2013-01-012024-05-17https://scholars.lib.ntu.edu.tw/handle/123456789/678623摘要：本研究為一個兩年期的計畫，主要研究公司研發支出與未來股票報酬的相關分析。第一年計畫主題為公司研發支出的股票報酬與套利限制問題。Chan, Lakonishok 與 Sougiannis (2001)等人的研究發現，公司研發支出越多，未來股票報酬越高，且其正向效果長達一至三年以上。在此研究計畫中，我們認為研發支出和報酬的正向關係可以被公司套利限制的程度所解釋。由於許多投入高研發公司傾向為小公司、成長型公司與有較高訊息不對稱的公司，所以高研發支出的公司會有較低的市場流動性。除此之外，高研發公司通常由較多的趨勢追隨者交易，而趨勢追隨者容易讓價格偏離基礎面，增加套利的困難。不論是流動性的問題或是趨勢追隨者的交易，都容易造成較高程度的套利限制問題。也此我們認為高研發支出的公司所伴隨的套現限制，解釋了至少部分研發支出未來的股票報酬率。而這樣的觀點也和定價錯誤理論在研發支出報酬表現的解釋一致。 本研究第二年計畫主題為股票報酬、研發支出與現金對現金流量的敏感度之研究。Li (2011)研究發現公司研發支出與未來報酬的正向關係僅存在於財務限制公司之中，她主張高研發支出公司同時有財務限制問題時，該公司風險程度較高，所以公司股票報酬應該有較高的風險溢酬。然而，Li(2011)乎略了財務限制指標的另一大宗，也就是用公司現金流量敏感度的程度來衡量財務限制的高低。也因此，我們認為應該用現金對現金流量的敏感度來衡量一家公司的財務限制程度(Almeida, Campello 和Weisbach (2004))，才能讓這方面的研究更完整。更重要的，公司財務限制與經理人過度自信有關，所以高研發支出公司若同時有財務限制問題，則研發支出可能為過度投資的結果。依照這個邏輯，研發支出與報酬有正相關應該是存在於非財務限制公司才是。也因此我們將以現金對現金流量敏感度再次檢驗股票報酬、研發支出與財務限制三者之間的關係。 <br> Abstract: This proposal is aimed to study the firm’s stock performance associated with the research and development (R&D) investment. The proposal consists of two projects. The first part investigates the relation between the stock returns associated with R&D investments and the limits-to-arbitrage. Chan, Lakonishok and Sougiannis (2001) and other papers document an R&D effect in stock returns where firms with high R&D generate large future stock returns. We propose that this R&D effect is associated with the magnitude of limits-to-arbitrage. Because R&D intensive firms tend to be small with intangible information, these firms are more likely to be illiquid. Also, the R&D intensive firms are growth firms with trading by more trend chasers, resulting in more chance of mispricing. Both of these facts lead to higher tendency of limits-to-arbitrage for the R&D intensive firms than for low R&D intensity firms. Accordingly, the stock return associated with the R&D spending could be, at least partially, explained by the limits-to-arbitrage, which is a piece of evidence supporting the mispricing explanation on the R&D effect in stock returns. The second part studies the relation among stock returns, R&D investment and the cash flow sensitivity of cash, in which the cash flow sensitivity of cash is proposed as a measure for the financial constraint of a firm (Almeida, Campello and Weisbach, 2004). Li (2011) suggests that the financial constraint influences the R&D effect. She suggests that firms with high R&D intensity would be riskier than firms with low R&D intensity only when these firms are financially constrained. We argue that, however, the financial constraint should be measured by cash-to-cash flow sensitivity that is omitted in Li (2011). In addition, the R&D spending made by financially constrained firms might be driven by overinvestment because financial constraint could be associated with managerial overconfidence, which is usually associated with overinvestment. Therefore, we expect a positive relation between the R&D expense and stock return only for unconstrained firms but not constrained firms, in particular when measuring the financial constraint by the cash-to-cash flow sensitivity.研發支出套利限制財務限制經理人過度自信R&Dlimits-to-arbitragefinancial constraintmanagerial overconfidence