earticle

영어

Kothari et al.(2002) and Amir et al.(2007) contend that R&D investments are more risky than capital investments. However, Chambers et al.(2000) argue that risk of R&D firms is indistinguishable from that of capital investment firms. The factor models could be incomplete in identifying and measuring risk (Loughran & Ritter, 1995; Fama, 1998; Mitchell & Stafford, 2000). This paper investigates the relative risk without explicitly identifying the sources of risk, and thus we can avoid the bad-model problem of risk measuring. The empirical findings show that R&D firms are not fundamentally more risky and capital expenditure firms are not fundamentally less risky. The reason is that capital investment firms invest as much as their matching non-capital investment counterparts not only during the worst states but also during the best states of the world. The findings do not support Kothari et al.(2002) and Amir et al.(2007), but support Chambers et al.(2000).