Companies spend trillions of dollars on mergers and acquisitions (M&A) every year, and tens of thousands of new M&A deals are announced every year. However, despite the huge costs, only 10% to 30% of the M&As announced, get finalized (Christensen et al., 2011).There is extensive research conducted on why M&As fail, and their implications for the companies involved in the transaction. However, these large deals do not only impact the firms directly involved in the deal.  Microsoft, one of the world’s most influential companies, made on the 18th of January 2022 an acquisition announcement regarding its intent to acquire Activation Blizzard, one of the world’s largest game studios. The announcement made headlines all over the world and resulted in protests from competitors of the two companies. One of these competitors, Sony, experienced a 13% drop in stock price due to the acquisition announcement.  This thesis investigates the effect of acquisition announcements on the stock return of competitors to the target company. The study is examining the competitors stock return during the month leading up to the announcement, as well as the stock return during the month following the announcement. The authors have taken inspiration from a previous study “Acquisitions: A curse or blessing for direct competitors? The impact of target ownership structure” conducted by Mataigne et al. (2021).  By reviewing over 700 market reactions to acquisition announcements over a 10-year period, the authors were able to statistically test the differences in mean stock return. The authors were able to conclude that acquisition announcements have a negative impact on the stock return of competitors, and thereby answer the proposed research question: “What is the effect of acquisitions announcements on the stock returns of target company’s competitors in Sweden?”. Competitors to the target firm of an acquisition will experience the most significant change in their stock returns in the time period close to the announcement, after which the reaction will stabilize. The empirical findings of the study contribute to the field of knowledge using Behavioral Finance, the Efficient Market Hypothesis, the Capital Asset Pricing Model, the Stakeholder Theory, the Mitchell Model, and various market valuation methods.  Evidently, theories as part of the Behavioral Finance scope, such as the Efficient Market Hypothesis, provide support to the findings following the acquisition announcement. Theories such as the Stakeholder Theory and the Mitchell Model have helped identify competitors' stakeholder role to show how various events and organizations affect them as stakeholders in the market.  This study, which utilizes over 60.000 datapoints from daily price data for its analysis, takes a deductive approach within the positivist paradigm framework. The data is statistically tested using paired t-tests.

This thesis investigates the complex dynamics of foreign exchange (FX) risk affecting Swedish multinational corporations and their financial performance, with a focus on the impact of company size and periods of economic crisis. Amidst global economic interdependencies, these entities encounter substantial FX risks, primarily due to the volatility of the Swedish Krona (SEK) against major currencies. Utilizing a comprehensive dataset spanning from 2004 to 2023, this study employs an empirical approach grounded in the International Capital Asset Pricing Model (ICAPM) and Purchasing Power Parity (PPP) to analyze the correlation between currency fluctuations and stock valuations. The analysis reveals that both company size and economic crises significantly modulate the effects of FX risks, with larger companies often better positioned to manage these risks through sophisticated hedging strategies. Smaller firms, conversely, show greater sensitivity to economic disruptions, particularly during crises which heighten the volatility of FX impacts. The findings indicate that FX risks significantly influence the financial outcomes of these firms, with both direct impacts on stock returns and indirect effects through operational strategies. The thesis underscores the importance of robust risk management strategies and the potential for policy adjustments to mitigate adverse effects from currency volatility. The insights derived from this research aims to contribute to a deeper understanding of the financial economics of foreign exchange, providing implications for investors and multinational corporations operating in global markets.

This dissertation consists of three essays. The first essay studies the impact of indexing on stock price efficiency. Indexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this paper, we focus on one negative externality of indexing: the effect on efficiency of stock prices. Based on a sample of large and liquid U.S. stocks, we find that greater indexing leads to less efficient stock prices, as indicated by stronger post-earnings-announcement drift, greater deviations of stock prices from the random walk and greater return predictability from lagged order imbalances. We conjecture that reduced incentives for information acquisition and arbitrage induced by indexing are probably the main cause of the degradation in price efficiency, but we find no evidence supporting a direct impact from passive trading or any effect through liquidity. The second essay investigates the effect of price inefficiency on idiosyncratic risk and stock returns. I finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this hypothesis, this paper then finds a positive relation between price inefficiency and future stock returns. This return premium of price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently different from the return bias related to Jensen's inequality. This paper thus provides new insights about the determinants of expected stock returns, and new supporting evidence that idiosyncratic risk is priced. The third essay examines whether the upward return bias generated by Jensen's inequality could lead to better performance of equally-weighted (EW) indexes than value-weighted (VW) index when stock prices are not fully efficient. We find that, for a wide range of U.S. stock indexes, EW indexes deliver better four-factor adjusted returns than VW ones do even after deducting transaction costs. Consistent with our hypothesis that the outperformance of EW indexes comes from mispricing, we find that this outperformance concentrates in stocks with greater mispricing, as measured by deviation of stock prices from random walk. Findings in this essay not only imply a potentially winning investment strategy, but also provide new insight into a long-term debate on causes of the outperformance of the EW indexes. / Ph. D.

Abstract In this paper, we examine the relation among different information asymmetry measures in Taiwan Stock Exchange and exploit the ability of the microstructure measures to measure asymmetric information. We also investigate the role of information asymmetry measures in affecting stock returns. With a random sample of 180 firms, we find that the market microstructure measure is significantly correlated with most of the corporate finance measures that should shed lights on the level of information asymmetry in advance. We also find that the analysts’ forecast measures have no relation with the microstructure measure. One main result is that the adverse selection risk does affect the stock returns. For the whole sample period, the adverse selection component has a significant impact on the stock returns and dominates all other variables except for the number of analysts following. Other significant measures include the volatility, firm size, leverage, and market to book ratio of equity. Although these information asymmetry measures act as competent determinants in the whole- period regression, they do not have consistent performance across quarters. The inconsistent result suggests that these measures may have diverse performance with regard to different periods.

Under de senaste årtiondena har ansvarfullt företagande (CSR) varit ett ämne som erhållit allt mer fokus inom forskning och således även för företag och samhället i stort. CSR är ett ämne som är högst aktuellt då globalisering är ett faktum och medför att de företag som är verksamma idag bär ett globalt ansvar, då dessa är stora aktörer i en värld som kantas av ekonomiska kriser, miljöproblem och humanitär försummelse. Det ökade intresset från samhället för CSR har medfört att företagen idag ser detta som en strategisk investering och företags satsning i hållbarhetsaktiviteter har kommit att erhålla en allt större del av företags verksamhet. Frågan kvarstår om detta endast är en investering som ökar företagets etik och moral eller om det faktiskt är lönsamt, och även om lönsamma företag ökar sin investering i hållbarhetsarbete. En stor mängd forskning har utförts för att undersöka förhållandena mellan hållbarhet och lönsamhet, dock utan att konsensus i forskningsgrenen har uppkommit.       Grundat på den nuvarande forskningssituationen syftade denna studie till att undersöka vilken effekt ansvarsfullt företagande har på olika lönsamhetsmått, samt vilken effekt de olika lönsamhetsmåtten har på ansvarsfullt företagande, i företag registrerade på large cap och mid cap på Nasdaq OMX Stockholm. För att besvara studiens problemformulering och uppfylla studiens syfte har en kvantitativ forskningsansats brukats och ett urval av företag listade på large och mid cap Nasdaq OMX Stockholm har undersökts. För att sätta ett mått på ansvarsfullt företagande (CSP) har en innehållsanalys av företags årsrapporter och hållbarhetsrapporter genomförts, lönsamhetsmåtten (CFP) har utgått från redovisningsbaserade mått (ROE och ROA) samt ett marknadsbaserat mått (total avkastning). Vidare undersöks även relationen mellan variablerna, CSP och CFP, med en tidsaspekt och kontrollvariablerna storlek, risk, FoU och industritillhörighet har brukats. De teorier som har använts för att förklara CFP:s effekt på CSP är slappa resurser och direktörsopportunism, och effekten CSP har på CFP har teorierna intressentteorin, resursbaserad synvinkel och kompromissteorin använts.  Det resultat som framkommit genom de multipla regressionerna som testat studiens hypoteser visar att ROE:s effekt på CSP är positiv, medan både ROA:s och avkastningens effekt på CSP är neutral. Slutsatsen blir således delad då lönsamhetsmåttet ROE visar att företag som har en högre lönsamhet kommer investera mer i hållbarhet, denna effekt knyts samman med teorin om slappa resurser. Å andra sidan visar både ROA och avkastning på en neutral effekt på CSP vilket ej kan knytas till varken slappa resurser eller direktöropportunism. Vidare när istället CSP:s effekt på ROE, ROA och avkastning undersökts visar samtliga på en neutral påverkan. Den slutsats som kan dras från detta resultat är att hållbarhetsarbete ej empiriskt kan säkerställa en högre eller lägre lönsamhet, och varken intressentteorin, resursbaserad synvinkel eller kompromissteorin kan förklara resultatet. Med icke-konklusiva resultat föreslår författarna för vidare forskning inom området där mer forskning i den svenska kontexten är nödvändig.

Segundo a teoria da firma, uma empresa é um nexo de relações contratuais entre os seus diversos participantes. Nessas relações contratuais, que não são perfeitas, surgem os problemas de agência, decorridos da assimetria informacional e dos conflitos de interesses entre o contratado e o contratante, no caso, agente e principal. Neste caso, quando se tem a intenção de alinhar os interesses entre eles, aparece a governança corporativa, atuando como um meio de minimizar os conflitos e diferenças existentes e corrigir as falhas presentes no processo de comunicação e informação das firmas. No Brasil, diante da fraca proteção legal aos acionistas minoritários, da alta concentração de propriedade nas empresas e da separação dos acionistas entre ordinários e preferenciais, algumas medidas institucionais e governamentais têm sido tomadas ao longo dos anos com o objetivo de contribuir com a evolução das práticas de governança corporativa no país. Uma dessas iniciativas foi a criação em 2000 do segmento Novo Mercado pela Bovespa, composto por regras e exigências crescentes em relação às boas práticas de governança. Nesse sentido, é coerente pensar que a política de dividendos, antes influenciada pela necessidade de atuar também como instrumento de redução de conflitos entre os acionistas, passou a ser decidida a partir de um foco preponderantemente gerencial pelas companhias deste segmento, ou seja, tomada do ponto de vista financeiro de maximização da riqueza dos acionistas. Para testar esta suposição, adotou-se o modelo conceitual da Teoria Residual dos Dividendos, estabelecidos pioneiramente por Modigliani e Miller (1961) e revisitado por Jensen (1986) na Teoria Free Cash Flow. Assim, conduziu-se um levantamento do Fluxo de Caixa Livre do Acionista (FCLA) para todas as companhias listadas no Novo Mercado da BM&FBovespa desde a sua criação até o ano de 2011. O objetivo foi investigar o perfil da política de dividendos dessas empresas, a partir da avaliação de como elas administram o FCLA. Além disso, foi testado se as decisões sobre a destinação do saldo de FCLA impactaram na rentabilidade do acionista, expressa pela Taxa de Retorno da Ação (TRA). Como proposta secundária, foram pesquisados também os fluxos de reinvestimento dos lucros destas companhias, buscando verificar se os acionistas são recompensados por maiores ganhos de capital em contrapartida pelo não recebimento de dividendos e, também, onde são alocados os lucros reinvestidos. Como resultado, constatou-se que grande parte das companhias apresentaram elevados níveis de sobreinvestimento no período, provocado pela retenção do FCLA, e que este problema pode ter sido a causa de uma Taxa de Retorno da Ação menor em alguns setores. Adicionalmente, foi observado que as empresas que mais retiveram lucro, ao longo do tempo, foram também as que proporcionaram os maiores retornos de ganhos de capital aos seus acionistas. Por fim, detectou-se que os lucros retidos pelas companhias foram reaplicados, em sua grande maioria, em investimentos relacionados à expansão ou manutenção de suas capacidades produtivas (capital fixo), embora a maior parcela deles acabasse não sendo identificada em nenhum dos ativos expressos pelo balanço patrimonial contábil. / According to the theory of the firm, the firm is a nexus of contractual relationships between its various participants. Such contractual relations, which are not perfect, agency problems arise, elapsed the information asymmetry and conflicts of interest between the engaged and the contractor, where, agent and principal. In this case, when it is intended to align the interests between them, appears to corporate governance, acting as a means to minimize conflicts and differences existing and correct the faults present in the process of communication and information firms. In Brazil, due to the weak legal protection for minority shareholders, the high concentration of ownership in firms and the separation between common and preferred shareholders, some institutional and government measures have been taken over the years in order to contribute to the evolution of corporate governance practices in the country. One such initiative was the creation in 2000 of the Novo Mercado segment by the Bovespa, composed of rules and increasing requirements in relation to good governance practices. Therefore, it is coherent to think that the dividend policy before influenced by the need to act as an instrument for reducing conflicts between shareholders, has to be decided from a managerial focus by companies in this segment, that is, the financial point of view of maximizing shareholder wealth. To test this assumption, we adopted the conceptual model of the Residual Theory of Dividends, established pioneered by Modigliani and Miller (1961) and revisited by Jensen (1986) in the Free Cash Flow Theory. Thus, we conducted a survey of Free Cash Flow to Equity (FCFE) for all companies listed on the Novo Mercado of the BM&FBovespa since its inception until the year 2011. The aim was to investigate the profile of the dividend policy of these companies, based on the evaluation of how they manage the FCFE. Furthermore, was tested whether if decisions on the allocation of the balance of FCFE impacted the profitability of the shareholder, expressed by the Rate of Stock Return (RSR). As proposed secondary, were surveyed the flows of reinvestment of profits these companies, seeking first check whether the shareholders are rewarded by higher capital gains in return for non-receipt of dividends, and also where they are allocated reinvested earnings. As a result, it was found that most companies had high levels of overinvestment during the period, caused by retention of FCFE and that this problem may have been the cause of a Rate of Stock Return lower in some sectors. Additionally, it was observed that companies that retained earnings, over time, were also the ones that provided the highest returns of capital gains to its shareholders. Finally, it was found that profits retained by the companies were reapplied mostly in investments related to the expansion or maintenance of their productive capacity (capital assets), while the largest portion of them end up not being identified in any of the assets of the balance sheet accounting.

2015~2016年間台灣金融業發生許多重大新聞事件，隨著資訊科技普及，網路搜尋已成為大眾獲取資訊的重要管道。本文利用Google Trends關鍵字搜尋指數作為網路關注度的代理變數，進行與台灣上市金控公司股價報酬相關之研究。 本文使用三種研究方法進行探討，首先利用圖表式比對法，初步觀察異常搜尋指數與異常報酬出現時間之關聯性，結果並未發現搜尋指數與台灣上市金控股價報酬間有明顯且一致的關係；接著套用向量自我迴歸模型進行分析，然而14家台灣上市金控公司中，僅從兆豐金數據可發現前一期搜尋指數的異常變動量增加1%將使下一期異常報酬率下降約2.67%；最後參考相關文獻使用Fama Macbeth兩階段迴歸模型，結果發現平均而言搜尋指數的異常變動量每上升一個標準差會顯著影響兩週後股價的異常報酬率下降約0.17%，SVI對於股價報酬影響為負向符合本文研究動機與背景，且有相關文獻指出投資人對於壞消息的反應較慢，因此使股價報酬有延後反應的現象，但無法解釋兩週的反應時間，因此對於這樣的研究結果持保留的態度。 總結三種研究方法所得結果，本文認為網路關注度對於目前台灣上市金控公司股價的影響仍然有限。 / It’s unquiet for Taiwanese Financial industry between 2015 and 2016. There has been a lot of major news. With the popularity of information technology, Internet search has become an important channel for public access to information. Therefore, we use Search Volume Index (SVI) as a proxy for public online attention and conducts research related to the stock returns of listed financial holding companies in Taiwan. In this paper, three kinds of research methods are used. The first way is chart comparison method for preliminary data analysis. The results couldn’t show a clear and consistent relationship between SVI and stock returns. The second method is vector self-regression model. However, only Mega financial holding company’s result indicates abnormal search volume index(ASVI) increase 1% will decrease next week abnormal return by 2.67%. At last, we use Fama Macbeth two-stage regression model and find that on average 1 standard deviation increased in ASVI will decrease abnormal return by 0.17% after two weeks. The negative impact of SVI on the stock returns of financial holding companies is in line with the research motivation and background, and some relevant literatures prove that investors’ response to the bad news is slow, which leads to the delayed response of stock returns. However, the two weeks of reaction time for stock returns is unknown. In conclusion, this paper finds out that the impact of public online attention on share price of listed financial holding companies in Taiwan is still limited currently.

Bakgrund: Åren 86-97 kännetecknas som en period med flera stora reformer och en svensk konjunktur som nådde sin botten med tre år i följd av negativ BNP-tillväxt. Påtagligt var även reaktionen från Stockholmsbörsen som i samband med lågkonjunkturen upplevde en kraftig nedgång. Vad drev då denna avkastningsutveckling, vinsterna eller värderingarna av dessa? Hur såg sambandet ut mellan konjunktur, bolagsvinster, vinstvärderingar och börsutveckling för perioden? Syfte: Syftet med denna uppsats, på uppdrag av Melker Schörling AB, är att studera avkastningsutveckling, bolagsvinster och P/E-multiplar över en konjunkturcykel för att analysera till vilken grad multipelexpansion/kontraktion kontra vinsttillväxt drivit avkastningen för olika branscher på Stockholmsbörsen. I ett andra skede utreds huruvida prognoser för P/E-tal och branschvinster på Stockholmsbörsen korrelerat med konjunkturen samt även hur EBITDA- och vinstmarginaler inverkat på aktievärderingar under tidsperioden. Utifrån studiens resultat kommer eventuella lärdomar kopplas till dagens konjunkturella situation. Genomförande: Insamlat datamaterial i form av siffror och nyckeltal utgår från Affärsvärldens tidsskrifter och årsböcker med början 1986 och slut 1997. Utifrån dessa har, för studien, relevanta beräkningar dessutom gjorts. Resultat: Studien av Stockholmsbörsen 86-97, där handelsbranschen genomled konjunkturnedgången bäst, visar inte på att konjunkturen spelar roll för avkastningsutvecklingen. Vinstprognoserna drev avkastningen under lågkonjunkturen medan vinstvärderingarna dämpade nedgången. Genomgående ökade vinstvärderingarna under lågkonjunkturen till följd av att vinstprognoserna föll mer än kursen. Studien visar på att dessa ökade vinstvärderingar innehöll överskattade vinstförväntningar. Innan börsnedgången befann sig P/E-talen på relativt låga nivåer och när utväxlingen i samband med lågkonjunkturens slut skedde var P/E-talen höga, vilket ifrågasätter huruvida P/E-talet egentligen är representativt under en lågkonjunktur samt dess förmåga att indikera på risk. Prognostiserat P/E-tal korrelerar väl med faktiskt P/E-tal men det faktiska fluktuerar i större grad. Marginalerna, som korrelerar negativt med vinstvärderingarna, uppvisar en laggningseffekt gentemot omsättningen. / Background: The years 86-97 are characterized as a period with many big reformations when the Swedish economy reached its bottom with three years in a row with negative GDP. The reaction from the Swedish stock market was substantial and Stockholmsbörsen went through a heavy bearish period. What was it that drove this stock return, the expected earnings or the valuation of them? What was the connection between the business cycle, earnings, valuations and stock return for this particular period? Aim: The aim of the thesis, on behalf of Melker Schörling AB, is to study stock return, company earnings and price-earnings ratios during a business cycle in order to analyse to what extent multiple expansion/contraction versus earnings growth have driven stock return for the different branches on Stockholmsbörsen. In a second stage we observe how estimates of branches’ price-earnings ratios and earnings correlate with the business cycle and what impact EBITDA and pre-tax profit margin have on valuation during the period. Based on the result of the thesis, contingent knowledge will be related to today’s economic situation. Completion: The data, consisting of figures and ratios, is collected from magazines and yearbooks of Affärsvärlden starting 1986 and ending 1997. With the help of these, relevant calculations have been made. Result: This study of Stockholmsbörsen during the years 86-97, where the consumer-goods index had the best performance, shows that the business cycle has no impact on the stock return. The earnings estimates drove the stock return during the economic slump of 91-93 while the valuations tempered the fall. Through the economic slump the valuations became higher due to the fact that the earnings estimates fell more than the stock return. The study also shows that the increased valuations consisted of overestimated earnings estimates. Before the stock market fell the price-earnings ratios were at relatively low levels and when bull period begun in the end of the economic slump the ratios were high. This fact questions whether the price-earnings ratio is representative during an economic slump and if the ratio indicates risk accurately. Forward PE correlates positively with current PE, but the current PE is more volatile. Margins, which correlate negatively with valuations, indicate a lagging effect towards sales growth.

<p>Bakgrund: Åren 86-97 kännetecknas som en period med flera stora reformer och en svensk konjunktur som nådde sin botten med tre år i följd av negativ BNP-tillväxt. Påtagligt var även reaktionen från Stockholmsbörsen som i samband med lågkonjunkturen upplevde en kraftig nedgång. Vad drev då denna avkastningsutveckling, vinsterna eller värderingarna av dessa? Hur såg sambandet ut mellan konjunktur, bolagsvinster, vinstvärderingar och börsutveckling för perioden?</p><p>Syfte: Syftet med denna uppsats, på uppdrag av Melker Schörling AB, är att studera avkastningsutveckling, bolagsvinster och P/E-multiplar över en konjunkturcykel för att analysera till vilken grad multipelexpansion/kontraktion kontra vinsttillväxt drivit avkastningen för olika branscher på Stockholmsbörsen.</p><p>I ett andra skede utreds huruvida prognoser för P/E-tal och branschvinster på Stockholmsbörsen korrelerat med konjunkturen samt även hur EBITDA- och vinstmarginaler inverkat på aktievärderingar under tidsperioden. Utifrån studiens resultat kommer eventuella lärdomar kopplas till dagens konjunkturella situation.</p><p>Genomförande: Insamlat datamaterial i form av siffror och nyckeltal utgår från Affärsvärldens tidsskrifter och årsböcker med början 1986 och slut 1997. Utifrån dessa har, för studien, relevanta beräkningar dessutom gjorts.</p><p>Resultat: Studien av Stockholmsbörsen 86-97, där handelsbranschen genomled konjunkturnedgången bäst, visar inte på att konjunkturen spelar roll för avkastningsutvecklingen. Vinstprognoserna drev avkastningen under lågkonjunkturen medan vinstvärderingarna dämpade nedgången. Genomgående ökade vinstvärderingarna under lågkonjunkturen till följd av att vinstprognoserna föll mer än kursen. Studien visar på att dessa ökade vinstvärderingar innehöll överskattade vinstförväntningar. Innan börsnedgången befann sig P/E-talen på relativt låga nivåer och när utväxlingen i samband med lågkonjunkturens slut skedde var P/E-talen höga, vilket ifrågasätter huruvida P/E-talet egentligen är representativt under en lågkonjunktur samt dess förmåga att indikera på risk. Prognostiserat P/E-tal korrelerar väl med faktiskt P/E-tal men det faktiska fluktuerar i större grad. Marginalerna, som korrelerar negativt med vinstvärderingarna, uppvisar en laggningseffekt gentemot omsättningen.</p> / <p>Background: The years 86-97 are characterized as a period with many big reformations when the Swedish economy reached its bottom with three years in a row with negative GDP. The reaction from the Swedish stock market was substantial and Stockholmsbörsen went through a heavy bearish period. What was it that drove this stock return, the expected earnings or the valuation of them? What was the connection between the business cycle, earnings, valuations and stock return for this particular period?</p><p>Aim: The aim of the thesis, on behalf of Melker Schörling AB, is to study stock return, company earnings and price-earnings ratios during a business cycle in order to analyse to what extent multiple expansion/contraction versus earnings growth have driven stock return for the different branches on Stockholmsbörsen.</p><p>In a second stage we observe how estimates of branches’ price-earnings ratios and earnings correlate with the business cycle and what impact EBITDA and pre-tax profit margin have on valuation during the period. Based on the result of the thesis, contingent knowledge will be related to today’s economic situation.</p><p>Completion: The data, consisting of figures and ratios, is collected from magazines and yearbooks of Affärsvärlden starting 1986 and ending 1997. With the help of these, relevant calculations have been made.</p><p>Result: This study of Stockholmsbörsen during the years 86-97, where the consumer-goods index had the best performance, shows that the business cycle has no impact on the stock return. The earnings estimates drove the stock return during the economic slump of 91-93 while the valuations tempered the fall. Through the economic slump the valuations became higher due to the fact that the earnings estimates fell more than the stock return. The study also shows that the increased valuations consisted of overestimated earnings estimates. Before the stock market fell the price-earnings ratios were at relatively low levels and when bull period begun in the end of the economic slump the ratios were high. This fact questions whether the price-earnings ratio is representative during an economic slump and if the ratio indicates risk accurately. Forward PE correlates positively with current PE, but the current PE is more volatile. Margins, which correlate negatively with valuations, indicate a lagging effect towards sales growth.</p>

在知識經濟時代下，無形資產的對於公司的重要性愈來愈高。有別於在工業時代下的生產重心，著重在大量的土地，機器設備...等有形的資產，在二十一世紀競爭中致勝的關鍵因素卻是那些無實體存在的知識累積，例如：研究發展的能力、員工的素質、顧客關係的維持…等;然而，會計處理對於無形資產卻是停留在歷史的取得成本，而不是現時的市場價值，更甚，有些無形資產根本無法入帳;因此，資本市場如何看待與反應公司的無形資產就是一項有趣的議題。本研究之研究目的是：依據Fama and French (1993)三因子模型，以橫斷面的分析方式，欲控制了系統風險、規模效果和淨值與市價比效果後，進一步分別探討研究發展活動與專利權對於股票報酬之影響，是否擁有投入愈多的研發活動與專利可以在股票市場獲得愈高的報酬？是否研究發展費用與專利權數對於股票報酬有遞延效果的影響？ 樣本期間從民國七十一年到民國九十三年，包含上市與上櫃公司，總共有21717筆觀察值，在研究發展活動方面，本研究採用了當期研究發展費用與依五年資本化後之研究發展費用二種替代變數，專利權方面，採用專利權數與累積專利權數二種代理變數，其實證結果發現： (1)當期研究發展費用溢酬與股票超額報酬呈現顯著的正向相關，將研究發展費用依五年資本化後，資本化後之研究發展費用溢酬仍與股票超額報酬呈現顯著的正向相關。 (2)專利權數之溢酬與股票超額報酬卻是顯著的負相關，累積專利權數之溢酬與股票超額報酬也是呈現顯著的負向關係，可能的原因是：在本研究樣本裡的大部分的專利權數量是非常集中在少部分的公司。 (3)研究發展溢酬對於超額報酬最多有三年的遞延效果，專利權溢酬對於超額報酬至少有五年遞延的效果。 (4)當期研究發展費用溢酬與資本化後之研究發展費用溢酬對於超額報酬有顯著不同的影響，二者比較下，當期研究發展費用溢酬對於股票報酬的影響程度大於資本化後之研究發展費用溢酬。可能的原因是:Fama and French三因子模型某種程度上代表著流量的概念，因此，當期研究發展費用溢酬的效果較為顯著。 (5)在專利權數之溢酬與累積專利權數之溢酬二者之間，對於超額報酬不具有顯著差異性的影響。可能的原因是:大部分的樣本都沒有專利權，因此，專利權數之溢酬與累積專利權數之溢酬沒有太大的差異。 (6)以研究發展與專利來說，二者對於超額報酬具有顯著不同差異的影響。 / Since the change in the global economy in the last decade, from manufacturing and industry-based to knowledge-based, it has created new interest in intellectual capital and increased the demand for measuring and reporting the effect on business and profitability. Nonetheless, accounting conventions based on historical cost often understate their value. Thus, from a practical point of view, how the stock market responses to the innovative activity is an interesting issue. Here, the major objective of this study is, on the basis of the three-factor model in Fama and French (1993), to investigate the relationship between innovation activities in firms and stock returns. That is, the aim in this study is to examine whether the intellectual capital, in particularly focusing on R&D and patents, has impact on stock returns. Does the market provide the premium for the value of the innovation in firms? Do the stocks with more innovation efforts worth the higher market rate of returns? Do R&D and patents have time lag effect on returns? We find that: (1) The return premiums are significantly greater for high-level of R&D than for low-level R&D. The mimicking returns both for the R&D-expense factor and capitalized-R&D factors are significantly positive related to excess stock returns. (2) Contrary to our intuition and expectation, the mimicking returns both for patent count and cumulated patent count are significantly negative associated with excess stock returns. One possible explanation is that the distribution of patented innovation is known to be extremely skewed, implying that a few patents are very valuable and many are worth almost nothing. (3) R&D-related return premiums have 3-year lag effect on excess stock returns at most. As for patent-related return premiums, it shows 5-year lag at least for excess stock returns. (4) R&D expenses have more impact on stock returns than the R&D capitalization. One possible explanation is that the “flow” concept is more suitable than the “stock” concept in the Fama and French (1993) regression of stock returns. (5) There is no difference between patent count and cumulated patent count in explaining stock returns. It is likely that, for a large proportion of the sample, they do not possess any patents. (6) When it comes to compare R&D to patents, we find that there is statistically significant difference between the two in explaining excess stock returns.