- 學位論文
台灣上市公司在研究發展費用增加後異常報酬之研究
A Study on the Abnormal Returns of Taiwanese Public-Listed Companies after the Increase in R&D Expenditures
摘要
近年來，政府極力倡導產業研究發展之活動，企業也紛紛成立研發中心，乃為了提升企業競爭力與促進公司價值進而提升企業獲利能力。由此可知，企業愈來愈重視研發活動，不過研發活動能否在股價上反應出來，進而產生超額報酬?乃為本研究探討主要目的。本研究以1990-2001年間我國44家上市公司為研究對象，並採用事件研究法之單因子市場模式，探討公司於重大R&D費用增加後是否存在異常報酬，再分組進行檢定與複迴歸分析，以驗證產業特性、規模大小及風險高低對公司特徵對超額報酬的影響。實證結果發現：1.在研究期間內，全體樣本中於事件日後第5天均存在顯著正的異常報酬；其中，分群後結果「非資訊電子業」、「小規模公司」、「低風險公司」也於事件日後第5天皆呈顯著正的異常報酬。2.在研究期間內，全體樣本中於事件日至第5天事件區間均存在顯著正的累積異常報酬；其中，分群後結果「非資訊電子業」、「資訊電子業」、「低風險公司」也皆呈顯著正的累積異常報酬。3.在研究期間內，「資訊電子業」比「非資訊電子業」更能產生異常報酬；「大規模公司」比「小規模公司」也較易產生累積異常報酬。
並列摘要
In recent years, the government has given a lot of effort to help enterprises to increase their activities of research and development (R&D). Many enterprises have established the R&D center to improve their competitive advantages and promote the values of companies. However, the question is whether R&D activities could be properly evaluated in the stock market and then could produce the excess returns. This is the main purpose of this research. The method of event study was applied to a data set of 44 listed companies in the Taiwan stock market during 1990-2001. Moreover, multivariate regression models were used to analyze the impacts of the industrial characteristic, scale, and systematic risk of a firm on its abnormal returns. The empirical results show that: 1. There were significant positive abnormal returns on the 5th day after the day of event. Besides, among the samples, “non information-electronic firms”, “small-scale firms”, and “low risk firms” had positive abnormal returns. 2. There existed positive cumulative abnormal returns from the day of event to the 5th day after the event for all the samples. Moreover, among the samples, “non information-electronic firms”, “the information-electronic firms”, and “the low risk firms” also had positive cumulative abnormal returns. 3. The “information-electron firms” and “the large-scale firms” could get more abnormal returns than the other firms.