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題名 創新效率與台灣股票市場報酬
Innovative Efficiency and Taiwan Stock Market Returns
作者 劉毓明
貢獻者 顏錫銘
Simon H. Yen
劉毓明
關鍵詞 創新效率
專利權
Fama-French三因子模型
日期 2013
上傳時間 29-Jul-2014 16:03:31 (UTC+8)
摘要 本研究主要在探討企業之創新效率是否會影響其股票報酬績效表現，探究研發創新體現在專利核准上之經濟效果，除了彌補國內於此議題之實證證據外， 研究結果亦能提供訊息給與國內公司，企業積極追求技術創新並投入專利權開發，對於公司長期發展具有顯著之正向效果，同時提供投資人投資決策之參考。
     本研究以1998年7月至2013年6月之上市公司財務資訊，以及1997年至2011年間台灣核准專利資料建構投資組合，運用Fama-French三因子模型及Carhart四因子模型，加入創新效率因子，建構多因子模型，進行最小平方法(OLS)迴歸分析檢測本研究之假說。實證結果顯示，在控制市場、規模、淨值市價比因子後，創新效率因子為一攸關之風險因子，顯示企業的創新效率愈高，其股票績效表現愈好。在Fama-French三因子模型中納入創新效率因子EMI，可以提升原模型對台灣股票市場之解釋能力，顯見研發質量以及投入專利權開發之積極程度對公司價值有重大之影響。
參考文獻 Arshanapalli, B., T. D. Coggin and J. Doukas. 1998. Multifactor asset pricing analysis of international investment strategies. Journal of Portfolio Management. Vol. 24. No. 4. 10-23.
     Banz, Rolf W. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics Vol. 9. Issue 1. 3-18.
     Black, F. M. C., Jensen, M. C. and M. Scholes. 1972. The capital asset pricing model: some empirical tests. Studies in the Theory of Capital Market. New York: Praeger Publishers Inc. 79-121.
     Carhart, Mark M. 1997. On persistence in mutual fund performance. Journal of Finance .Vol. 52. Issue 1. 57-82.
     Chan, L.K.C., Jegadeesh, N. and Lakonishok, J. 1996. Momentum strategies. Journal of Finance Vol. 51. Issue 5. 1681-1713.
     Chan, L. K. C., J. Lakonishok and T. Sougiannis. 2001. The Stock Market Valuation of Research and Development Expenditures. The Journal of Finance. Vol. 56. Issue 6. 2431-2456
     Chen, N. F., R. Roll and S. A. Ross. 1986. Economic Forces and the Stock Market. The Journal of Business. Vol. 59. No. 3. 383-403.
     Cohen, K. J., Hawawini, G. A., Maier, S. F., Schwartz, R. A. and Whitcomb, D. K. 1980. Implications of Microstructure Theory for Empirical Research on Stock Price Behavior. Journal of Finance. Vol. 35. Issue 2. 249-257.
     De Bondt, W. F. M. and R. H. Thaler. 1985. Does the stock market overreact? Journal of Finance 40. No. 3. 793-805.
      De Bondt, W. F. M. and R. H. Thaler. 1987. Further evidence on investor overreaction and stock market seasonality. Journal of Finance 42. No. 3. 557-581
     Deng, Z., B. Lev and F. Narin. 1999. Science and technology as predictors of stock performance. Financial Analysts Journal. Vol. 55. No. 3. 20-32.
     Drew, Michael. 2003. Beta, Firm Size, Book-to-Market Equity and Stock Returns. Journal of the Asia Pacific Economy. Vol. 8. Issue 3. 354-379.
     Du Ding, Huang Zhao-dan and Liao Bih-shuang. 2009. Why is there no momentum in the Taiwan stock market? Journal of Economics and Business. Vol. 61. Issue 2. 140–152.
     Eberhart, A. C., Maxwell, W. F. and Siddique, A. R. 2004. An Examination of Long-Term Abnormal Stock Returns and Operating Performance Following R&D Increases. Journal of Finance Vol. 59. Issue 2. 623-650.
     Eberhart, A. C., Maxwell, W. F. and Siddique, A. R. 2008. An Reexamination of the tradeoff between the future benefit and riskiness of R&D increases. Journal of Accounting Research Vol. 46. Issue 1. 27-52.
     Fama, E. F., and K. R. French.1992. The cross-section of expected stock return. The Journal of Finance. Vol. 47. Issue. 2. 427-465.
     Fama, E. F., and K. R. French. 1993.Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. Vol. 33. Issue 1. 3-56.
     Fama, E. F., and K. R. French. 1995. Size and book-to-market factors in earnings and returns. The Journal of Finance. Vol. 50. Issue 1. 131-155.
     Fama, E. F., and K. R. French. 1996. Multifactor explanations of asset pricing anomalies. The Journal of Finance. Vol. 51. Issue 1. 55-84.
     Fama, E. F., and K. R. French. 1998. Value versus growth the international evidence. The Jounrnal of Finance. Vol. 53. Issue 6. 1975-1999.
     Fama, E. F., and K. R. French. 2012. Size, value, and momentum in international stock returns. Jounrnal of Financial Economics. Vol. 105. Issue 3. 457-472.
     Fama, E.F. and MacBeth, J.D. 1973. Risk, Return and Equilibrium : Empirical Tests. Journal of Political Economy. Vol. 81. No. 3. 607–636.
     Griliches, Z. 1990. Patent Statistics as Economic Indicators: A Survey. Journal of Economic Literature. Vol. 92. 630-653
     Gu, F. 2005. Innovation, Future Earnings, and Market Efficiency. Journal of Accounting, Auditing and Finance Vol. 20. No. 4. 385-418.
     Hameed, A. and Kusandi, Y. 2002. Momentum strategies：Evidence from Pacific basin stock markets. The Journal of Financial Research. Vol. 25. Issue 3. 383-397.
     Hawawini, G. 1983. Why beta shifts as the return interval changes? Financial Analysts Journal. Vol. 39. No. 3. 73-77
     Hirshleifer, D., Po-Hsuan Hsu and D. Li. 2013. Innovative efficiency and stock returns. Journal of Financial Economics. Vol. 107. Issue 3. 632–654
     Lakonishok, J. and Shapiro, A. C. 1986. Systematic risk, total risk and size as determinants of stock market returns. Journal of Banking and Finance Vol. 10. Issue 1. 115-132.
     Lev, B., B. Sarath and T. Sougiannis. 2005. R&D reporting biases and their consequences. Contemporary Accounting Research Vol. 22. Issue 4. 977-1026.
     Lev, B. and T. Sougiannis. 1996. The capitalization, amortization, and value-relevance of R&D. Journal of Accounting and Economics Vol. 21. Issue 1. 107-138.
     Pandit, S., C. E. Wasley and T. Zach. 2011. The Effect of R&D Inputs and Outputs on the Relation between the Uncertainty of Future Operating Performance and R&D Expenditures. Journal of Accounting, Auditing and Finance Vol. 26. No. 1. 121-144.
     Reinganum, M. R. 1981. Misspecification of capital asset pricing : empirical anomalies based on earnings` yields and market values. Journal of Financial Economics. Vol. 9. Issue 1. 19-46.
     Reilly, F. K. and Wright, D. J. 1988. A comparison of published betas. The Journal of Portfolio Management. Vol. 14. No. 3. 64-69.
     Rosenberg, B., Reid, K., and Lanstein, R. 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management. Vol. 11. No. 3. 9-17.
     Ross, S. A. 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory Vol. 13. Issue 3. 341-360.
     Narasimhan Jegadeesh and Sheridan Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance. 48. No. 1. 365-91.
     中文文獻
     方智強、姚明慶，1998，台灣上市公司的淨值市價比現象，管理學報，第十五卷，第3期，367-391。
     周賓凰、劉怡芬，2000，台灣股市橫斷面報酬率解釋因子：特徵、單因子、或多因子，證券市場發展期刊，第十二卷，1-32。
     洪榮華、雷雅淇，2002，公司規模、股價、益本比、淨值市價比與股票報酬關係之實證研究，管理評論，第二十一卷，第3期，25-48。
     黃一祥、王元章、何加政與許嘉惠，2003，台灣股市系統性風險之估計及橫斷面預測報酬之分析，財務金融學刊，第十一卷，第3期，1-25。
     陳安琳，2002，台灣股票報酬之穩定因素-交叉確認、因素分析與模擬分析，管理學報，第19卷，第三期，519–542
     劉亞秋、黃理哲與劉維琪，1996，國內股市系統風險之探討，證券發展季刊，第八卷，第1期，45-66。
     顧廣平，2005，單因子、三因子或四因子模式？，證券市場發展季刊，第十七卷，第2期，101-146。
描述 碩士
國立政治大學
財務管理研究所
101357003
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101357003
資料類型 thesis
dc.contributor.advisor 顏錫銘zh_TW
dc.contributor.advisor Simon H. Yenen_US
dc.contributor.author (Authors) 劉毓明zh_TW
dc.creator (作者) 劉毓明zh_TW
dc.date (日期) 2013en_US
dc.date.accessioned 29-Jul-2014 16:03:31 (UTC+8)-
dc.date.available 29-Jul-2014 16:03:31 (UTC+8)-
dc.date.issued (上傳時間) 29-Jul-2014 16:03:31 (UTC+8)-
dc.identifier (Other Identifiers) G0101357003en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67861-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 101357003zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 本研究主要在探討企業之創新效率是否會影響其股票報酬績效表現，探究研發創新體現在專利核准上之經濟效果，除了彌補國內於此議題之實證證據外， 研究結果亦能提供訊息給與國內公司，企業積極追求技術創新並投入專利權開發，對於公司長期發展具有顯著之正向效果，同時提供投資人投資決策之參考。
     本研究以1998年7月至2013年6月之上市公司財務資訊，以及1997年至2011年間台灣核准專利資料建構投資組合，運用Fama-French三因子模型及Carhart四因子模型，加入創新效率因子，建構多因子模型，進行最小平方法(OLS)迴歸分析檢測本研究之假說。實證結果顯示，在控制市場、規模、淨值市價比因子後，創新效率因子為一攸關之風險因子，顯示企業的創新效率愈高，其股票績效表現愈好。在Fama-French三因子模型中納入創新效率因子EMI，可以提升原模型對台灣股票市場之解釋能力，顯見研發質量以及投入專利權開發之積極程度對公司價值有重大之影響。		zh_TW
dc.description.tableofcontents 謝辭 I
     中文摘要 II
     Abstract III
     目錄 IV
     圖目錄 V
     表目錄 VI
     第一章 緒論 1
     第一節 研究動機與目的 1
     第二節 研究架構 3
     第二章 文獻探討 5
     第一節 資本資產定價模型 5
     第二節 Fama and French三因子模型 8
     第三節 動能因子 13
     第四節 研發費用、專利權開發與創新效率 15
     第三章 研究方法 19
     第一節 研究假說 19
     第二節 研究理論模型 21
     第三節 變數定義 28
     第四節 研究期間與資料來源 31
     第四章 實證結果與分析 35
     第一節 敘述性資料彙整分析 35
     第二節 迴歸分析 41
     第五章 結論與建議 55
     參考文獻 56		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101357003en_US
dc.subject (關鍵詞) 創新效率zh_TW
dc.subject (關鍵詞) 專利權zh_TW
dc.subject (關鍵詞) Fama-French三因子模型zh_TW
dc.title (題名) 創新效率與台灣股票市場報酬zh_TW
dc.title (題名) Innovative Efficiency and Taiwan Stock Market Returnsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Arshanapalli, B., T. D. Coggin and J. Doukas. 1998. Multifactor asset pricing analysis of international investment strategies. Journal of Portfolio Management. Vol. 24. No. 4. 10-23.
     Banz, Rolf W. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics Vol. 9. Issue 1. 3-18.
     Black, F. M. C., Jensen, M. C. and M. Scholes. 1972. The capital asset pricing model: some empirical tests. Studies in the Theory of Capital Market. New York: Praeger Publishers Inc. 79-121.
     Carhart, Mark M. 1997. On persistence in mutual fund performance. Journal of Finance .Vol. 52. Issue 1. 57-82.
     Chan, L.K.C., Jegadeesh, N. and Lakonishok, J. 1996. Momentum strategies. Journal of Finance Vol. 51. Issue 5. 1681-1713.
     Chan, L. K. C., J. Lakonishok and T. Sougiannis. 2001. The Stock Market Valuation of Research and Development Expenditures. The Journal of Finance. Vol. 56. Issue 6. 2431-2456
     Chen, N. F., R. Roll and S. A. Ross. 1986. Economic Forces and the Stock Market. The Journal of Business. Vol. 59. No. 3. 383-403.
     Cohen, K. J., Hawawini, G. A., Maier, S. F., Schwartz, R. A. and Whitcomb, D. K. 1980. Implications of Microstructure Theory for Empirical Research on Stock Price Behavior. Journal of Finance. Vol. 35. Issue 2. 249-257.
     De Bondt, W. F. M. and R. H. Thaler. 1985. Does the stock market overreact? Journal of Finance 40. No. 3. 793-805.
      De Bondt, W. F. M. and R. H. Thaler. 1987. Further evidence on investor overreaction and stock market seasonality. Journal of Finance 42. No. 3. 557-581
     Deng, Z., B. Lev and F. Narin. 1999. Science and technology as predictors of stock performance. Financial Analysts Journal. Vol. 55. No. 3. 20-32.
     Drew, Michael. 2003. Beta, Firm Size, Book-to-Market Equity and Stock Returns. Journal of the Asia Pacific Economy. Vol. 8. Issue 3. 354-379.
     Du Ding, Huang Zhao-dan and Liao Bih-shuang. 2009. Why is there no momentum in the Taiwan stock market? Journal of Economics and Business. Vol. 61. Issue 2. 140–152.
     Eberhart, A. C., Maxwell, W. F. and Siddique, A. R. 2004. An Examination of Long-Term Abnormal Stock Returns and Operating Performance Following R&D Increases. Journal of Finance Vol. 59. Issue 2. 623-650.
     Eberhart, A. C., Maxwell, W. F. and Siddique, A. R. 2008. An Reexamination of the tradeoff between the future benefit and riskiness of R&D increases. Journal of Accounting Research Vol. 46. Issue 1. 27-52.
     Fama, E. F., and K. R. French.1992. The cross-section of expected stock return. The Journal of Finance. Vol. 47. Issue. 2. 427-465.
     Fama, E. F., and K. R. French. 1993.Common risk factors in the returns on stocks and bonds. Journal of Financial Economics. Vol. 33. Issue 1. 3-56.
     Fama, E. F., and K. R. French. 1995. Size and book-to-market factors in earnings and returns. The Journal of Finance. Vol. 50. Issue 1. 131-155.
     Fama, E. F., and K. R. French. 1996. Multifactor explanations of asset pricing anomalies. The Journal of Finance. Vol. 51. Issue 1. 55-84.
     Fama, E. F., and K. R. French. 1998. Value versus growth the international evidence. The Jounrnal of Finance. Vol. 53. Issue 6. 1975-1999.
     Fama, E. F., and K. R. French. 2012. Size, value, and momentum in international stock returns. Jounrnal of Financial Economics. Vol. 105. Issue 3. 457-472.
     Fama, E.F. and MacBeth, J.D. 1973. Risk, Return and Equilibrium : Empirical Tests. Journal of Political Economy. Vol. 81. No. 3. 607–636.
     Griliches, Z. 1990. Patent Statistics as Economic Indicators: A Survey. Journal of Economic Literature. Vol. 92. 630-653
     Gu, F. 2005. Innovation, Future Earnings, and Market Efficiency. Journal of Accounting, Auditing and Finance Vol. 20. No. 4. 385-418.
     Hameed, A. and Kusandi, Y. 2002. Momentum strategies：Evidence from Pacific basin stock markets. The Journal of Financial Research. Vol. 25. Issue 3. 383-397.
     Hawawini, G. 1983. Why beta shifts as the return interval changes? Financial Analysts Journal. Vol. 39. No. 3. 73-77
     Hirshleifer, D., Po-Hsuan Hsu and D. Li. 2013. Innovative efficiency and stock returns. Journal of Financial Economics. Vol. 107. Issue 3. 632–654
     Lakonishok, J. and Shapiro, A. C. 1986. Systematic risk, total risk and size as determinants of stock market returns. Journal of Banking and Finance Vol. 10. Issue 1. 115-132.
     Lev, B., B. Sarath and T. Sougiannis. 2005. R&D reporting biases and their consequences. Contemporary Accounting Research Vol. 22. Issue 4. 977-1026.
     Lev, B. and T. Sougiannis. 1996. The capitalization, amortization, and value-relevance of R&D. Journal of Accounting and Economics Vol. 21. Issue 1. 107-138.
     Pandit, S., C. E. Wasley and T. Zach. 2011. The Effect of R&D Inputs and Outputs on the Relation between the Uncertainty of Future Operating Performance and R&D Expenditures. Journal of Accounting, Auditing and Finance Vol. 26. No. 1. 121-144.
     Reinganum, M. R. 1981. Misspecification of capital asset pricing : empirical anomalies based on earnings` yields and market values. Journal of Financial Economics. Vol. 9. Issue 1. 19-46.
     Reilly, F. K. and Wright, D. J. 1988. A comparison of published betas. The Journal of Portfolio Management. Vol. 14. No. 3. 64-69.
     Rosenberg, B., Reid, K., and Lanstein, R. 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management. Vol. 11. No. 3. 9-17.
     Ross, S. A. 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory Vol. 13. Issue 3. 341-360.
     Narasimhan Jegadeesh and Sheridan Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance. 48. No. 1. 365-91.
     中文文獻
     方智強、姚明慶，1998，台灣上市公司的淨值市價比現象，管理學報，第十五卷，第3期，367-391。
     周賓凰、劉怡芬，2000，台灣股市橫斷面報酬率解釋因子：特徵、單因子、或多因子，證券市場發展期刊，第十二卷，1-32。
     洪榮華、雷雅淇，2002，公司規模、股價、益本比、淨值市價比與股票報酬關係之實證研究，管理評論，第二十一卷，第3期，25-48。
     黃一祥、王元章、何加政與許嘉惠，2003，台灣股市系統性風險之估計及橫斷面預測報酬之分析，財務金融學刊，第十一卷，第3期，1-25。
     陳安琳，2002，台灣股票報酬之穩定因素-交叉確認、因素分析與模擬分析，管理學報，第19卷，第三期，519–542
     劉亞秋、黃理哲與劉維琪，1996，國內股市系統風險之探討，證券發展季刊，第八卷，第1期，45-66。
     顧廣平，2005，單因子、三因子或四因子模式？，證券市場發展季刊，第十七卷，第2期，101-146。		zh_TW