 0.043 *** | −0.016 ** | 0.014 * | 0.014 * | 0.030 *** | 0.022 *** | 1 |
Y = Patent | (1) | (2) |
---|---|---|
Attention | 0.654 *** | 0.255 *** |
(8.90) | (3.39) | |
Size | 0.585 *** | |
(11.79) | ||
Age | −1.060 *** | |
(−13.80) | ||
Capital | −0.208 *** | |
(−5.13) | ||
Q | −1.538 *** | |
(−6.70) | ||
ROA | 2.791 *** | |
(4.65) | ||
Lev | 0.581 ** | |
(2.28) | ||
CF | 1.287 *** | |
(3.35) | ||
Growth | −0.378 *** | |
(−8.63) | ||
Loss | −0.355 ** | |
(−2.05) | ||
Dual | 0.004 | |
(0.06) | ||
Board | 0.433 * | |
(1.88) | ||
Independ | −0.025 | |
(−0.03) | ||
TOPHOLD | 0.207 | |
(0.80) | ||
HHI | 1.777 *** | |
(3.47) | ||
Constant | −9.025 *** | −12.290 *** |
(−9.23) | (−9.72) | |
Industry F.E. | Yes | Yes |
Year F.E. | Yes | Yes |
N | 16,608 | 16,608 |
Pseudo R2 | 0.112 | 0.151 |
(1) | (2) | (3) | (4) | |||||
---|---|---|---|---|---|---|---|---|
Path = Evaluation | Path = SA | Path = KZ | Path = Turnover | |||||
Coefficient | Z-Stat | Coefficient | Z-Stat | Coefficient | Z-Stat | Coefficient | Z-Stat | |
Direct Path | ||||||||
P(Attention, Patent) | 0.267 *** | 9.78 | 0.275 *** | 10.92 | 0.293 *** | 10.65 | 0.361 *** | 16.57 |
Mediated Path | ||||||||
P(Attention, Path) | 0.209 *** | 9.46 | −0.834 *** | −8.21 | −0.04 *** | −3.64 | 0.253 *** | 3.10 |
P(Path, Patent) | 0.082 *** | 8.48 | −0.075 *** | −21.28 | −0.177 *** | −7.63 | 0.007 *** | 3.84 |
P(Attention, Path)* P(Path, Patent) | 0.017 *** | 6.32 | 0.062 *** | 7.66 | 0.007 *** | 3.28 | 0.002 ** | 2.41 |
N | 11,337 | 13,898 | 11,333 | 16,608 | ||||
Standardized root mean squared residual | 0.036 | 0.071 | 0.073 | 0.023 |
Y = | (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) |
---|---|---|---|---|---|---|---|---|
Patent i | Patentud | Citation1 | Citation2 | R&D/Sale | OLS | NBreg | Poisson | |
Attention | 0.244 *** | 0.260 *** | 0.334 *** | 0.342 *** | 0.009 *** | 0.190 *** | 0.105 *** | 0.099 *** |
(3.45) | (3.28) | (6.56) | (6.85) | (4.58) | (4.35) | (3.35) | (3.26) | |
Constant | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Industry F.E. | Yes | Yes | Yes | Yes | Yes | Yes | No | Yes |
Year F.E. | Yes | Yes | Yes | Yes | Yes | Yes | No | Yes |
N | 16,608 | 16,608 | 13,494 | 13,494 | 13,201 | 16,608 | 16,608 | 16,608 |
Adj(Pseudo)_ R2 | 0.142 | 0.147 | 0.190 | 0.192 | −0.136 | 0.339 | 0.146 | —— |
Y = Patent | (1) | (2) | (3) | (4) | (5) | (6) | (7) |
---|---|---|---|---|---|---|---|
PSM | Heckman | Forward2 | Forward3 | Forward4 | Attention | Patent | |
Attention | 0.214 ** | 0.286 *** | 0.202 ** | 0.209 ** | 0.231 ** | 8.107 *** | |
(2.44) | (5.67) | (2.44) | (2.26) | (2.21) | (9.02) | ||
IMR | 1.613*** | ||||||
(3.45) | |||||||
Patent_mean | 0.066 *** | ||||||
(5.76) | |||||||
Internet | 0.250 *** | ||||||
(9.18) | |||||||
Constant | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Industry F.E. | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Year F.E. | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
N | 11,067 | 9111 | 13,875 | 11,298 | 8855 | 11,064 | 11,064 |
Adj(Pseudo)_ R2 | 0.146 | 0.286 | 0.150 | 0.146 | 0.143 | 0.371 | 0.340 |
(1) Random SIMAttention | Patent |
---|---|
Mean β1for SIMAttention | 0.0003 |
Mean t for SIMAttention | 0.0133 |
Mean sd for SIMAttention | 0.0269 |
[% β1 > 0 & p-value ≤ 5%] | 2.2000% |
[% β1 < 0 & p-value ≤ 5%] | 2.8000% |
(% |β1| > |β*| & β1 × β* > 0 & p-value ≤ 5%) | 0.0000% |
Y = INV | (1) |
---|---|
Q | 0.171 *** |
(22.08) | |
CF | 0.152 *** |
(6.74) | |
Attetion × Q | 0.004 *** |
(13.63) | |
Attetion × CF | 0.000 |
(0.28) | |
Lev | −0.206 *** |
(−20.83) | |
Size | 0.013 *** |
(12.85) | |
Constants | −0.215 *** |
(−10.82) | |
Industry F.E. | Yes |
Year F.E. | Yes |
N | 18,109 |
Adj_R2 | 0.198 |
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Li, N.; Li, C.; Yuan, R.; Khan, M.A.; Sun, X.; Khaliq, N. Investor Attention and Corporate Innovation Performance: Evidence from Web Search Volume Index of Chinese Listed Companies. Mathematics 2021, 9, 930. https://doi.org/10.3390/math9090930
Li N, Li C, Yuan R, Khan MA, Sun X, Khaliq N. Investor Attention and Corporate Innovation Performance: Evidence from Web Search Volume Index of Chinese Listed Companies. Mathematics. 2021; 9(9):930. https://doi.org/10.3390/math9090930
Chicago/Turabian StyleLi, Nian, Chunling Li, Runsen Yuan, Muhammad Asif Khan, Xiaoran Sun, and Nosherwan Khaliq. 2021. "Investor Attention and Corporate Innovation Performance: Evidence from Web Search Volume Index of Chinese Listed Companies" Mathematics 9, no. 9: 930. https://doi.org/10.3390/math9090930