Corporate R&D Expenditures and Profitability of Momentum Strategies: Evidence from Taiwan

[[abstract]]近年來隨著資訊經濟的發展，企業界的無形資產如研究發展的投入愈來愈為重要，本計畫探討企業研究發展投入與動能效應間的關聯。我們延續過去相關研究，先以台灣市場資料檢視投資人運用動能投資策略的情況，再考量公司的規模及帳面對市值比等因素，然後進一步地觀察企業研發投入是否會強化動能投資的獲利性。本計畫的研究期間介於民國75 年6 月至91 年6 月間，樣本為台灣證券交易所裡掛牌的上市公司。研究結果顯示，當考量研發投入與元月效應後，台灣股市於元月份具有顯著反向修正的現象，但在其他的月份中，動能持續現象則相當的明顯；此外，在高研發密度群的股票中，其動能持續現象尤為顯著。[[abstract]]In modern information-type economies, firms’ assets are less tangible than before. The rise and the importance of technology-oriented companies raise the question whether their stock values reflect the large intangible assets associated with R&D spending. In this regard, this project plans to extend previous research and to investigate whether the momentum effect is related to firm’s expenditures on R&D. Factors such as firm size and book-to-market ratio are also considered. The samples are the listed companies of the Taiwan Stock Exchange and the investigation periods are between June 1986 and June 2002. A contrarian’s movement is observed in January, however, momentum phenomenon is significant for the rest of months. The momentum effect is especially strong for companies with high R&D expenditures