創新品質會被訂價？美國生技業之驗證

Abstract

被譽為二十一世紀明星產業的生物技術產業，屬於技術與人力密集的產業，且其開發新產品的時程長、過程中需要投入龐大的研發資金，失敗率又相當高，此時公司價值時常無法直接於財務報表中呈現。因此投資生技業的風險非常大，然而一旦產品成功開發出來後，在專利權的保護之下，生技公司將擁有獨占市場，產品獲利極高，這時公司價值將應聲上漲，投資收益也提高許多。因此生技業是非常注重創新的產業，且往往這些創新的價值隱藏於無形資產中，所以應以創新品質來評價生技公司的價值。而評估公司價值之在資金成本方法，以Fama and French三因子模型最能夠對股票報酬提供解釋力。 因此本文以1990年至2010年美國上市的生技公司為研究對象，用Fama and French(1993)三因子模型作為研究模型的基礎；本文先探討三因子模型在生技產業的適用性，並以專利數、過去3年引證、未來3年引證與未來5年引證四種變數來衡量生技公司的創新品質，探討創新品質是否為生技產業股票報酬的風險因子。本文運用Fama and French(1993)三因子模型建構四因子模型，實證結果顯示創新品質因子為生技業股票報酬的風險因子，表示當公司的創新品質越差，投資者所要求的資金成本會提高。另外，將生技業分為製藥業、醫療器材業以及新興生技業，得到的實證結果亦與前述相同，所以創新品質因子確實會影響生技公司的資金成本，為一個重要且不可忽視的風險指標，期望本研究結果能夠提供要投資生技股的投資者作為其決策參考。

Biotechnology which is renowned as 21th century star industry is a technology and labor-intensive industry. Although developing new products take very long time and biotech firms need to put in hung R&D funding during the development process, the failure rate is rather high. The firm value is often not presented in its financial statement, so the risk of investing in biotech industry is very large. However, once the new products are successfully developed, biotech companies will have a monopolistic market under the patent protection. Then the profit is extreme high, the firm value increases and the return on investment also increase a lot. Thus, biotech industry puts strong emphasis on innovation, but the value of these innovations is often hidden in intangible assets, because of this, it should use innovation quality to evaluate the biotech firm value. Among many cost of capital models, Fama-French three factors model can provide best explanatory power for expected stock returns. Therefore, this paper examines whether innovation quality is a risk factor for biotech industry with the Fama-French three factors model as the basic research model. I collect samples from listed biotech companies in U.S. during 1990 and 2010 and use patent number, past 3 year citation, future 3 year citation and future 5 year citation to measure the innovation quality of biotech firms. In this study, I construct four factors model by adding another innovation quality risk factor to the Fama-French three factors model. The empirical results reveal that a significantly positive relation between expected returns and innovation quality. Indeed, innovation quality factor is a risk factor for biotech stock return, which means that when the firm’s innovation quality is worse, the cost of capital required by the investors will increase. In addition, I divide biotech into three sectors: pharmaceutical, medical device and emerging biotechnology to validate the robustness of the four factors model. The empirical results obtained are the same as previously. Consequently, innovation quality really influences biotech firm’s cost of capital and is also a crucial risk indicator.