| Summary: | 碩士 === 中原大學 === 國際貿易研究所 === 96 === In the knowledge economics, R&D investment is the most important condition of keeping
growth and raising competitive ability for a firm and has been viewed as an intangible asset.
The researches relating R&D investment also increase persistently. Besides, firms’ financial
strategy and investment opportunity vary with its life-cycle stage.
This paper examines the effect of R&D investment on firms’ Tobin’s q, stock return and
volatilities of stock return across different stages of life cycle. The results can provide
investors better understand the impact of R&D investment on returns and risks at different life
cycle stages. Besides, this paper further utilizes quantile regress to investigate the effects of
R&D investment across firms’ different quantile. This work can make our results more robust
and help us know the full view of these relations more precisely about whole distribution.
Our sample includes all firms listed in the Taiwan Stock Exchange during 1991 to 2005.
The results show that R&D investments significantly increase firms’ market value and raise
stock returns and stock return volatilities. Besides, when firms belong to start-up stage, the
marginal effects produced by R&D investments on Tobin’s q, stock returns and volatilities are
the highest. However, when firms belong to decline stage, the marginal effects described
above are not significant and even brings negative effects on firms’ stock returns. The results
under using quantile regress indicate that the marginal effect of R&D investment increases
with the increasing quantiles. Besides, the marginal effects of R&D investment on firms’
Tobin’s q and stock return increases with quantile level when firms belong to start-up and
growth life cycle stage but on firms’ stock return volatility increases with quantile level only
when firms belong to growth stage. However, the influences of quantile level on the marginal
effect of R&D investment on firms’ Tobin’s q, stock return and stock return volatility are
small when firms in mature and declining life cycle stages.
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