研發支出波動風險對公司信用風險之影響

The Influence of Volatile R&D on Firm Credit Risk: Evidence from Taiwan

在探討研發支出對信用風險影響的相關文獻中，大多著重在研發支出水準上的討論，如Shi (2003)與Eberhart et al. (2008)等是，但未見研究從研發支出波動風險的觀點來探究對信用風險的影響。由於研發支出具有風險性支出的特性，因此研發支出波動風險將會造成企業現金流量及資產價值分配的不穩定性(Merton, 1974)。此外，研發支出亦具有無形資產的特質，故其波動風險越高，將使得投資人對企業資產評價資訊的掌握越不完全，故真實的資產價值分配越模糊不確定 (Duffie and Lando, 2001)。所以根據Merton (1974)及Duffie and Lando (2001)的概念，本研究可合理推論越高的研發支出波動風險將會增加資產價值波動風險及降低真實資產價值分配的可辨識度，故將進一步使得企業信用風險提高。本研究以我國上市（櫃）公司於1996 年至2009 年間交易之普通公司債為樣本，測試研發支出波動風險對於信用風險之影響，發現當企業研發支出波動程度增加，會提高信用風險，降低債權價值，且若企業本身已具較高違約風險，則其研發支出波動風險對信用風險的負面影響更甚，而較佳的景氣循環會減緩研發波動對信用風險之影響。

The relationship between research and development expenditures (hereafter, R&D) and credit risk has been investigated by existing studies (Shi, 2003; Eberhart et al., 2008). However, little literature focuses on the influence of the volatility of R&D expenditures on credit risk. Therefore, the purpose of the current study is to verify whether the fluctuations of R&D expenditures affect corporate credit risk. Since R&D has the duality of risky expenditures and intangible assets, the fluctuations of R&D expenditures are expected to affect the visibility and distribution of a firm’s value. As a result, unstable and uncertain distribution of firm value would increase credit risk (Merton, 1974; Duffie and Lando, 2001). The corporate bonds issued by the listed firms in Taiwan between 1996 and 2009 are adopted to testify the above prediction. The empirical results reveal that a firm’s credit risk increases with the volatility of R&D expenditures, and the increasing degree is enhanced by leverage ratio. Moreover, volatile R&D has lower influence on credit risk during the economic growth periods.