2014-01-012024-05-17https://scholars.lib.ntu.edu.tw/handle/123456789/679671摘要：本研究探討公司研發支出與未來股票報酬的相關分析，特別是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。<br> Abstract: This paper studies whether limits-to-arbitrage and investment frictions explain research and development (R&D) premium. We find that, to some extent, the R&D premium is positively related to both degrees of limits-to-arbitrage and investment frictions. Limits-to-arbitrage explains more on the R&D premium than does investment friction. All results are held as we construct a two-way sort on limits-to-arbitrage and investment friction. We also test the impact of limits-to-arbitrage and investment friction on two new innovation anomalies, innovation efficiency and R&D ability. Little evidence is found that limits-to-arbitrage and investment frictions are effective in explaining two the new anomalies.研發支出套利限制財務限R&D premiumlimits-to-arbitrageinvestment friction.