無形資產與股票報酬: 以人力資源分析

本論文主要在探討無形資產與公司市場績效之關連性。研究樣本選定2001年至2008年間臺灣證券交易所之所有上市公司進行實證。其中衡量無形資產變數包涵人力資源、研發費用與廣告費用。有別於過去研究，本文延伸與修正Christos and Park (2009) 超額人力資本指標(EVHC)，藉由隔離無形資產、研發費用與廣告費用之影響，創造新的人力資源(HR)指標，檢測人力資源配置效率是否對於股票報酬有不同的影響。因此，在劃分樣本群組方面，選用Hansen (2000)所提出之多重狀態模型(multiple regimes model)進行估計，此方法將有助於幫助我們檢定所設立之研究假說。實證結果顯示人力資源與股票報酬間，存在上下不對稱之非線性關係。人力資源配置具有效率性/無效率且顯著為正值/負值，在高成長與低人力資源指標區間/低成長與高人力資源指標區間。除此之外，人力資源指標同時可作為市場效率性與錯誤定價衡量指標，幫助我們了解人力資源影響的實質效果。另一方面，發現研發費用與股票報酬為顯著負相關。相對於其他投資，研發計畫通常有較高的資訊不對稱與未來利益不確定性存在管理者與股東之間。而在廣告費方面，因市場效率的影響程度使得對於股票報酬為無相關影響。最後，所有相關實證結果希冀能提供管理當局與投資人，在制定相關投資策略時能有不同之參考資訊。

關鍵字

人力資源；無形資產；研發費用；廣告費用；多重狀態模型

並列摘要

This study investigates the relation between market performance and intangible assets, especially human resource. The samples are selected from the listed firms from 2001 to 2008 in Taiwan Stock Exchange. The intangible assets measured in this research include human resource, R&D, and advertisement expenses. In contrast to previous studies, we adopted a new human resource (HR) indicator, which is extended and modified based on the excess value of human capital (EVHC) proposed by Christos and Park (2009). HR indicator will exclude intangibles, R&D and advertisement expenses. Thereby, we can know whether the allocation of human resource has influences on stock returns in different regimes. Therefore, this paper adopts the multiple regimes model (Hansen, 2000), in which the hypotheses could be tested. Our results show that there is a significant asymmetric non-linear relationship between HR and stock returns, the allocation of HR is efficient/ inefficient, the value is significantly positive/ negative in high growth and low HR/low growth and high HR regimes. Additionally, the new HR indicator as an efficient measurer helps us understand the realized effect of HR and as a mispricing measurer, too. On the other hand, R&D expenses are found all significantly negative associated with stock returns. Relative to other investments, R&D projects are often associated with higher information asymmetry between managers and shareholders as well as greater uncertainty of the future benefits.However, advertisement expenses aren’t correlated with stock returns. We find that the results are statistically insignificant, because of the effect of degree to market efficiency. Finally, our overall results are expected to provide the managers and investors useful information, as well as help them draw up investment strategies.

並列關鍵字

Human resource ； Intangible assets ； R&D expenses ； Advertisement expenses ； Multiple regimes model

參考文獻

Chambers, D., Jennings, R. and R. Thompson, (2002), Excess Returns to R&D Intensive Firms, Review of Accounting Studies, Vol. 7, pp.133-158.

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無形資產與股票報酬: 以人力資源分析

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