标题: | R&D增加及资本结构对长期异常报酬的影响:台湾案例 The Effect of R&D Increases and Capital Structure on Long-Term Abnormal Stock Returns: The Case of Taiwan |
作者: | 许雅琳 Ya-Lin Hsu 许和钧 陈达新 Her-Jiun Hseu Dar-Hsin Chen 管理科学系所 |
关键字: | 研发;异常报酬;杠杆度;电子业;三因子模型;R&D;Abnormal return;Leverage;Electronics firms;Three factor model |
公开日期: | 2006 |
摘要: | 本文章主要目的为探讨R&D增加的公司其资本结构对长期异常报酬的影响。样本为民国八十年九月到民国八十九年六月R&D增加的公司,利用Fama and French (1993, 1996) 三因子模型检验其R&D增加后五年的长期异常报酬表现(民国八十年九月到民国九十四年五月),同时比较电子业、非电子业,高负债公司、低负债公司其长期异常报酬的差异性。实证结果发现台湾电子业在R&D投资表现比非电子业好,R&D增加伴随高负债比低负债的长期异常报酬高。尤其是在电子业中,R&D增加且高负债的公司有显着及正向的长期异常报酬,此结果符合负债监督假说及代理成本之资本结构模型。我们支持投资者可以观察公司其负债高低来预测市场对其R&D的反应。 This paper investigates the effect of leverage on abnormal stock returns following increases in R&D in Taiwan. The abnormal returns are measured over 60 months (5 years) following the increases in R&D for 645 firms listed on the TSE from September 1991 through June 2000 using the Fama and French three-factor model. Furthermore, the sample is also partitioned into high-leverage and low-leverage firms, electronics and non-electronics industries to investigate the difference. Corresponding to the debt monitoring hypothesis and the agency cost of the capital structure model, the empirical results show that the long-term performances of the R&D investment of firms in Taiwan’s electronics industry are better than those of firms in the non-electronics industry and the high-leverage firms with increases in R&D have higher abnormal returns than low-leverage ones. In the electronics industry, the high-leverage firms have higher positive abnormal returns. Thus, we infer that investors can observe the leverage level of firms in order to predict how the market reacts to the quality of R&D. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#GT009431514 http://hdl.handle.net/11536/81537 |
显示于类别: | Thesis |
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