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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 18-Sep-2009 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
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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。
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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。
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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.
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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.
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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
dc.contributor.advisor 李怡宗zh_TW
dc.contributor.advisor Lee,Yi-Tsungen_US
dc.contributor.author (Authors) 鄭雯馨zh_TW
dc.contributor.author (Authors) Jeng,Wen-Shinen_US
dc.creator (作者) 鄭雯馨zh_TW
dc.creator (作者) Jeng,Wen-Shinen_US
dc.date (日期) 2004en_US
dc.date.accessioned 18-Sep-2009 09:12:04 (UTC+8)-
dc.date.available 18-Sep-2009 09:12:04 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 09:12:04 (UTC+8)-
dc.identifier (Other Identifiers) G0923530331en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34272-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計研究所zh_TW
dc.description (描述) 923530331zh_TW
dc.description (描述) 93zh_TW
dc.description.abstract (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。		zh_TW
dc.description.abstract (摘要) 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.		en_US
dc.description.tableofcontents TABLE OF CONTENTS

ACKNOWLEDGEMENT……………………………………….Ⅰ
ABSTRACT (CHINESE)…………………………......................Ⅱ
ABSTRACT (ENGLISH)………………………………………..Ⅲ
TABLE OF CONTENTS………………………………………...Ⅳ
LIST OF FIGURES……………………………………………...Ⅴ
LIST OF TABLES……………………………………………….Ⅵ


1. INTRODUCTION
1.1 Motivation……………………………………………………………...1
1.2 Research & Development……………………………………………..4
1.3 Patent…………………………………………………………………...9
1.4 Research Objective & Research Questions…………………………14

2. LITERATURE REVIEW
2.1 Corporation Performance with R&D and Patent …………….…....17
2.2 Market Valuation of R&D Impact…………………………….…..…20
2.3 Market Valuation and Patents……………………………………….25
2.4 Anomalies in Market……………………………………….….……...28
2.5 Summary……………………………………………………….……...30


3. DATA & METHODOLOGY
3.1 Hypotheses………………………………………………..…………...31
3.2 Research Sample & Data…………………………………..………....36
3.3 Empirical Model & Variables………………………………..……....38

4. EMPIRICAL RESULTS
4.1 Descriptive Statistics…………………………………………..……...43
4.2 Regression Results………………………………………………...….45
4.3 Wald Test………………………………………………………...……63

5. CONCLUSIONS & DISCUSSIONS………………...……….70

6. LIMITATONS & POSSIBLE EXTENTIONS…………...….73

REFERENCES………………………………………..………….75
LIST OF FIGURES

Figure 1-1 average R&D expenses by industry…………………………........7
Figure 1-2 average R&D asset by industry…………………………………...8
Figure 1-3 amount of patents granted during 1982-2004…………………..11
Figure 1-4 number of patents granted by industry…………………………12
Figure 1-5 average amount of patents by industry…………..……………..13
Figure 1-6 research process in this study…………………………..………..16
Figure 3-1 conceptual framework for this study……………………………32
Figure 4-1 weighted-average returns by the amount of patents………..….58

LIST OF TABLES
Table 1-1 Accounting treatment for R&D costs…………………………..….5
Table 3-1 Industry distribution of sample observations………………....…37
Table 4-1 Summary statistics for variables………………………………….44
Table 4-2 Extension of FF three-factor model with the R&D expenses…...47
Table 4-3 Extension of FF three-factor model with the R&D asset………..49
Table 4-4 Extension of FF three-factor model with patent count.................50
Table 4-5 Extension of FF three-factor model with cumulated patent count………………………………………………………………...52
Table 4-6 Top 20 corporations with the amount of patents………………..55
Table 4-7 Industry analysis for the distribution of patent-count………….55
Table 4-8 Industry analysis for the distribution of cumulative patent-count………………………………………………………56
Table 4-9 Extension of FF three-factor model with the number of patent
after dropping outliers…………………………………….............60
Table 4-10 Extension of FF three-factor model with accumulative number of patents after dropping outliers………………………..….…..62
Table 4-11 Results of Wald test for R&D-related premiums………….…..64
Table 4-12 Results of Wald test for patent-related premiums………….....65
Table 4-13 Results of Wald test across R&D and patent-related premiums………………………………………………………..66
Table 4-14 Results of Wald test across R&D and patent-related premiums………………………………………………….….…67
Table 4-15 The lag effect of R&D-related premiums on stock returns..….68
Table 4-16 The lag effect of patent-related premiums on stock returns….69
Table 5-1 Summary of the empirical results………………………..…..….70		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0923530331en_US
dc.subject (關鍵詞) 研究發展zh_TW
dc.subject (關鍵詞) 專利權zh_TW
dc.subject (關鍵詞) 股票報酬zh_TW
dc.subject (關鍵詞) Fama and French三因子模型zh_TW
dc.subject (關鍵詞) Research & developmenten_US
dc.subject (關鍵詞) Patenten_US
dc.subject (關鍵詞) Stock returnen_US
dc.subject (關鍵詞) Fama and French three-factor modelen_US
dc.title (題名) 研究發展與專利權對於股票報酬影響之探討zh_TW
dc.title (題名) The Effect on Stock Returns of R&D and Patentsen_US
dc.type (資料類型) thesisen
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