股市對創新活動的評價是否具有效率性？從研發效率與內部人交易論析

Abstract

本文旨在探討我國股市對於創新活動的評價是否具有效率性。實證結果發現：（1）研發效率較高（低）的公司，下一期盈餘較大（小），但股市會低估（高估）高（低）效率公司之創新活動的價值。（2）伴隨著內部人異常買入（異常賣出）的創新活動，下一期盈餘較大（小）。同時，股市會低估（高估）內部人淨買入（賣出）公司創新活動的價值。（3）由於股市無法反應創新活動的價值，基於研發效率與內部人買賣資訊所形成的投資組合策略在下一期可獲得異常報酬，結合這兩個資訊所形成的投資組合策略會獲得更大的異常報酬。

This paper intends to explore whether the stock market can appreciate the value of innovative activities. The empirical results show that: (1) the higher R&D efficiency leads to greater future earnings. However, for high (low) R&D efficiency firms, the stock market underestimates (overestimates) the contribution of innovative activities for future earnings. (2) The contribution of innovative activities for future earnings is greater (lower) when accompanied by abnormal insider net buying (insider net selling). Also, for insider net buying (insider net selling) firms, the stock market underestimates (overestimates) the contribution of innovative activities for future earnings. (3) The trading strategy based on R&D efficiency or insider trading generates abnormally positive one-year-ahead returns. One-year-ahead hedge returns to joint trading strategies based on both R&D efficiency and insider trading significantly exceed those based on innovative efficiency or insider trading alone.