연구개발 투자와 주가 고유변동성의 관련성에 대한 연구

Research and development (R&D) activities are critical for firms' future performance and value. While accounting information for R&D provides relevant value information, it can also contain noise from uncertainties in the success of R&D, restrictions and biases from accounting standards, and potential management discretion in capitalizing R&D expenditures. Previous studies have focused on the value relevance of R&D information, but few have examined the uncertainties surrounding it. This study aims to fill this gap by empirically examining the relationship between R&D expenditure intensity and idiosyncratic return volatilities as a proxy for investor-perceived uncertainties. Our empirical results show a positive relationship between R&D expenditure intensity and idiosyncratic return volatility. The results imply that firms with high R&D intensity are perceived by investors to have high uncertainties, leading to higher idiosyncratic volatility in their stock prices. Alternatively, investors demand more firm-specific information for firms with high R&D intensity. However, the positive association between R&D intensity and idiosyncratic volatility is less pronounced for firms that capitalize R&D expenditures. This suggests that investors perceive less uncertainty when firms capitalize R&D expenditures, indicating that capitalization of R&D expenditure conveys a positive signal regarding the success of R&D investments.