R&D-Intensity, Mispricing, and Stock Returns in Taiwan Stock Market. Literatures review: properties of high R&D-intensive firms.
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R&D-Intensity, Mispricing, and Stock Returns in Taiwan Stock Market
The four-factor model is explicitly defined as:
where apis the intercept term of the regression or so-called the abnormal return of portfolio p after controlling for the risks mimicked by MOM, SMB,and HML.
Table 9: Average coefficients of regressions of stock returns on ln(ME), ln(BM), and ln(R&D/ME) for all firms, firms in the Electronic industry, and firms in non-Electronic industries before and after 07/1996