研究發展費用與資本支出對股票報酬之交互作用效應探討

Kun-Hui Lin; 林昆輝

Please use this identifier to cite or link to this item: http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20979

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???org.dspace.app.webui.jsptag.ItemTag.dcfield???	Value	Language
dc.contributor.advisor	王衍智(Yan-Zhi Wang)
dc.contributor.author	Kun-Hui Lin	en
dc.contributor.author	林昆輝	zh_TW
dc.date.accessioned	2021-06-08T03:13:34Z	-
dc.date.copyright	2017-02-17
dc.date.issued	2016
dc.date.submitted	2017-02-13
dc.identifier.citation	Chan, S. H., J. D. Martin, and J. W. Kensinger. “Corporate Research and Development Expenditures and Share Value,” Journal of Financial Economics, 26 (1990), 255-276 Chung, K. H., P. Wright, and C. Charoenwong. “Investment opportunities and market reactions to capital expenditure decisions,” Journal of Banking & Finance, 22 (1998) 41-60 Chan, L. K. C., J. Lakonishok and T. Sougianni. “The Stock Market Valuations of Research and Development Expenditures,” Journal of Finance, 6 (2001) 2431-2456 Cordis, A. S. and C. Kirby, “Capital expenditures and firm performance: evidence from a cross-sectional analysis of stock returns,” Accounting and Finance, (2016) 1-22 Eberhart, A. C., W. F. Maxwell and A. R. Siddique, “Examinations of long-abnormal stock returns and operating performances following R&D increases,” Journal of Finance, 59 (2004 ) 623-650 Fama, E. F. and J. D. Macbeth. “Risk, return and equilibrium: empirical tests,” Journal of Political Economy, 81 (1973) 607-636 Griliches, Z., “Market value, R&D, and Patents,” National Bureau of Economic Research, (1981) 249-252 Li, D. “Financial constraints, R&D investment, and stock returns,” Review of Financial Studies, (2011) 2975-3007 Lin, J. H. and Y. A. Wang, “The R&D premium and takeover risk,” The Accounting Review, 91 (2016) 955-971 McConnell, J. J. and C. J. Muscarella “Corporate capital expenditure decisions and the market value of the firm,” Journal of Financial Economics, 14 (1985) 399-422 Sougiannis, T. “The accounting based valuation of corporate R&D,” The Accounting Review, 69 (1994) 44-68 Titman, S., K. J. Wei, and F. Xie. “Capital investments and stock returns, ” Journal of Financial and Quantitative Analysis, 39 (2004) 677-700 Woolridge, J. R. and C. C. Snow, “Stock market reactions to strategic investment decisions,” Strategic Management Journal, 11 (1990) 353-363
dc.identifier.uri	http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20979	-
dc.description.abstract	本篇論文欲研究研發費用和資本支出的交互作用關係，本文以1981-2014年的台灣上市公司樣本進行研究(排除金融產業)，並利用Fama-Macbeth(1973)迴歸模型檢測此兩個變數是否存在顯著的正向交互作用關係。實證結果發現，研發費用和資本支出存在顯著的正向交互作用效果，公司增加資本支出會增強研發費用對公司股票報酬正向的影響。	zh_TW
dc.description.abstract	This paper studies the interaction effect between research & development expenditures and capital expenditures on future stock returns. I adopt the Fama-Macbeth (1973) cross-sectional regressions to examine the samples which consist of all exchange listed firms in Taiwan from 1981 to 2014 excluding financial industry firms. The empirical results indicate that there exists a significant positive interaction effect between research & development expenditures and capital expenditures. Therefore, I conclude that increases of the capital expenditures would strengthen the effect of research & development expenditures on stock returns.	en
dc.description.provenance	Made available in DSpace on 2021-06-08T03:13:34Z (GMT). No. of bitstreams: 1 ntu-105-R03723055-1.pdf: 406429 bytes, checksum: db03b79a37736a4b6e6f704c4d2f2956 (MD5) Previous issue date: 2016	en
dc.description.tableofcontents	Verification letter from the Oral Examination Committee……………………………ii Chinese Abstract ………………………………………………………………………iii English Abstract ……………………………………………………………………iv 1. Introduction …………………………………………………………………………1 2. Review ………………………………………………………………………………5 2.1 Research and Development Expenditure …………………………………5 2.2 Capital Expenditure ………………………………………………………6 3. Data …………………………………………………………………………………9 4. Methodologies ………………………………………………………………………9 5. Results ……………………………………………………………………………10 5.1 Overall empirical result of interaction term on stock returns …………………10 5.2 Empirical results classified by the sample period …………………………12 5.3 Empirical results classified by the firm size …………………………………13 5.4 Empirical results classified by high-technology and non high-technology …………………………14 5.5 Empirical results classified by the level of free cash flows …………………14 5.6 Analysis of 12-month moving average plot on capital expenditures and the interaction term……………………………………………………………………15 6. Conclusion………………………………………………………………………16 References………………………………………………………………………26
dc.language.iso	en
dc.subject	Fama-Macbeth(1973)迴歸模型	zh_TW
dc.subject	資本支出	zh_TW
dc.subject	交互作用	zh_TW
dc.subject	股票報酬	zh_TW
dc.subject	研發費用	zh_TW
dc.subject	stock returns	en
dc.subject	interaction effect	en
dc.subject	Fama-Macbeth (1973) cross-sectional regressions	en
dc.subject	research & development expenditures	en
dc.subject	capital expenditures	en
dc.title	研究發展費用與資本支出對股票報酬之交互作用效應探討	zh_TW
dc.title	Effect of R&D Expenditures on Cross-Sectional Stock Returns — The Role of Capital Expenditures	en
dc.type	Thesis
dc.date.schoolyear	105-1
dc.description.degree	碩士
dc.contributor.oralexamcommittee	何耕宇(Keng-Yu Ho),梁婉麗(Woan-Lih Liang)
dc.subject.keyword	研發費用,資本支出,交互作用,股票報酬,Fama-Macbeth(1973)迴歸模型,	zh_TW
dc.subject.keyword	research & development expenditures,capital expenditures,interaction effect,stock returns,Fama-Macbeth (1973) cross-sectional regressions,	en
dc.relation.page	27
dc.identifier.doi	10.6342/NTU201700551
dc.rights.note	未授權
dc.date.accepted	2017-02-14
dc.contributor.author-college	管理學院	zh_TW
dc.contributor.author-dept	財務金融學研究所	zh_TW
Appears in Collections:	財務金融學系

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