政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34272
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51071966      線上人數 : 932
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 會計學系 > 學位論文 >  Item 140.119/34272


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/34272


    題名: 研究發展與專利權對於股票報酬影響之探討
    The Effect on Stock Returns of R&D and Patents
    作者: 鄭雯馨
    Jeng,Wen-Shin
    貢獻者: 李怡宗
    Lee,Yi-Tsung
    鄭雯馨
    Jeng,Wen-Shin
    關鍵詞: 研究發展
    專利權
    股票報酬
    Fama and French三因子模型
    Research & development
    Patent
    Stock return
    Fama and French three-factor model
    日期: 2004
    上傳時間: 2009-09-18 09:12:04 (UTC+8)
    摘要: 在知識經濟時代下，無形資產的對於公司的重要性愈來愈高。有別於在工業時代下的生產重心，著重在大量的土地，機器設備...等有形的資產，在二十一世紀競爭中致勝的關鍵因素卻是那些無實體存在的知識累積，例如：研究發展的能力、員工的素質、顧客關係的維持…等;然而，會計處理對於無形資產卻是停留在歷史的取得成本，而不是現時的市場價值，更甚，有些無形資產根本無法入帳;因此，資本市場如何看待與反應公司的無形資產就是一項有趣的議題。本研究之研究目的是：依據Fama and French (1993)三因子模型，以橫斷面的分析方式，欲控制了系統風險、規模效果和淨值與市價比效果後，進一步分別探討研究發展活動與專利權對於股票報酬之影響，是否擁有投入愈多的研發活動與專利可以在股票市場獲得愈高的報酬？是否研究發展費用與專利權數對於股票報酬有遞延效果的影響？

    樣本期間從民國七十一年到民國九十三年，包含上市與上櫃公司，總共有21717筆觀察值，在研究發展活動方面，本研究採用了當期研究發展費用與依五年資本化後之研究發展費用二種替代變數，專利權方面，採用專利權數與累積專利權數二種代理變數，其實證結果發現：

    (1)當期研究發展費用溢酬與股票超額報酬呈現顯著的正向相關，將研究發展費用依五年資本化後，資本化後之研究發展費用溢酬仍與股票超額報酬呈現顯著的正向相關。
    (2)專利權數之溢酬與股票超額報酬卻是顯著的負相關，累積專利權數之溢酬與股票超額報酬也是呈現顯著的負向關係，可能的原因是：在本研究樣本裡的大部分的專利權數量是非常集中在少部分的公司。
    (3)研究發展溢酬對於超額報酬最多有三年的遞延效果，專利權溢酬對於超額報酬至少有五年遞延的效果。
    (4)當期研究發展費用溢酬與資本化後之研究發展費用溢酬對於超額報酬有顯著不同的影響，二者比較下，當期研究發展費用溢酬對於股票報酬的影響程度大於資本化後之研究發展費用溢酬。可能的原因是:Fama and French三因子模型某種程度上代表著流量的概念，因此，當期研究發展費用溢酬的效果較為顯著。
    (5)在專利權數之溢酬與累積專利權數之溢酬二者之間，對於超額報酬不具有顯著差異性的影響。可能的原因是:大部分的樣本都沒有專利權，因此，專利權數之溢酬與累積專利權數之溢酬沒有太大的差異。
    (6)以研究發展與專利來說，二者對於超額報酬具有顯著不同差異的影響。
    Since the change in the global economy in the last decade, from manufacturing and industry-based to knowledge-based, it has created new interest in intellectual capital and increased the demand for measuring and reporting the effect on business and profitability. Nonetheless, accounting conventions based on historical cost often understate their value. Thus, from a practical point of view, how the stock market responses to the innovative activity is an interesting issue.

    Here, the major objective of this study is, on the basis of the three-factor model in Fama and French (1993), to investigate the relationship between innovation activities in firms and stock returns. That is, the aim in this study is to examine whether the intellectual capital, in particularly focusing on R&D and patents, has impact on stock returns. Does the market provide the premium for the value of the innovation in firms? Do the stocks with more innovation efforts worth the higher market rate of returns? Do R&D and patents have time lag effect on returns?

    We find that: (1) The return premiums are significantly greater for high-level of R&D than for low-level R&D. The mimicking returns both for the R&D-expense factor and capitalized-R&D factors are significantly positive related to excess stock returns. (2) Contrary to our intuition and expectation, the mimicking returns both for patent count and cumulated patent count are significantly negative associated with excess stock returns. One possible explanation is that the distribution of patented innovation is known to be extremely skewed, implying that a few patents are very valuable and many are worth almost nothing. (3) R&D-related return premiums have 3-year lag effect on excess stock returns at most. As for patent-related return premiums, it shows 5-year lag at least for excess stock returns. (4) R&D expenses have more impact on stock returns than the R&D capitalization. One possible explanation is that the “flow” concept is more suitable than the “stock” concept in the Fama and French (1993) regression of stock returns. (5) There is no difference between patent count and cumulated patent count in explaining stock returns. It is likely that, for a large proportion of the sample, they do not possess any patents. (6) When it comes to compare R&D to patents, we find that there is statistically significant difference between the two in explaining excess stock returns.
    參考文獻: 中文文獻
    胡玉雪，1993，益本比、淨值╱市價比及公司規模對股票報酬之影響──相似無關迴歸法之應用，國立台灣大學商學研究所未出版碩士論文。
    施純玉，1996，淨值市價比效果之探討，國立台灣大學財務金融學系未出版碩士論文。
    吳佳穎，2000，台灣資訊電子產業研究發展活動與公司經營績效之研究，國立交通大學科技管理所未出版博士論文。
    陳柏彰，2001，創新發明能力與企業生產力以及企業價值之關連性研究--以台灣之資訊電子業為例，臺灣大學會計學研究所未出版碩士論文。
    陳俊雄，2001，專利權價值攸關性之研究，中原大學會計研究所未出版碩士論文。
    紀信義，2001，專利權價值攸關性之研究:以企業生命週期論析，彰化師範大學商業教育學系未出版碩士論文。
    許受昌，2001，資訊電子產業研究發展支出與股東報酬關聯性之研究，東吳大學會計學系未出版碩士論文。
    張君豪，1998，研究發展成本、現金流量及盈餘對股價報酬之研究，中原大學會計學系未出版碩士論文。
    楊幼梅，2001，研究發展支出與未來股票報酬之關連性研究，中原大學會計研究所未出版碩士論文。
    楊志海、陳忠榮，2002，研究發展，專利與生產力--臺灣製造業的實證研究，經濟論文叢刊，第30卷第1期：27-48
    葉玉慧，2002，專利權、創新投資與公司價值創造關係之研究—以研發投資宣告為例，國立成功大學國際企業研究所未出版碩博士班碩士論文。
    黃文英，2000，資訊軟體業之專利權對企業價值之效應研究，東吳大學會計學系未出版碩士論文。
    曾俊堯，2003，創新資本對經營績效與公司價值影響之研究，國立台北大學企業管理學系未出版博士論文。
    劉正田，2002，無形資產、成長機會與股價報酬關係之研究，會計評論，第35期：1-29。
    廖義芳，2001，專利權與經營績效關係之研究:各項專利權之比較，彰化師範大學商業教育學系未出版碩士論文。
    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，第6卷第2期：357-385。
    English Literature
    Banz, R. W. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics. 9(1): 3-18.
    Barr, R., R. Kenneth, and L. Ronald. 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management. 11(3): 9-17.
    Bauman, W.S. and R. E. Miller. 1997. Investors’ expectations and the performance of value stocks versus growth stocks. Journal of Portfolio Management. 23 (3): 57-68.
    Bloom, N. and J. V. Reenen. 2002. Patents, real options and firm performance. The Economic Journal. Mar. Vol.112 Iss. 478: 97-116.
    Boone, J. B. and K. K. Raman. 2004. Does the market fixate on reported earnings for R&D firms? Journal of Accounting, Auditing & Finance. 19(2): 185-218.
    Bosworth, D. and M. Rogers. 2001. Market value, R&D and intellectual property: An empirical analysis of large Australian firms. Economic Record. Dec. Vol.77 Iss.239: 323-337.
    Chan, K. C. and N. F. Chen. 1991. Structure and return characteristics of small and large firms. The Journal of Finance.46(4): 1467-1484.
    Chan, L., J. Lakonishok, and T. Sougiannis. 2001. The stock market valuation of research and development expenditures. The Journal of Finance. 6: 2431-2456.
    Chakrabarti, A. K. 1990. Scientific output of small and medium size firms in high tech industries. IEEE Transactions on Engineering Management. 37(1): 48-52.
    Chambers, D., J. Ross, and R. B. Thompson II. 2002. Excess returns to R&D-intensive firms. Review of Accounting Studies. 7(2-3): 133-158.
    Cockburn, I. and Z. Griliches. 1988. Industry effects and appropriability measures on the stock market’s valuation of R&D and patents. American Economic Review. 78: 419-423.
    Comanor, W. S. and F. Scherer. 1969. Patent statistics as a measure of technical change. Journal of Political Economy. 77(2): 392-398.
    Deng, Z., B. Lev, and F. Narin. 1999. Science and technology as predictors of stock performance, Financial Analysts Journal, (May/June):20-32.
    Dzinkowski, R. 2000. The measurement and management of intellectual capital: An introduction. Management Accounting. 78(2): 32-36.
    Eberhart, A. C., W. F. Maxwell, and A. R. Siddique. 2004. An explanation of long-term abcdrmal stock returns and operating performance following R&D increases. The Journal of Finance. 59(2): 623-650.
    Fama, E. F. and K. R. French. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. 33: 3-56.
    Fama, E. F. and K. R. French. 1996. Multifactor explanations of asset pricing anomalies. Journal of Finance. 1: 55-84.
    Hirschey, M., V. J. Richardson, and S. Scholz. 2001. The relevance of non-financial information: The case of patent data. Review of Quantitative Finance and Accounting. 17: 225-235.
    Hope, J. and T. Hope. 1998. Competing in the third wave: The ten key management issues of the information age. Boston: Harvard Business School Press.
    Johnson, S. B. 1984. Comparing R&D strategies of Japanese and U.S. firms. Sloan Management Review Spring. 25(3):25-34.
    Lev, B. and T. Sougiannis. 1996. The capitalization, amortization, and value-relevance of R&D. Journal of Accounting and Economics. 21: 107-138.
    Lev, B. and T. Sougiannis. 1999. Penetrating the book-to-market black box: the R&D effect. Journal of Business Finance and Accounting. 26(3) & (4): 419-449.
    Linter, J. 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47: 13-37.
    Morbey, G. K. and R. M. Reithner. 1990. How R&D affects sales growth, productivity and profitability. Research Technology Management. 33(3): 11-14.
    Narin, F., N. Elliot, and P. Ross. 1987. Patents as indicators of corporate technological strength. Research Policy. 16(2-4): 143-155.
    Osborne, A. 1998. Measuring intellectual capital: the real value of companies. Ohio CPA Journal (Oct/Dec):37-38.
    Pontiff, J. and S. D. Lawrence. 1998. Book-to-market ratios predictors of market returns. Journal of Financial Economics. 49(2):141-160.
    Richard, R. 1981. A possible explanation of the small firm effect. The Journal of Finance. 36(4): 879-888.
    Schumpeter, J. 1934. The theory of economic development. Harvard University Press, Cambridge.
    Schumpeter, J. 1942. Capitalism, socialism, and democracy. Harper, New York.
    Sharpe, W. F. 1964. Capital asset prices: a theory of market equilibrium under conditions of risk. The Journal of Finance. 19: 425-442.
    Stephen, R. A. 1976. The arbitrage theory of capital asset pricing. The Journal of Economic Theory. 13: 341-360.
    描述: 碩士
    國立政治大學
    會計研究所
    923530331
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923530331
    資料類型: thesis
    顯示於類別:[會計學系] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    53033101.pdf43KbAdobe PDF2720檢視/開啟
    53033102.pdf47KbAdobe PDF2807檢視/開啟
    53033103.pdf49KbAdobe PDF2941檢視/開啟
    53033104.pdf47KbAdobe PDF2703檢視/開啟
    53033105.pdf107KbAdobe PDF2792檢視/開啟
    53033106.pdf88KbAdobe PDF21108檢視/開啟
    53033107.pdf96KbAdobe PDF2980檢視/開啟
    53033108.pdf160KbAdobe PDF2865檢視/開啟
    53033109.pdf49KbAdobe PDF2686檢視/開啟
    53033110.pdf45KbAdobe PDF2675檢視/開啟
    53033111.pdf53KbAdobe PDF2976檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋