科研之友
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摘要
This study examines the Research and Development (R&D) effect on stock returns. By modifying Kyle';s (1985) model, we construct an asset pricing model and propose a related hypothesis to investigate the informationrelated content of unusual increases in R&D expenditures. The empirical evidence shows that R&D increases might not be beneficial investments and the information-related value of R& D increases is gradually incorporated in the stock price system. Therefore, we document that the stock market is informationally efficient in the semi-strong form.
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