Suchergebnisse

The objective of this paper is to study the market valuation of R&D investments in the Taiwan stock market from July 1988 to June 2002. The motivation stems from Taiwan's recent economic transition from a labor-intensive, then to a capital-intensive, and currently to a technology-based economy. The results support not only the existence but also the persistence of R&D-associated mispricing. More importantly, it has become stronger as the electronics industry gradually dominates the economy. Firstly, R&D-intensive stocks tend to outperform stocks with little or no R&D. Secondly, the R&D-intensity effect cannot fully be attributed to firm size. Thirdly, the R&D-intensity effect is more pronounced for firms in the electronics industry after 1996. (Dev Econ/GIGA)

The purpose of this paper is to investigate the exchange-rate exposure of Taiwanese exporting firms. Particularly, we consider the effects of the timing of the three liberalization events through which the government carried out explicit policies to open gradually its foreign exchange and stock markets. First, we cannot corroborate that most exporting firms are individually exposed to exchange-rate risk. However, we cannot reject that the exporting firms are jointly exposed to exchange-rate risk in all sub-periods. Second, the timing of the three liberalization events greatly affects the exchange-rate exposure of Taiwanese exporting firms. Finally, the determinants of possibly time-varying exchange-rate exposure of exporting firms are exports-to-sales ratio, firm size, and the timing of the three liberalization events.

This paper studies the informative content of the NB (net-buy) information of institutional investors, including foreign investors (FIs), security investment trust companies (SITCs), and security dealers (SDs), in the Taiwan stock market. First, with/without considering prevailing market frictions, the investment strategies based on the NB trading volume and dollar trading volume of SITCs, outperform the market and those strategies based on those of FIs and SDs. Second, on average, institutional investors trade mostly large and growth stocks. Third, evidence supports negative leading roles of the aggregate/disaggregate NB dollar trading volumes of FIs over those of SITCs.

Chiao and Lin (2004) argue that the strategies following the investment pace of security investment trust companies (SITCs) are more profitable than the market and those following foreign investors (FIs) and security dealers (SDs) in the Taiwan stock market. We reexamine their results under various market events and economic states. Employing the close-to-close returns, our results are mostly consistent with Chiao and Lin (2004) except that, during the period of economic recovery, following FIs is more profitable. However, employing the open-to-close returns and considering transaction costs, none of the strategies are profitable.