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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/67861
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67861


    Title: 創新效率與台灣股票市場報酬
    Innovative Efficiency and Taiwan Stock Market Returns
    Authors: 劉毓明
    Contributors: 顏錫銘
    Simon H. Yen
    劉毓明
    Keywords: 創新效率
    專利權
    Fama-French三因子模型
    Date: 2013
    Issue Date: 2014-07-29 16:03:31 (UTC+8)
    Abstract: 本研究主要在探討企業之創新效率是否會影響其股票報酬績效表現,探究研發創新體現在專利核准上之經濟效果,除了彌補國內於此議題之實證證據外, 研究結果亦能提供訊息給與國內公司,企業積極追求技術創新並投入專利權開發,對於公司長期發展具有顯著之正向效果,同時提供投資人投資決策之參考。
    本研究以1998年7月至2013年6月之上市公司財務資訊,以及1997年至2011年間台灣核准專利資料建構投資組合,運用Fama-French三因子模型及Carhart四因子模型,加入創新效率因子,建構多因子模型,進行最小平方法(OLS)迴歸分析檢測本研究之假說。實證結果顯示,在控制市場、規模、淨值市價比因子後,創新效率因子為一攸關之風險因子,顯示企業的創新效率愈高,其股票績效表現愈好。在Fama-French三因子模型中納入創新效率因子EMI,可以提升原模型對台灣股票市場之解釋能力,顯見研發質量以及投入專利權開發之積極程度對公司價值有重大之影響。
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    Description: 碩士
    國立政治大學
    財務管理研究所
    101357003
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101357003
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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