R&D費用對股價解釋能力的橫斷面分析：台灣案例1996-2005

Abstract

本篇文章透過橫斷面的分析探討R&D費用對台灣股市裡公司股票報酬的解釋能力。選擇的樣本期間為1996至2005年的月資料，公司家數為635，共56,418筆資料。過去經濟的直覺告訴我們，由於R&D具有不確定性，因此在承擔風險的同時，可以預期有更高的報酬。實證的結果我們發現公司R&D費用確實某種程度上與股價報酬呈現正向相關，但這種關係並非均存在於三個子樣本期間。在第一階段(1996.01-2000.03)裡，R&D與股價報酬顯著負相關。第二階段(2000.04-2001.09)裡，R&D對股價的影響則變成正向。在第三階段(2001.10-2005.12)裡，R&D與股價報酬的關係又回到負向而且更顯著。另外，我們也對R&D與股價報酬的總風險加以探討，如事先預期的，幾乎在三個階段，R&D與總風險都呈現正相關的關係。

The purpose of this paper is to examine the role of research and development (R&D) in explaining the cross-section of stock returns in the Taiwan market for the period from 1996 to 2005. Economic intuition suggests that expected stock return and the risk of return should be positively related to R&D. We divide the entire sample into three subperiods according to the index of the Taiwan stock market. The regression’s results indicate that average stock return is moderately, positively related to R&D expenditure in the entire sample, but the relation is not stable over three subperiods. In the first bubble-forming period (1996.01-2000.03), the average return is evidently negatively related to R&D expenditure. In the second post-bubble period (2000.04-2001.09), the relation is in fact positive, while in the third post-bubble period (2001.10-2005.12), the R&D effect is negative and significant. We also examine the relation of the total risk of returns with R&D intensity and find that R&D intensity is nearly positively correlated to the total risk of returns.