影響IC設計公司報酬率之財報因子 -以台灣為例

Abstract

本研究以2008年到2023年所有台灣上市之IC設計公司為研究對象，探討甚麼樣的財務報表因子會影響IC設計公司在資本市場之股價報酬率。本篇論文使用一些實務上常見且時常被用來討論IC設計公司表現之指標如研發支出、無形資產等財報因子作為研究變數，以及不同假設下之股價報酬率如實際季報酬、大盤超額報酬、Fama三因子調整報酬作為應變數，欲研究這些財報因子與資本市場股價表現之關聯。在此研究假說下，將採用追蹤資料之多元迴歸分析方法進行實證研究，其中追蹤資料之多元迴歸又可再細分為固定效果模型及隨機效果模型，將研究不同模型假設下之變數表現以及實務上適合採用的模型為何。 實證結果顯示，遞延後之研發支出相關變數與股價報酬呈正相關，主要原因為研發支出之花費要轉化成公司可辨認價值需要一定的時間，實證上遞延在2~3季有最顯著之正報酬；而無形資產相關變數則是顯著與股價報酬率呈負相關，主要原因是來自大型IC設計公司之無形資產有極高比例是來自併購水平廠商的累積商譽，在短期內被投資人視為溢價購買而使股價在短期呈現負報酬。

The thesis’ main idea is to figure out how the financial statement factors affect stock returns of Taiwan-listed IC design companies from 2008 to 2023. Commonly used indicators in IC design company performance discussions, such as R&D expenditure and intangible assets, are utilized as independent variables. Various measures of stock returns including actual returns, market excess returns, and Fama-French three-factor returns were employed as dependent variables to investigate the relationship between these financial factors and capital market stock performance. Under this research framework, empirical analyses were conducted using panel data regression methods, specifically fixed effects and random effects models, to explore variable performance under different model assumptions and identify the most suitable model. The empirical findings reveal a positive correlation between lagged R&D expenditure variables and stock returns, primarily because the transformation of R&D spending into identifiable enterprise value requires a certain timeframe, with the most significant effect observed over 2-3 quarters. Conversely, variables related to intangible assets exhibit a significant negative correlation with stock returns. This is attributed to the high proportion of intangible assets in large IC design companies originating from accumulated goodwill from acquiring firms, perceived as premium purchases in the short term, leading to negative returns in the current quarter.