研究發展費用與資本支出對股票報酬之交互作用效應探討

Effect of R&D Expenditures on Cross-Sectional Stock Returns — The Role of Capital Expenditures

林昆輝(Kun-Hui Lin)

指導教授 ： 王衍智

國立臺灣大學/管理學院/財務金融學研究所/碩士(2016年)

https://doi.org/10.6342/NTU201700551

摘要

本篇論文欲研究研發費用和資本支出的交互作用關係，本文以1981-2014年的台灣上市公司樣本進行研究(排除金融產業)，並利用Fama-Macbeth(1973)迴歸模型檢測此兩個變數是否存在顯著的正向交互作用關係。實證結果發現，研發費用和資本支出存在顯著的正向交互作用效果，公司增加資本支出會增強研發費用對公司股票報酬正向的影響。

關鍵字

研發費用 ； 資本支出 ； 交互作用 ； 股票報酬 ； Fama-Macbeth(1973)迴歸模型

並列摘要

This paper studies the interaction effect between research & development expenditures and capital expenditures on future stock returns. I adopt the Fama-Macbeth (1973) cross-sectional regressions to examine the samples which consist of all exchange listed firms in Taiwan from 1981 to 2014 excluding financial industry firms. The empirical results indicate that there exists a significant positive interaction effect between research & development expenditures and capital expenditures. Therefore, I conclude that increases of the capital expenditures would strengthen the effect of research & development expenditures on stock returns.

並列關鍵字

research & development expenditures ； capital expenditures ； interaction effect ； stock returns ； Fama-Macbeth (1973) cross-sectional regressions

參考文獻

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Chan, L. K. C., J. Lakonishok and T. Sougianni. “The Stock Market Valuations of Research and Development Expenditures,” Journal of Finance, 6 (2001) 2431-2456

Cordis, A. S. and C. Kirby, “Capital expenditures and firm performance: evidence from a cross-sectional analysis of stock returns,” Accounting and Finance, (2016) 1-22