关键词: 技术创新能力,市场势力,股票收益,创新因子

Abstract: Pricing for innovation ability is the key to whether the capital market can effectively serve the technological innovation. This paper constructs the innovation factor by referring to the Fama-French factor construction method to study the ability of the innovation factor in explaining the stock return. The findings show that: firstly, the stronger the enterprise’s technological innovation capability, the higher the stock returns will be; secondly, compared with the traditional industries, the positive effect of technological innovation capability on stock returns is larger and more significant in high-tech industry; thirdly, technological innovation capability can further act on the stock markets through affecting the market power of the enterprise in the product market competition; and fourthly, the three-factor model and the four-factor model tests show that the innovation factor has a strong ability to explain the stock returns. Chinese enterprises should actively carry out technological innovation and improve their innovative ability, so as to make better use of capital markets for financing.

Key words: technological innovation ability; market power; stock returns; innovation factor