企業研發投資與淨值市價比現象

R&D Investment and Book-to-Market Ratio Phenomenon

10.30003/JRM.200311.0005

劉正田(Jen-Ten Liu)

研究發展 ； 資本化 ； 淨值市價比 ； 棋盤式資料方法 ； 投資組合分析 ； Research and Development (R&D) ； Capitalize ； Book-to-Market Ratio (B/M ratio) ； Panel Data Method ； Portfolio Analysis

風險管理學報

5卷2期（2003 / 11 / 01）

261 - 285

繁體中文

文獻指出B/M ratio含有成長機會、永久性的偏誤與暫時性的延遲等特性，本文驗證研發投資與淨值市價比的關係。首先探討研發效益可及於未來，然後將研發支出資本化以估計研發資產。本文經棋盤式資料分析、共變數分析與投資組合分析，發現淨值市價比低之樣本，研發投資之必要報酬率小於公司未來成長機會。實證隱含淨值市價比較可解釋高淨值市價比公司的股票報酬，而研發投資較可解釋低淨值市價比公司的股票報酬。

Literatures indicate that B/M ratio contains characteristics of growth opportunity, persistent biases and transitory lags. This research verifies the relationship of R&D investment and B/M ratio. The findings show that benefits due to R&D investment are realized in the coming years. Thus, the firm's R&D expenditure is capitalized and R&D asset is estimated. Based on empirical analysis of panel data method, ANCOVA, and portfolio analysis, this study finds that the corporations with lower B/M ratio, the effect of required rate of return of R&D is smaller than the effect of growth opportunity. The implication of the empirical results suggests that B/M ratio may explain stock returns of higher B/M corporations, while R&D investment may explain stock returns of lower B/M corporations.

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