In the era of knowledge economy,will enterprise technological connections create excess returns?This article aims to reveal whether there is a technological momentum effect in the Chinese capital market and the sources of this effect.Research has found that there is a significant technological momentum effect in the Chinese capital market.The long short investment strategy constructed by investing in technology related factors can bring monthly excess returns of 1.06%to 1.68%.The excess return is not the result of risk compensation,but a mispricing caused by limited investor attention,and this mispricing takes 1-3 months to be corrected.This study has important reference value for understanding enterprise R&D returns,enterprise technology spillovers,investment portfolio construction,and the effectiveness of China's capital market.
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