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Title: | 研發費用資訊與投資人異常報酬之探討 An Examination of Abnormal Stock Returns and R&D Expenditure Information |
Authors: | MING-LING HSU 徐明伶 |
Advisor: | 王全三 |
Keyword: | 研發費用,投資人反應,研發費用遺漏,市場效率假說, R&D expenditures,Investors reaction,Missing R&D,Efficiency Market Hypothesis, |
Publication Year : | 2019 |
Degree: | 碩士 |
Abstract: | 在這個變化快速的商業環境之下,公司為了維持競爭力、不被淘汰,而會從事研發活動。先前許多研究廣泛的探討創新、研究發展費用以及對公司績效表現的影響。多數的實證結果顯示,從事研究發展投資的公司,經營績效較好,且市場股價對於相關訊息亦呈現正向關係。然而,在2015年,Koh等人發現了「遺漏研發費用」的現象,有些公司雖有從事研究發展活動,但卻沒有將相關費用揭露。這和先前的文獻有其矛盾之處。而又由於先前許多實證研究對於這些「遺漏研發費用」公司是用零或是產業平均取代,有些研究甚至將「遺漏研發費用」的公司直接排除在樣本外。這樣的處理方式,勢必會造成實證結果的偏誤。因此,這給了我們重新研究的動機,並試圖從中理解,管理階層雖從事研究發展活動,但卻不揭露的動機為何。本篇利用Fama and French三因子模型及Cahart四因子模型,從投資人的角度,來探討對於研發費用的反應,進而理解公司管理階層「遺漏研發費用」的動機。實證結果發現,投資人對於研發費用資訊呈現負的累積異常報酬,這也說明公司不揭露研發費用與投資人對該訊息的反應有關。此外,本文亦提出其他可能導致「遺漏研發費用」之動機,供未來研究參考。 In an ever-changing business environment, research and development activities are important to a firm in order to maintain the competitiveness. A lot of previous literature extensively discussed innovation, research and development and their influence on the performance of the firms. However, in 2015, the phenomenon of missing R&D is identified in the paper by Koh et al. and it motivates us to reexamine the relationship between R&D expenditure information and investors’ reactions. It also motivates us to explore the motivation of missing R&D. We use both Fama and French three-factor model and Cahart 4-factor model to calculate the abnormal returns. The event study results in this paper indicate that the investors react negatively to R&D expenditure information. This is consistent with previous literatures that suggest investors prefer short-term returns instead of long-term returns. The empirical result provided by this paper explains one of the motivations of missing R&D phenomenon. In addition, we believe that future research can further discuss other possible reasons that lead to missing R&D. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/21602 |
DOI: | 10.6342/NTU201901341 |
Fulltext Rights: | 未授權 |
Appears in Collections: | 會計學系 |
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File | Size | Format | |
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ntu-108-1.pdf Restricted Access | 1.15 MB | Adobe PDF |
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