The stock market valuation of research and development expenditures

• 成果类型: Article
• 署名作者: Chan, LKC; Lakonishok, J; Sougiannis, T
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00411
• 发表日期: 2001
• 页码: 2431-2456
• 关键词: investment; RISK; returns

摘要

We examine whether stock prices fully value firms' intangible assets, specifically research and development (R&D). Under current U.S. accounting standards, financial statements do not report intangible assets and R&D spending is expensed. Nonetheless, the average historical stock returns of firms doing R&D matches the returns of firms without R&D. However, the market is apparently too pessimistic about beaten-down R&D-intensive technology stocks' prospects. Companies with high R&D to equity market value (which tend to have poor past returns) earn large excess returns. A similar relation exists between advertising and stock returns. R&D intensity is positively associated with return volatility.