Browsing by Author "Chen, Sheng-Syan"

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Does revenue momentum drive or ride earnings or price momentum?
(2014-01-01)
Chen, Hong-Yi
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Chen, Sheng-Syan
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Hsin, Chin-Wen
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Lee, Cheng-Few
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管理學院
This paper examines the profits of revenue, earnings, and price momentum strategies in an attempt to understand investor reactions when facing multiple information of firm performance in various scenarios. We first offer evidence that there is no dominating momentum strategy among the revenue, earnings, and price momentums, suggesting that revenue surprises, earnings surprises, and prior returns each carry some exclusive unpriced information content. We next show that the profits of momentum driven by firm fundamental performance information (revenue or earnings) depend upon the accompanying firm market performance information (price), and vice versa. The robust monotonicity in multivariate momentum returns is consistent with the argument that the market does not only underestimate the individual information but also the joint implications of multiple information on firm performance, particularly when they point in the same direction. A three-way combined momentum strategy may offer monthly return as high as 1.44%. The information conveyed by revenue surprises and earnings surprises combined account for about 19% of price momentum effects, which finding adds to the large literature on tracing the sources of price momentum. (C) 2013 Elsevier B.V. All rights reserved.
R&D Spillover Effects and Firm Performance Following R&D Increases
(2013-10-01)
Chen, Sheng-Syan
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Chen, Yan-Shing
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Liang, Woan-lih
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Wang, Yanzhi
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資訊管理與財務金融系註：原資管所+財金所
We examine how research and development (R&D) incoming spillovers affect long-run firm performance following firms\' R&D increases. We use a stochastic frontier production method to capture R&D incoming spillover effects. Firms reaping more benefits from R&D investment made by other firms experience more improvement in profitability and more favorable long-run stock performance in the post-R&D-increase period. Firms with higher levels of R&D incoming spillovers recruit more key employees from other firms, suggesting that obtaining know-how through hiring is an important source of incoming spillovers. The evidence also shows that firms experiencing more R&D outgoing spillover effects tend to underinvest in R&D.