研究發展支出增加、股票報酬與經營績效以及資訊內涵

R&D Increases, Stock Returns and Operating Performance, and Information Content

本文探討「研究發展（R&D）支出增加」對台灣上市公司股票報酬與經營績效的影響，以及股票市場對「R&D支出增加」訊息的反應，藉以了解股票價格的資訊內涵與訊息揭露。為達此目的，我們建構一個資產市場模型，據此發展出待驗證的假說與建立實證模型。並利用「日曆時間法」探討R&D支出增加後該公司是否存在著股票異常報酬與異常經營績效。研究結果顯示，「R&D支出增加」對股票報酬不存在長期效果，而公司經營績效對「R&D支出增加」大多呈顯著為負的異常反應。因此，「R&D支出增加」可能不是一項有利的投資活動。本文亦發現，股票市場能及時吸收「R&D支出增加」價值的資訊，並反應於股價系統之中。

In order to better understand the informational content of prices and the speed of the information revealed, this paper investigates the stock returns and operating performance of firms following research and development (R&D) increases. We construct an asset market model, pursuant to which the development of hypotheses and the creation of empirical models. We use Calendar-time approach to discuss whether there exist abnormal stock returns and abnormal operating performance. The empirical results suggest that R&D increases might not be a beneficial investment activity, and the value of R&D increases decline reflecting the fact that information is gradually incorporated into stock price system.