||The Influence of R&D Expenditure on Market Value
||The Influence of R&D Expenditure on Market Value
||Department of Economics
本研究採用美國1998年至2007年的追蹤資料探討公司研究發展支出（research and development expenditure）與其市場價值之關係。本文透過門檻迴歸模型檢視在不同公司規模下研究發展活動對市場價值的影響是否相同，其實證結果發現不管公司規模如何，研發支出對其市場價值有顯著正向的影響。其中，在大公司的影響成效較小公司明顯。另外，本研究探討研究發展支出對市場價值的影響在產業間是否有差異。實證結果顯示研發支出的影響在部門或產業間的確有顯著差異，研發支出在非高科技部門的影響比高科技部門大，且醫療部門的影響成效較資訊科技部門明顯。
This thesis investigates the relationship between research and development (R&D) expenditure and market value for a panel data of US firms (1998-2007). We consider whether the effect of R&D on market value is dependent on firm size using threshold regression techniques. The first main result is that market value effects of R&D are positive and significant for US firms of all sizes. Furthermore, the valuation effects of R&D are greater for larger as opposed to smaller firms. In addition, this paper explores whether R&D effectiveness in terms of its impact on market values of firms varies across different sectors. Empirical results show that the market valuation of R&D varies substantially across sectors. Furthermore, the valuation effect of R&D in information technology sector is lower than other non high-tech sectors. And the influences of R&D expenditure on market value in health care sector are higher than information technology sector.
2. Literature Review.....11
2.1. Innovation and market value.....13
2.2. Firm size, innovation, and market value.....16
2.3. Industry effect, innovation, and market value.....17
2.4. Market value and other variables.....19
3. Empirical Model.....21
3.1. Market value approach.....21
3.2. Empirical Model (I): The Threshold Model.....26
3.3. Empirical Model (II).....31
3.4. Data .....33
4. Empirical Results.....36
4.1. Descriptive Statistics.....36
4.2. Empirical Results (I).....38
4.3. Empirical Results (II).....45
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