标题: | R&D费用对股价解释能力的横断面分析:台湾案例1996-2005 The Explanatory Power of R&D on Cross-Sectional Stock Return: Taiwan Evidence from 1996-2005 |
作者: | 陈宗纬 陈达新 王淑芬 财务金融研究所 |
关键字: | R&D;横断面;股票报酬;错误定价;台湾股票市场;R&D;Cross-section;Stock returns;Mispricing;Taiwan stock market |
公开日期: | 2006 |
摘要: | 本篇文章透过横断面的分析探讨R&D费用对台湾股市里公司股票报酬的解释能力。选择的样本期间为1996至2005年的月资料,公司家数为635,共56,418笔资料。过去经济的直觉告诉我们,由于R&D具有不确定性,因此在承担风险的同时,可以预期有更高的报酬。实证的结果我们发现公司R&D费用确实某种程度上与股价报酬呈现正向相关,但这种关系并非均存在于三个子样本期间。在第一阶段(1996.01-2000.03)里,R&D与股价报酬显着负相关。第二阶段(2000.04-2001.09)里,R&D对股价的影响则变成正向。在第三阶段(2001.10-2005.12)里,R&D与股价报酬的关系又回到负向而且更显着。另外,我们也对R&D与股价报酬的总风险加以探讨,如事先预期的,几乎在三个阶段,R&D与总风险都呈现正相关的关系。 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. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#GT009439520 http://hdl.handle.net/11536/81874 |
显示于类别: | Thesis |
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