創新投資與高品質創新對下檔系統風險的影響-以美國上市公司的樣本為例;The relationship between innovation investment, high-quality innovation, and downside risk: The empirical evidence from the U.S.

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题名:	創新投資與高品質創新對下檔系統風險的影響-以美國上市公司的樣本為例;The relationship between innovation investment, high-quality innovation, and downside risk: The empirical evidence from the U.S.
作者:	林立翔;Lin, Li-Shiang
贡献者:	財務金融學系
关键词:	創新投資;創新產出;下檔貝塔;innovation input;innovation output;downside beta
日期:	2022-07-12
上传时间:	2022-10-04 11:44:18 (UTC+8)
出版者:	國立中央大學
摘要:	本研究以1980至2019年間，共計182,990個美國上市企業年觀測值作為研究樣本，以檢驗創新投資與高品質創新對下檔系統風險的影響。實證結果表明，企業的下檔系統風險會隨著創新投資的提高而上升; 但高品質創新的增加，可以降低企業下檔系統風險。上述結論使用其他創新投資與高品質創新之替代度量仍呈現穩健的結果，且結論在市場衰退時期仍然穩健。再者，本文以高科技產業、公司規模、競爭強度去切分出子樣本，以分析主要自變數在不同的子樣本間是否具有不同程度的影響效果。檢驗結果顯示出，首先，高科技產業的創新投資較具效率，且其高品質創新(XI、KINT、CW)能降低更高程度的下檔系統風險。其次，高品質創新(XI、CW)對下檔系統風險的負向影響效果主要來自於大企業。第三，高競爭型產業會競相研發提升創新投資的強度和效率，藉以轉換成高品質創新(KINT、CW)來降低更大程度的下檔系統風險。;I use a panel data of 182,990 annual observations of U.S. listed firms between 1980 to 2019 to examine the impact of intensity of innovation investment and high-quality innovation on downside systematic risk (downside beta). I find that the downside beta increase with the increase of innovation investment ; however, , the increase of high-quality innovation can decrease the downside beta for enterprises. The results are robust against alternative proxies for innovation investment and high-quality innovation , and the conclusions remain robust during market downturns. Besides, in the sub-sample analysis, this article attempts to find whether the independent variables have different effect among these sub-samples. The results demonstrate that, first, innovation investment in high-tech sector is more efficient, and its high-quality innovations (XI, KINT, CW) can reduce the higher downside beta. Secondly, the negative impact of high-quality innovation (XI, CW) on downside beta mainly comes from large enterprises . Third, highly competitive industries will compete for R&D to improve their intensity and efficiency of innovation investments, so as to convert these inputs into high-quality innovation outputs (KINT, CW) to reduce higher downside beta.
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