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題名：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
書刊名：會計評論
作者：曹壽民 引用關係／紀信義 引用關係／劉正良
作者(外文)：Tsao, Shou-Min／Chi, Hsin-Yi／Liu, Cheng-Liang
出版日期：2007
卷期：45
頁次：頁27-55
主題關鍵詞：創新活動；研發效率；內部人交易；市場效率；Innovative activities；R&D efficiency；Insider trading；Market efficiency
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(15) 博士論文(2) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:14
  • 共同引用共同引用:175
  • 點閱點閱:37
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.
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會議論文
1.李淑華、簡雪芳、蔡彥卿(2005)。臺灣股市對權益法長投之投資收益是否反應不足？。當前會計理論與實務研討會論。銘傳大學會計學系。  延伸查詢new window
2.曹壽民、黃仲賢、劉正良(2004)。應計項目與非財務指標異常現象之探討。2004第十三屆會計理論與實務研討會。國立政治大學會計學系。  延伸查詢new window
研究報告
1.Su, Y. S.、Chen, R. C. Y.、Chang, C. C.(2005)。Abnormal Stock Return, and Share Repurchases following Intangible Asset increases。National Kaohsiung First University of Science and Technology。  new window
學位論文
1.羅文振(2006)。財稅差異重大公司盈餘及其組成因子持續性 與評價意涵之研究(碩士論文)。國立成功大學。  延伸查詢new window
2.李銘家(2006)。應計數可靠性與盈餘持續性及市場反應(碩士論文)。輔仁大學。  延伸查詢new window
3.李淑華(2003)。產業價值鏈知識密度與企業績效(博士論文)。國立臺灣大學，臺北。new window  延伸查詢new window
4.張懿心(2001)。現金流量與應計項目增額資訊內涵之研究(碩士論文)。國立成功大學。  延伸查詢new window
5.王勇勝(2003)。內部關係人交易與盈餘品質之關聯性暨市場反應效率性研究(碩士論文)。國立臺灣大學。  延伸查詢new window
6.陳雅貞(1999)。臺灣股票市場股價是否完全反應應計與現金流量項目對未來盈餘資訊之研究(碩士論文)。中原大學。  延伸查詢new window
7.馮志卿(1999)。營運活動現金流量、應計項目、業外損益之盈餘持續性及市場效率研究(碩士論文)。國立臺灣大學。  延伸查詢new window
8.廖福群(2006)。臺灣上市公司資產成長對次年度盈餘之影響(碩士論文)。國立臺灣大學。  延伸查詢new window
9.潘麗芳(2000)。會計盈餘因素增額資訊內涵及評價之研究(碩士論文)。國立中正大學。  延伸查詢new window
10.謝佳珍(2006)。研發支出對公司績效反應之效率性研究─以美國生物科技產業為例(碩士論文)。元智大學。  延伸查詢new window
圖書
1.Mishkin, F.(1983)。A Rational Expectations Approach to Macroeconomics, Testing Policy Effectiveness and Efficient Market Model。A Rational Expectations Approach to Macroeconomics, Testing Policy Effectiveness and Efficient Market Model。Chicago, IL：The University of Chicago Press.。  new window
2.Fluck, Z.、Malkiel, B. G.、Quant, R. E.(1993)。The predictability of stock returns and the efficient market hypothesis。Financial Research Center, Princeton University。  new window
3.Tirole, Jean(1988)。The theory of industrial organization。MIT Press。  new window
4.Porter, Michael E.(1990)。The Competitive Advantage of Nations。New York：Free Press。  new window
5.Edvinsson, Leif、Malone, Michael S.(1997)。Intellectual capital: realizing your company's true value by finding its hidden brainpower。New York, NY：HarperCollins Publishers Inc.。  new window
其他
1.Seethamraju, C.(2003)。The value-relevance of trademarks。  new window
圖書論文
1.Ben-Zion, U.(1984)。The R&D Investment Decision and Its Relationship to the Firm's Market Value: Some Preliminary Results。R&D, Patents and Productivity。Chicago, IL：University of Chicago Press。  new window
 
 
 
 
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