企业研发投资与净值市价比现象.pdf

風險管理學報 第五卷 第二期 2003 年 7 月 Journal of Risk Management Vol.5 No.2 July 2003 pp. 261-285 企業研發投資與淨值市價比現象* RD Investment and Book-to -Market Ratio Phenomenon ** 劉正田（Jenten Liu ） 摘 要 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。 關鍵詞：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 。 Abstract Literatures indicate that B/M ratio contains characteristics of growth opportunity, persistent biases and transitory lags. This research verifies the relationship of RD investment and B/M ratio. The findings show that benefits due to RD investment are realized in the coming years. Thus, the firm’s RD expenditure is capitalized and RD 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 RD 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 RD investment may explain stock returns of lower B/M corporations. Keywords : Research and Development (RD), Capitalize, Book-to-Market Ratio (B/M ratio), Panel Data Method, Portfolio Analysis. * 作者感謝三位匿名審查教授之細心指正與建議，使本文更臻周詳。 ** 國立台北商業技術學院會計資訊系副教授，Associate Professor, Department of Accounting Information, Natio