R&D顯著增加後的長期報酬與產業內的外溢效果

Long Run Return and Intra-industry’s Spillover Effect after R&D Increases

黃瑋儒(Wei-Ju Huang)

指導教授 ： 王衍智

元智大學/管理學院/財務金融學系/碩士(2008年)

摘要

一般認為投資人的錯誤評價與風險因素是解釋研發費用增加後公司股票報酬變動的因素,但在本篇研究中,我們新增加了一項因素:產業內的外溢效果.所謂的外溢效果,即是指公司增加R&D的費用後,透過無形的知識的外溢影響同產業內的其他公司.在這篇研究裡,我們會將同一產業的公司.分為先驅者與跟隨者兩種,先驅者即是指在產業中,率先明顯增加研發費用的公司.而跟隨者是指在先驅者之後明顯增加研發費用的公司.我們認為同一產業內的先驅者與跟隨者公司之間會有外溢效果,而外溢效果會使的先驅者公司的長期報酬增加,依照跟隨者多寡的差別會造成先驅者公司長期效果的差距,跟隨者越多的先驅者公司,其長期異常報酬會越高.

關鍵字

R&D ； 外溢效果

並列摘要

Past papers point out that two alternative explanations for source of long run stock returns subsequent to a firm’s R&D expense increase are investor’s mispricing and the compensation on risk. Instead, this paper provides another explanation that the spillover effects of R&D expenditure is also related to the excess stock return of the firm. The spillover effect means that a firm’s increases on its R&D expenditures affect the returns of the rivals with the same industry by the flow of knowledge. In this paper, we test this hypothesis by using 10,621 U.S. firm-year observations during 1974 to 2006, where the Harbinger and Follower firms are classified as follows. The Harbinger firm means that the firm initially significantly increases its R&D expenditures. The Follower means that the firm within the same industry significantly increases its R&D expenditures following the Harbinger firm. As a result, we find that the existence of intra-industry R&D spillover effects between the Harbinger and Follower firms explains the long run return of the Harbinger firm. The Harbinger firm with more Follower peers will outperform the other Harbinger firm with less Follower peers, which supports the existence of spillover effect on the R&D.

並列關鍵字

R&D ； Spillover effects

參考文獻

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