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Effects of unusual R&D expenditures on stock returns -- evidences from the listed companies in Taiwan

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  • Jian-Fa Li
  • Yih-Bey Lin
  • Cheng-Yih Hong

Abstract

This study examines the Research and Development (R&D) effect on stock returns. By modifying Kyle's (1985) model, we construct an asset pricing model and propose a related hypothesis to investigate the information-related content of unusual increases in R&D expenditures. The empirical evidence shows that R&D increases might not be beneficial investments and the information-related value of R&D increases is gradually incorporated in the stock price system. Therefore, we document that the stock market is informationally efficient in the semi-strong form.

Suggested Citation

  • Jian-Fa Li & Yih-Bey Lin & Cheng-Yih Hong, 2012. "Effects of unusual R&D expenditures on stock returns -- evidences from the listed companies in Taiwan," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 383-386, March.
    • Handle: RePEc:taf:apeclt:v:19:y:2012:i:4:p:383-386
    DOI: 10.1080/13504851.2011.579057
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    Cited by:

    1. Li‐Chun Kuo & Chia‐Lin Lee & Yun‐Ting Lee, 2022. "The impact of voluntary assurance of CSR reports on firms' operating performance: Evidence from Taiwan," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(8), pages 4041-4054, December.

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