ارتباط ارزیابی هزینه های R & D: شواهد زمان

The literature on the valuation relevance of R&D investments is based primarily on cross-sectional regressions or panel data regressions with time and firm (or industry) fixed effects such that the parameters relating R&D to market value are cross-sectionally constant. In an alternative approach, this paper investigates the value relevance of R&D investment using an earnings-based time series valuation model. Model parameters are estimated for each firm separately. In contradistinction to the results obtained from cross-sectional and fixed effects panel models, this study finds weak empirical support at best for the value relevance of R&D expenditures at the firm level.

There is an extensive empirical literature showing that security prices impound the information contained in R&D investment.1 Most studies measure R&D investment in terms of contemporaneous (and sometimes lagged) R&D expenditures. Other studies measure R&D investment in terms of some estimate of R&D capital. With few exceptions, these studies find that the impact of R&D on firm market values is significant and positive irrespective of how R&D is measured.2 The only significant exceptions to date are variance decomposition studies that find that R&D investment explains very little if any of the variance of firm (industry) returns.3

Cross-sectional and panel data studies of R&D investment consistently show that R&D expenditures (or R&D capital) are value relevant and impounded in security prices. Using firm level time series models that incorporate the effect of R&D expenditures on earnings, we find very weak empirical support for the value relevance of R&D expenditures. At best, R&D investment significantly affects firm valuation for only 25% of the sample firms.