本論文主要在探討無形資產與公司市場績效之關連性。研究樣本選定2001年至2008年間臺灣證券交易所之所有上市公司進行實證。其中衡量無形資產變數包涵人力資源、研發費用與廣告費用。有別於過去研究，本文延伸與修正Christos and Park (2009) 超額人力資本指標(EVHC)，藉由隔離無形資產、研發費用與廣告費用之影響，創造新的人力資源(HR)指標，檢測人力資源配置效率是否對於股票報酬有不同的影響。因此，在劃分樣本群組方面，選用Hansen (2000)所提出之多重狀態模型(multiple regimes model)進行估計，此方法將有助於幫助我們檢定所設立之研究假說。
    實證結果顯示人力資源與股票報酬間，存在上下不對稱之非線性關係。人力資源配置具有效率性/無效率且顯著為正值/負值，在高成長與低人力資源指標區間/低成長與高人力資源指標區間。除此之外，人力資源指標同時可作為市場效率性與錯誤定價衡量指標，幫助我們了解人力資源影響的實質效果。另一方面，發現研發費用與股票報酬為顯著負相關。相對於其他投資，研發計畫通常有較高的資訊不對稱與未來利益不確定性存在管理者與股東之間。而在廣告費方面，因市場效率的影響程度使得對於股票報酬為無相關影響。最後，所有相關實證結果希冀能提供管理當局與投資人，在制定相關投資策略時能有不同之參考資訊。

This study investigates the relation between market performance and intangible assets, especially human resource. The samples are selected from the listed firms from 2001 to 2008 in Taiwan Stock Exchange. The intangible assets measured in this research include human resource, R&D, and advertisement expenses. In contrast to previous studies, we adopted a new human resource (HR) indicator, which is extended and modified based on the excess value of human capital (EVHC) proposed by Christos and Park (2009). HR indicator will exclude intangibles, R&D and advertisement expenses. Thereby, we can know whether the allocation of human resource has influences on stock returns in different regimes. Therefore, this paper adopts the multiple regimes model (Hansen, 2000), in which the hypotheses could be tested.
  Our results show that there is a significant asymmetric non-linear relationship between HR and stock returns, the allocation of HR is efficient/ inefficient, the value is significantly positive/ negative in high growth and low HR/low growth and high HR regimes. Additionally, the new HR indicator as an efficient measurer helps us understand the realized effect of HR and as a mispricing measurer, too. On the other hand, R&D expenses are found all significantly negative associated with stock returns. Relative to other investments, R&D projects are often associated with higher information asymmetry between managers and shareholders as well as greater uncertainty of the future benefits.However, advertisement expenses aren’t correlated with stock returns. We find that the results are statistically insignificant, because of the effect of degree to market efficiency. Finally, our overall results are expected to provide the managers and investors useful information, as well as help them draw up investment strategies.

Contents
CONTENTS I
LIST OF TABLES II
LIST OF FIGURES III
CHAPTER 1　INTRODUCTION 1
CHAPTER 2　PREVIOUS WORKS AND HYPOTHESES 8
2.1　INTANGIBLE ASSETS AND PERFORMANCE 8
2.2　HUMAN RESOURCE AND PERFORMANCE 10
2.3　R&D EXPENSES AND PERFORMANCE 12
2.4　ADVERTISEMENT AND PERFORMANCE 14
CHAPTER 3　VARIABLES DEFINITION AND METHODOLOGY 17
3.1　VARIABLES DEFINITION 17
3.1.1　Human Resource (HR) 17
3.1.2　Independent Variables 18
3.1.3　Dependent Variable 19
3.1.4　Other Control Variables 20
3.2　EMPIRICAL METHOD 22
3.2.1　Estimation 22
3.2.2　Likelihood Ratio Test 24
3.3　THRESHOLD ESTIMATE AND SLOPE PARAMETERS 25
CHAPTER 4　SAMPLE SELECTION AND DATA SOURCE 27
CHAPTER 5　EMPRICAL RESULTS AND ANALYSIS 28
5.1 DESCRIPTIVE STATISTICS 28
5.1.1　Intangible Assets 28
5.1.2　Stock Returns 31
5.2 EMPIRICAL RESULTS 34
5.2.1　Pooled regression results 34
5.2.2　Threshold Effects 36
5.2.3　The Threshold Variable of Human Resource in Multiple Regimes 40
CHAPTER 6　CONCLUSIONS AND FUTURE RESEARCH 47
REFERENCE	 52
APPENDIX 59
 
List of Tables
TABLE 1　DESCRIPTIVE STATISTICS 30
TABLE 2　RESULT OF WITHOUT THRESHOLD	35
TABLE 3　TESTS FOR THRESHOLD EFFECTS: P- VALUE FORM LR TESTS AND THRESHOLD ESTIMATES.[95% CONFIDENCE INTERVAL] 37
TABLE 4　THRESHOLD MODEL FOR THE FIRST THRESHOLD VARIABLE 39
TABLE 5　THRESHOLD ESTIMATES FOR SIX REGIMES 41
TABLE 6　 THRESHOLD MODEL OF THE FIRST AND SECOND THRESHOLD VARIABLES	 46
 
List of Figures
FIGURE 1　FLOW CHART 7
FIGURE 2　SHARE MOVEMENTS FOR STOCK RETURNS AND THE RATIO OF HUMAN RESOURCE 32
FIGURE 3　SHARE MOVEMENTS FOR STOCK RETURNS AND THE RATIO OF R&D EXPENSES 33
FIGURE 4　SHARE MOVEMENTS FOR STOCK RETURNS AND THE RATIO OF ADVERTISEMENT EXPENSE 33

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