Pacific-Basin Finance Journal Volume 43, June 2017, Pages 1–14

有限套利，投资摩擦和研发异象

作者：Konan Chan (National Chengchi University, Taiwan), Yueh-Hsiang Lin (National Taipei University of Business, Taiwan), Yanzhi Wang (National Taiwan University, Taiwan)

摘要：本文研究了有限套利和投资摩擦的假说是否能够解释研发费用。我们发现对于那些很难取得套利以及拥有投资摩擦的股票来说，研发费用更高。相比较投资摩擦的解说，有限套利的解说可以解释更多的研发费用。我们的结果基于有限套利和投资摩擦测度的双排序下是成立的。我们也检查了有限套利和投资摩擦对研发效率和研发能力的影响。我们发现有限套利和投资摩擦在解释这两个新的研发异象时同等有效。

Limits-to-arbitrage, investment frictions, and innovation anomalies

Konan Chan (National Chengchi University, Taiwan), Yueh-Hsiang Lin (National Taipei University of Business, Taiwan), Yanzhi Wang (National Taiwan University, Taiwan)

ABSTRACT

This paper examines whether the limits-to-arbitrage and investment frictions hypotheses explain the research and development (R&D) premium. We find that the R&D premium is stronger for stocks that are hard to arbitrage and for stocks with investment frictions. The limits-to-arbitrage explanation explains more of the R&D premium than does the investment frictions explanation. Our results hold under the two-way sorts on limits-to-arbitrage and investment frictions measures. We also examine the impact of limits-to-arbitrage and investment frictions on innovation efficiency and R&D ability. We find that the limits-to-arbitrage and investment frictions are equally effective in explaining the two new innovation anomalies.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X17300239

翻译：阙江静