Good Volatility, Bad Volatility, and R&D Investment

好波動、壞波動與研發投資

Chih-Chiang Wu(吳志強) ； Yuxuan Chen(陳宇軒) ； Wei-Peng Chen(陳煒朋)

《證券市場發展季刊》 36卷3期 (2024/09) Pp. 85-122

https://doi.org/10.6529/RSFM.202409_36(3).0002

摘要

This study examines the impact of research and development (R&D) investments on idiosyncratic volatility (IV) in the US stock market. We decompose the IV into good and bad IVs regarding the positive and negative components of firm-specific residuals from the factor model. The empirical results show that good and bad IVs are significantly and positively associated with R&D intensity, indicating that R&D activities generate uncertainty and information asymmetry for firms. Furthermore, we also explore that R&D activities create a more significant increase in good IV than bad IV, implying that investors are more willing to perceive R&D investments as a good signal than engaging in other risky investments for firms. This study explains the positive impacts of R&D investments on firm value and market performance by considering the substantial risk and equity return increases.

關鍵字

Idiosyncratic volatility ； R&D investment ； Information asymmetry

並列摘要

本研究分析公司研發投資與其獨特風險之間的關聯性，藉由將獨特風險拆解成好波動與壞波動兩種成分，進一步分析研發投資對好波動與壞波動的影響。實證結果發現，研發投資與獨特風險呈現正向關聯性，顯示研發投資將導致較高的不確定性與資訊不對稱；然而研發投資除了同時會誘發更多的好波動與壞波動外，但整體而言，研發投資所產生的好波動高於壞波動，隱含投資人仍願意將研發投資視為公司的正面訊號，本研究結果有助於解釋研發投資對公司價值的影響。

並列關鍵字

獨特風險 ； 研發投資 ； 資訊不對稱

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