本論文以研究發展支出、研究發展強度作為創新的變數，檢驗企業創新與公司股價報酬及股價波動度的關聯性。根據7499個公司年的樣本分析結果，發現高研究發展支出公司在金融風暴期間(2008-2011)年有顯著的正異常報酬，而創新活動較低的公司，在非金融風暴期間(2000-2007)有顯著的正異常報酬。股票報酬的波動分析顯示，不論在金融風暴及非金融風暴期間，高研究發展支出公司皆有較高的股價報酬波動。此結果顯示投資人對高研究發展支出的公司，其投資人可能因風險趨避要求較高的風險溢酬。

This study investigates how a firm innovation activity, as measured by R&;D expenditure, relate to stock return and stock return volatility. The stock return analysis of 7499 firm-year observations shows that firm with high innovation intensity (high R&;D) have highest and positive abnormal return during crisis period (2008-2011), but no significant return during non-crisis period (2000-2007). In contrast, firms without innovation activities have highest positive abnormal return in non-crisis period and insignificant abnormal return during crisis period. The return volatility analysis finds that firms with higher R&;D expenditure have higher stock. Our finding indicates investors’ risk aversion attitude toward R&;D expenditure firms.

Chinese abstract i
English abstract ii
Indexes iii
Table Indexes iv
Chapter 1 Introduction 1
Chapter 2 Literature review 4
Chapter 3 Methodology 7
Chapter 4 Empirical Result 10
4.1 Descriptive statistics 10
4.2 R&;D intensity Abnormal stock return 11
4.3 Innovation variables and total risk 15
Chapter 5 Conclusion 17
References 19

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