R&D增加及資本結構對長期異常報酬的影響:台灣案例

Abstract

本文章主要目的為探討R&D增加的公司其資本結構對長期異常報酬的影響。樣本為民國八十年九月到民國八十九年六月R&D增加的公司，利用Fama and French (1993, 1996) 三因子模型檢驗其R&D增加後五年的長期異常報酬表現(民國八十年九月到民國九十四年五月)，同時比較電子業、非電子業，高負債公司、低負債公司其長期異常報酬的差異性。實證結果發現台灣電子業在R&D投資表現比非電子業好，R&D增加伴隨高負債比低負債的長期異常報酬高。尤其是在電子業中，R&D增加且高負債的公司有顯著及正向的長期異常報酬，此結果符合負債監督假說及代理成本之資本結構模型。我們支持投資者可以觀察公司其負債高低來預測市場對其R&D的反應。

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.