研發投資宣告與股票價值關係之實證研究－對手公司與產業集中度的觀點

An Empirical Study on the Relationship between Announcements of R&D Investment and Share Value: A Perspective on the Rival Firms and Industry Concentration

10.29698/FJMR.200705.0001

洪榮華(Jung-Hua Hung)；劉永欽(Yong-Chin Liu)；張力(Li Chang)；林欣宜(Hsin-I Lin)

研發投資 ； 產業集中度 ； 對手公司 ； 事件研究法 ； R&D investment activities ； rival firms ； industry concentration ； event study

輔仁管理評論

14卷2期（2007 / 05 / 01）

1 - 26

繁體中文

本研究檢視研發投資宣告對宣告與對手公司之股價反應，而參考Zantout(1997)以及Zantout和Tsetsekos(1994)之方法，探討國內研發宣告公司之股價反應是否有領先創新效果大於外溢效果之影響，及其與產業結構（產業集中度）之關聯性，並輔以多事件窗口與市場模式及三因子模式增加結果之穩定性。研究結果發現，(1)宣告公司產生正向累積異常報酬，對手公司則產生負向累積異常報酬，部份支持領先創新效果大於外溢效果。此代表投資者認為研發宣告將使宣告公司增加其未來價值，而也因為宣告公司增強其競爭力，相對的降低對手公司之價值；(2)在產業結構上，產業集中度與宣告公司（對手公司）的股票異常報酬呈正（負）的關係，符合Schumpeter之研發創新假說。也就是說，產業集中度越高之公司，因為產業進入障礙越高，不利產生新的競爭者，因而更能確保其研發活動之成功及在產業中之優勢，來獲取更高之利益。所以產業集中度越高之公司，研發創新活動越多，股票報酬亦越高。

This study investigates the first-to-innovate or spillover effect of cumulative abnormal returns between announcing firms and rival firms, and their stock reactions under industry concentration. This study follows work from Zantout (1997) as well as Zantout and Tsetsekos (1994), and uses market model and three factors model for robustness test. After the univariate and regression analyses for samples from announcements of R&D investment of Taiwan listed companies, the findings are as follows: (1) the results partially support first-to-innovate (not spillover) effect, because companies which increase R&D investment will enhance their competitiveness; and (2) the results may support Schumpeter's innovation hypothesis, because companies in high concentration industry built high entry barriers to avoid new competitors for high profits. Therefore, companies in high concentration industry will have many R&D investments, and their cumulative abnormal returns will increase also.

1. 劉正田、林修葳、金成隆(2005)。創新價值鏈之路徑分析：企業研發投資成效之實證研究。管理評論，24(4)，29-56。
   連結：
2. Bah, R.,Dumontier P.(2001).R&D Intensity and Corporate Financial JPlicy: Some International Evidence.Journal of Business Finance & Accounting,28,671-692.
3. Beath, J.,Katsoulacos Y.,Ulph D.(1989).Strategic R&D Policy.Economic Journal,99,74-83.
4. Chan, L. K.,Lakonishok C. J.,Sougiannis T.(2001).The Stock Market Valuation of Research and Development Expenditures.The Journal of Finance,16,2431-2456.
5. Chan, S.,Martin J.,Kensinger J. W.(1990).Corporate Research and Development Expenditures and Share Value.Journal of Financial Economics,26,255-276.
6. Denison, E. F.(1985).Trends in American Growth, 1929-1982.Washington DC:Brookings.
7. Doukas, J.,Switzer L.(1992).The Stock Market's Valuation of R&D Spending and Market Concentration.Journal of Economics and Business,44,95-114.
8. Fama, E. F.,French K. R.(1993).Common Risk Factors in the Returns on Stocks and Bonds.Journal of Financial Economics,33,23-56.
9. Grossman, S. J.(1989).The Information Role of Prices.Cambridge:The MIT Press.
10. Hansen, G. S.,Hill C. W.(1991).Are Institutional Investors Myopic? A Time Series Study from Technology-Driven Industry.Strategic Management Journal,21,1-16.
11. Hill, C. W.,Snell S. A(1988).External Control, Corporate Strategy, and Firm Performance in Research-Intensive Industries.Strategic Management Journal,9,577-590.
12. Hou, K.,Robinson D. T.(2006).Industry Concentration and Average Stock Returns.Journal of Finance,61,1927-1956.
13. Jaffe, A. B.(1986).Technology Opportunity and Spillovers of R&D: Evidence from Firms` Patents, Profits, and Market Value.American Economic Review,76,984-1001.
14. Jensen, M. C.(1986).Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers.American Economic Review,76,323-329.
15. Kelm, K. M.,Naraynan V. K.,Pinches G. E.(1995).Shareholder Value Creation During R&D Innovation and Commercialization Stages.Academy of Management Journal,38,770-786.
16. Lieberman, M. B.,Montgomery D. B.(1988).First-Mover Advantages.Strategic Management Journal,9,41-58.
17. Lunn, J.,Martin S.(1986).Market Structure, Firm Structure, and R&D.Quarterly Review of Economics and Business,26,31-43.
18. McConnell, J. J.,Muscarella C. J.(1985).Corporate Capital Expenditure Decisions and the Market Value of the Firm.Journal of Financial Economics,14,399-422.
19. Pakes, A.(1985).On Patients, R&D, and Stock Market Rate of Return.Journal of Political Economy,93,390-409.
20. Pane, I.(2002).Intellectual Capital and Business Star-up Success.Journal of Intellectual Capital,3,180-198.
21. Porter, E. M.,S. Stern(2001).Innovation: Location Matters.MIT Sloan Management Review,42,28-36.
22. Porter, M.(1985).Competitive Advantage.New York:Free Press.
23. Rogers M.(2002).The Influence of Diversification and Market Structure on the R&D Intensity of Large Australian Firms.The Australian Economic Review,35,155-172.
24. Rosenberg N.(1976).Perspectives on Technology.Cambridge:Cambridge University Press.
25. Schumpeter, J.(1912).The Theory of Economic Development.Cambridge, Mass.:Harvard University Press.
26. Schumpeter, J.(1942).Capitalism, Socialism and Democracy.New York:Harper.
27. Spence, M.(1988).Cost Rreduction, Ccompetition, and Iindustry Pperformance.Econometrica,52,101-121.
28. Stigler G. J.(1953).Reading in Price Theory.London:George Allen and Unwin Ltd..
29. Sundaram, A. K.,John T. A.,John K.(1996).An Eempirical Aanalysis of Strategic Competition and Firm Values The Case of R&D Competition.Journal of Financial Economics,40,459-486.
30. Woolridge, J. R.,Snow C. C.(1990).Stock Market Reaction to Strategic Investment Decisions.Strategic Management Journal,11,353-363.
31. Zantout, Z. Z.(1997).A Test of the Debt-Monitoring Hypothesis: The Case of Corporate R&D Expenditures.The Financial Review,32,21-48.
32. Zantout, Z. Z.,Chaganti R.(1996).New Product Introductions, Shareholders` Wealth, and First-Mover Advantages.Journal of Financial and Strategic Decisions,9,49-61.
33. Zantout, Z. Z.,Tsetsekos G. P.(1994).The Wealth Effects of Announcements of R&D Expenditure Increases.The Journal of Financial Research,17,205-216.
34. 行政院國家科學委員會(2004)。科學技術發展遠景與策略。中華民國科學技術白皮書。
35. 李淑華(2002)。國立台灣大學會計研究所。
36. 陳忠榮、李鴻志(1997)。市場結構、研究發展與專利授權。經濟論文叢刊，25(4)，555-568。
37. 陳隆麒、李春安、劉維琪(1997)。擴充型投資專案宣告對股價影響之研究－聲譽模式論點。管理評論，16(1)，38-66。
38. 歐進士(1998)。我國企業研究發展與經營績效關聯之實證研究。中山管理評論，6(2)，357-385。
39. 闕河士、菅瑞昌、黃旭輝(2000)。研究發展密集度與專利對股票績效影響－以台灣上市公司爲例。產業管理學報，1(2)，257-268。
40. 龔明鑫、林秀英(2003)。從專利分析台灣創新能量與趨勢。2003產業科技創新：關鍵年代的科技政策與挑戰國際研討會，台北:

1. 蘇欣玫、黃健銘(2010)。企業研發活動對營運績效之不對稱效果分析─以台灣電子產業為例。會計與公司治理，7(2)，75-95。