||This study focus on the effect of research and development (R&D) and firm performance. We also analyze the effect on return and riskiness. The results show that R&D expenditures have a significantly effect on firm riskiness. However, different riskiness measures have different result. When we use standard deviation AS riskiness measures, R&D expenditures, whether in the current period or lagged for 3 period, have a positive significantly effect on firm riskiness. When we use AS riskness index as a new riskiness measures, R&D expenditures, which lagged 2 period, have a significantly negative effect. For the effect of firm size, we use the ratio of R&D expenditures to total asset to examine the effect on firm performance. Then, we find that the ratio of R&D expenditures to total asset, which lagged 1 and 2 period, has a positive significantly effect on return. Considering the potentical nonlinear relationship between R&D and firm performance, we also use the rank of the ratio of R&D to examine the effect on firm performance. The result shows that the firms with R&D investment are worse on firm performance than the firms without R&D investment. This result is different from the literatures on R&D. This study also find that the period before and after financial crisis has lower return and lower firm riskiness than the period on financial crisis.|
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