本研究檢視研發投資宣告對宣告與對手公司之股價反應,而參考Zantout(1997)以及Zantout和Tsetsekos(1994)之方法,探討國內研發宣告公司之股價反應是否有領先創新效果大於外溢效果之影響,及其與產業結構(產業集中度)之關聯性,並輔以多事件窗口與市場模式及三因子模式增加結果之穩定性。研究結果發現,(1)宣告公司產生正向累積異常報酬,對手公司則產生負向累積異常報酬,部份支持領先創新效果大於外溢效果。此代表投資者認為研發宣告將使宣告公司增加其未來價值,而也因為宣告公司增強其競爭力,相對的降低對手公司之價值;(2)在產業結構上,產業集中度與宣告公司(對手公司)的股票異常報酬呈正(負)的關係,符合Schumpeter之研發創新假說。也就是說,產業集中度越高之公司,因為產業進入障礙越高,不利產生新的競爭者,因而更能確保其研發活動之成功及在產業中之優勢,來獲取更高之利益。所以產業集中度越高之公司,研發創新活動越多,股票報酬亦越高。
This study investigates the first-to-innovate or spillover effect of cumulative abnormal returns between announcing firms and rival firms, and their stock reactions under industry concentration. This study follows work from Zantout (1997) as well as Zantout and Tsetsekos (1994), and uses market model and three factors model for robustness test. After the univariate and regression analyses for samples from announcements of R&D investment of Taiwan listed companies, the findings are as follows: (1) the results partially support first-to-innovate (not spillover) effect, because companies which increase R&D investment will enhance their competitiveness; and (2) the results may support Schumpeter's innovation hypothesis, because companies in high concentration industry built high entry barriers to avoid new competitors for high profits. Therefore, companies in high concentration industry will have many R&D investments, and their cumulative abnormal returns will increase also.