R&D Intensive Firm's Excess Return Are Risk Premium: The Test of Distance to Default.

• Main Authors: Kuo, Chun-Hsien, 郭俊賢
• Other Authors: Dr. Fan, Hung-Shu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/08742828922624090374

碩士 === 輔仁大學 === 會計學系碩士班 === 98 === This study is aimed at examining the relationship between R&D expenditure and excess returns. Following Lev and Sougiannis (1999), this study capitalizes R&D expenditure and uses distance to default to divide the samples into two groups: subsample with short distance to default (i.e. high risk subsample) and subsample with long distance to default (i.e. low risk subsample). This study predicts that the R&D assets of subsample with short distance to default can explain subsequent stock returns better than that of subsample with long distance to default. The empirical findings of this study are as follows: 1. the R&D assets to market value variable can explain subsequent stock return; 2. for R&D intensive firms, the R&D assets to market value variable subsumes the book to market variable to explain subsequent stock return; 3. the R&D assets to market value variable for subsample with short distance to default can explain subsequent stock return better than that for subsample with long distance to default; 4. the R&D assets are significantly negative-associated with distance to default.