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

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：45

、訪客IP：3.147.6.122

姓名

林立翔(Li-Shiang Lin) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

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.)

相關論文

★ 半導體產業購併對股東財富效果之影響-以聯發科公司為例	★ 區塊鏈技術應用於金融科技公司企業資金電子調撥系統實作與驗證
★ 金融科技浪潮下銀行分行經營績效之探討－以個案銀行為例	★ 收購案後，主併公司與目標公司財務顧問之間開始合作原因之探討
★ 併購交易完成後，主併公司與目標公司財務顧問延續合作之因素探討	★ 產品組成變動與公司投資決策
★ CEO年齡與選擇併購目標公司之偏好	★ 外部董事產業經驗對於併購的影響
★ 目標公司執行長年齡與併購決策	★ 企業生命週期轉變對股利變化的影響
★ 經理人文化認同形成對風險承擔行為之影響 -以S&P500指數上市公司為例	★ 併購如何創造綜效──以台灣與韓國為例
★ CEO文化認同與債務期限選擇	★ 台灣上市櫃公司撰寫CSR報告書與公司價值之相關性探討
★ 經理人文化認同與公司CSR政策執行之關聯性-以S&P500指數上市公司為例	★ COVID-19疫情對全球航空產業營運之影響–以中華航空為例

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 (2026-1-1以後開放)

摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 創新投資
★ 創新產出
★ 下檔貝塔

關鍵字(英)

★ innovation input
★ innovation output
★ downside beta

論文目次

摘要 i
Abstract ii
致謝 iii
目錄 iv
圖目錄 v
表目錄 vi
第一章緒論 1
1.1 前言 1
第二章文獻回顧與假說建立 4
2-1 下檔風險 4
2-2 創新投資和高品質創新與下檔風險的關聯性 7
2-2-1 創新和競爭力與下檔風險的關聯 7
2-2-2 創新投資與下檔風險的連結 9
2-2-3 高品質創新與下檔風險的連結 11
第三章研究方法 13
3-1 樣本描述 13
3-2 實證模型選擇 14
3-3 變數介紹 14
3-3-1 應變數 14
3-3-2 自變數 16
3-3-3 控制變數 19
3-3-4 附加控制變數 20
3-4 敘述統計量 22
3-5 相關性分析 25
第四章實證結果 27
4-1 實證分析結果 27
4-2 穩健性測試 30
4-3 子樣本分析 35
4-4 內生性檢定 45
第五章研究結論與未來建議 47
參考文獻 49
附錄 55

參考文獻

Adams, R., Bessant, J., & Phelps, R. (2006). Innovation management measurement: A review. International Journal of Management Reviews, 8(1), 21-47.
Amoroso, S., Moncada-Paternò-Castello, P., & Vezzani, A. (2017). R&D profitability: the role of risk and Knightian uncertainty. Small Business Economics, 48(2), 331-343.
Ang, A., Chen, J., & Xing, Y. (2006). Downside risk. The Review of Financial Studies, 19(4), 1191-1239.
Baird, I. S., & Thomas, H. (1990). What is risk anyway? Using and measuring risk in strategic management. Risk, Strategy, and Management, 5, 21-54.
Baregheh, A., Rowley, J., & Sambrook, S. (2009). Towards a multidisciplinary definition of innovation. Management Decision, 47(8), 1323-1339.
Bell, D. E. (1982). Regret in decision making under uncertainty. Operations Research, 30(5), 961-981.
Belderbos, R., Tong, T. W., & Wu, S. (2014). Multinationality and downside risk: The roles of option portfolio and organization. Strategic Management Journal, 35(1), 88-106.
Bromiley, P., Rau, D., & Zhang, Y. (2017). Is r & d risky?. Strategic Management Journal, 38(4), 876-891.
Cai, L., Cui, J., & Jo, H. (2016). Corporate environmental responsibility and firm risk. Journal of Business Ethics, 139(3), 563-594.
Chan, L. K., Lakonishok, J., & Sougiannis, T. (2001). The stock market valuation of research and development expenditures. The Journal of Finance, 56(6), 2431-2456.
Chen, J. M., & Chang, C. I. (2012). The co-opetitive strategy of a closed-loop supply chain with remanufacturing. Transportation Research Part E: Logistics and Transportation Review, 48(2), 387-400.
Collins, J. M., & Ruefli, T. W. (1992). Strategic risk: An ordinal approach. Management Science, 38(12), 1707-1731.
Estrada, J. (2002). Systematic risk in emerging markets: the D-CAPM. Emerging Markets Review, 3(4), 365-379.
Estrada, J. (2006). Downside risk in practice. Journal of Applied Corporate Finance, 18(1), 117-125.
Fishburn, P. C. (1977). Mean-risk analysis with risk associated with below-target returns. The American Economic Review, 67(2), 116-126.
Furman, J. L., Porter, M. E., & Stern, S. (2002). The determinants of national innovative capacity. Research Policy, 31(6), 899-933.
Gharbi, S., Sahut, J. M., & Teulon, F. (2014). R&D investments and high-tech firms′ stock return volatility. Technological Forecasting and Social Change, 88, 306-312.
Goodman, T. H., Muslu, V., & Park, H. (2020). Slack And Crash Risk. Journal of Applied Business Research, 36(3), 107-120.
Markowitz, H. (1952). The utility of wealth. Journal of Political Economy, 60(2), 151-158.
Griliches, Z. (1990). Hedonic price indexes and the measurement of capital and productivity: some historical reflections. Fifty Years of Economic Measurement: The Jubilee of The Conference on Research in Income and Wealth, 185-206.
Gul, F. (1991). A theory of disappointment aversion. Econometrica: Journal of the Econometric Society, 59(3), 667-686.
Cucculelli, M., & Bettinelli, C. (2015). Business models, intangibles and firm performance: evidence on corporate entrepreneurship from Italian manufacturing SMEs. Small Business Economics, 45(2), 329-350.
Gutiérrez, G., & Philippon, T. (2017). Declining Competition and Investment in the US (No. w23583). National Bureau of Economic Research.
Hall, B. H., & Oriani, R. (2006). Does the market value R&D investment by European firms? Evidence from a panel of manufacturing firms in France, Germany, and Italy. International Journal of Industrial Organization, 24(5), 971-993.
Hall, B. H., & Ziedonis, R. H. (2001). The patent paradox revisited: An empirical study of patenting in the US semiconductor industry, 1979-1995. Rand Journal of Economics, 32(1), 101-101.
Hall, B. H., Jaffe, A., & Trajtenberg, M. (2005). Market value and patent citations. RAND Journal of Economics, 36(1), 16-38.
Haskel, J., & Westlake, S. (2018). Productivity and Secular Stagnation in the Intangible Economy. Vox. EU, 31.
Harhoff, D., Narin, F., Scherer, F. M., & Vopel, K. (1999). Citation frequency and the value of patented inventions. Review of Economics and Statistics, 81(3), 511-515.
Harlow, W. V. (1991). Asset allocation in a downside-risk framework. Financial Analysts Journal, 47(5), 28-40.
Harlow, W. V., & Rao, R. K. (1989). Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence. Journal of Financial and Quantitative Analysis, 24(3), 285-311.
Ho, Y. K., Xu, Z., & Yap, C. M. (2004). R&D investment and systematic risk. Accounting & Finance, 44(3), 393-418.
Jaffe, A. B., & Lerner, J. (2006). Innovation and its discontents. Innovation Policy and the Economy, 6, 27-65.
Kahneman, D., & Tversky, A. (1979). On the interpretation of intuitive probability: A reply to Jonathan Cohen. Cognition, 7(4), 409-411.
Kleis, L., Chwelos, P., Ramirez, R. V., & Cockburn, I. (2012). Information technology and intangible output: The impact of IT investment on innovation productivity. Information Systems Research, 23(1), 42-59.
Kogan, L., Papanikolaou, D., Seru, A., & Stoffman, N. (2017). Technological innovation, resource allocation, and growth. The Quarterly Journal of Economics, 132(2), 665-712.
Kogge, P. M., & Stone, H. S. (1973). A parallel algorithm for the efficient solution of a general class of recurrence equations. IEEE Transactions on Computers, 100(8), 786-793.
Kumar, P., & Li, D. (2016). Capital investment, innovative capacity, and stock returns. The Journal of Finance, 71(5), 2059-2094.
Lahiri, N. (2010). Geographic distribution of R&D activity: how does it affect innovation quality?. Academy of Management Journal, 53(5), 1194-1209.
Laughhunn, D. J., Payne, J. W., & Crum, R. (1980). Managerial risk preferences for below-target returns. Management Science, 26(12), 1238-1249.
Lev, B., & Gu, F. (2016). The end of accounting and the path forward for investors and managers. John Wiley & Sons.
March, J. G., & Shapira, Z. (1987). Managerial perspectives on risk and risk taking. Management Science, 33(11), 1404-1418.
Matolcsy, Z. P., & Wyatt, A. (2008). The association between technological conditions and the market value of equity. The Accounting Review, 83(2), 479-518.
Marin, L., Martín, P. J., & Rubio, A. (2017). Doing good and different! The mediation effect of innovation and investment on the influence of CSR on competitiveness. Corporate Social Responsibility and Environmental Management, 24(2), 159-171.
McAlister, L., Srinivasan, R., & Kim, M. (2007). Advertising, research and development, and systematic risk of the firm. Journal of Marketing, 71(1), 35-48.
Melville, N., Kraemer, K., & Gurbaxani, V. (2004). information technology and organizational performance: an integrative model of it business value. MIS Quarterly, 28(2), 283-322.
Miller, K. D., & Leiblein, M. J. (1996). Corporate risk-return relations: Returns variability versus downside risk. Academy of Management Journal, 39(1), 91-122.
Mizik, N., & Jacobson, R. (2003). Trading off between value creation and value appropriation: The financial implications of shifts in strategic emphasis. Journal of Marketing, 67(1), 63-76.
Miller, K. D., & Reuer, J. J. (1996). Measuring organizational downside risk. Strategic Management Journal, 17(9), 671-691.
Moser, P., & Nicholas, T. (2004). Was electricity a general purpose technology? Evidence from historical patent citations. The American Economic Review, 94(2), 388-394.
Nicholas, T. (2008). Does innovation cause stock market runups? Evidence from the great crash. The American Economic Review, 98(4), 1370-96.
Otim, S., Dow, K. E., Grover, V., & Wong, J. A. (2012). The impact of information technology investments on downside risk of the firm: Alternative measurement of the business value of IT. Journal of Management Information Systems, 29(1), 159-194.
Pakes, A., & Griliches, Z. (1984). Estimating distributed lags in short panels with an application to the specification of depreciation patterns and capital stock constructs. The Review of Economic Studies, 51(2), 243-262.
Peters, R. H., & Taylor, L. A. (2017). Intangible capital and the investment-q relation. Journal of Financial Economics, 123(2), 251-272.
Porter, M. E. (1996). Competitive advantage, agglomeration economies, and regional policy. International Regional Science Review, 19(1-2), 85-90.
Porter, M. E., & Kramer, M. R. (2006). The link between competitive advantage and corporate social responsibility. Harvard Business Review, 84(12), 78-92.
Porter, M.E. (1997), "COMPETITIVE STRATEGY", Measuring Business Excellence, 1(2), 12-17.
Rashid, A., & Hamid, F. (2015). Downside risk analysis of returns on the Karachi Stock Exchange. Managerial Finance, 41(9), 940-957.
Mao, J. C. (1970). Survey of capital budgeting: Theory and practice. Journal of Finance, 25(2), 349-360.
Reuer, J. J., & Leiblein, M. J. (2000). Downside risk implications of multinationality and international joint ventures. Academy of Management Journal, 43(2), 203-214.
Roy, A. D. (1952). Safety first and the holding of assets. Econometrica: Journal of the Econometric Society, 20, 431-449.
Sen, F. K., & Egelhoff, W. G. (2000). Innovative capabilities of a firm and the use of technical alliances. IEEE Transactions on Engineering Management, 47(2), 174-183.
Shapira, Z. (1995). Risk taking: A managerial perspective. Russell Sage Foundation.
Shiller, R. J., Fischer, S., & Friedman, B. M. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity, 1984(2), 457-510.
Sortino, F. A., & Van Der Meer, R. (1991). Downside risk. Journal of Portfolio Management, 17(4), 27.
Van Raaij, W. F. (1981). Economic psychology. Journal of Economic Psychology, 1(1), 1-24.
Vilanova, M., Lozano, J. M., & Arenas, D. (2009). Exploring the nature of the relationship between CSR and competitiveness. Journal of Business Ethics, 87(1), 57-69.

指導教授

李韋憲(Wei-Hsien Li)

審核日期

2022-7-12

推文