دانلود رایگان مقاله انگلیسی سرمایه گذاری در تحقیق و توسعه غیر عادی و بازده سهام - الزویر 2017

abstract

We investigate the relation between abnormal research and development (R&D) investments change and expected stock returns. We provide evidence that firms that abnormally increase their R&D investments (RDI) earn higher returns in comparison to the market portfolio. Specifically, our findings document an economically significant annual positive abnormal RDI returns that ranges from 3.2% to 11.5%. These findings are robust to wellestablished risk factors in the literature and suggest that the abnormal increases in RDI impacts stock returns.

4. Conclusions

This study extends the literature that examines the relations between R&D expenditures and stock returns. Specifically, we scrutinize whether the stocks of firms with positive abnormal changes in R&D investments perform better than the market portfolio. We study a sample of 4561 firms that abnormally change their R&D over our 1975–2015 sample period. We find consistently strong evidence that portfolios of stocks of firms with positive RDI perform better in comparison to the market portfolio. We also find that positive RDI firms provide higher returns than negative RDI firms. This effect is especially higher among smaller, higher priced, higher past returns stock.

We examine profitability of an arbitrage strategy where we long stocks with positive RDI and shorts market portfolios. We document abnormal RDI returns. Specifically, we find economically and statistically significant intercept (an alpha range from 46 to 97 basis points) values in all models. These findings indicate an annual significant positive RDI abnormal returns that ranges from 5.5% to 11.6%. We also show that RDI effect is not driven by size, technological endowments or growth of the firms. As a robustness check, we use alternative measures of RDI and still find significant intercept (alpha) values in all five panels. The alpha in these alternative models range from 27 basis points per month to 90 basis points. Finally, we utilize the Fama-Macbeth approach to calculate abnormal RDI returns and find results similar to regression approach. Overall, our results also provide evidence that investors systematically underreact to positive changes in RDI. Based on our findings we argue that, due to limited investor attention and the difficulty of processing information that is less tangible and more ambiguous, stock prices do not fully and immediately impound the relevant public information about the abnormal R&D changes.