出版品

DAR-HSIN CHEN   Professor, Department of Business Administration, National Taipei University.
CHIN-YU TSAI   Lecturer, Department of International Business, China University of Technology.
Tsung-WeiI CHEN   Master, Graduate Institute of Finance, National Chiao-Tung University.

　　The purpose of thi s paper i s to examine the role of research and development (R&D) in explaining the cross-section of stock returns in the Taiwan market for the period from 1996 to 2005. Economic intuit ion suggests that expected stock return and the risk of return should be posit ively related to R&D. We divide the enti re sample into three subperiods according to the index of the Taiwan stock market. The regression’s result s indicate that average stock return is posit ively related to R&D expenditure in the enti re sample, but the relation is not stable over three subperiods. In the fi rst bubble-forming period (1996.01-2000.03), the average return is negatively related to R&D expenditure. In the second burst-of-bubble period (2000.04-2001.09), the relation i s in fact positive, whi le in the third post -bubble period (2001.10-2005.12), the R&D effect is negative and signi ficant. We also examine the relation of the total ri sk of returns with R&D intensi ty and find that R&D intensity is nearly positively correlated to the total risk of returns.